Management compensation and market timing under portfolio constraints

DOI10.1016/J.JEDC.2012.05.006MaRDI QIDQ311009zbMATH OpenOpenAlexFDO

Authors Vikas Agarwal, Juan-Pedro Gómez, Richard Priestley

Publication date 28 September 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11250/93744

zbMATH Keywords

benchmarkingincentive feemarket timingportfolio constraints

Mathematics Subject Classification ID

Portfolio theory (91G10) Production theory, theory of the firm (91B38) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Optimal benchmarking for active portfolio managers
• Risk Management with Benchmarking
• Gaming Performance Fees By Portfolio Managers
• Portfolio management with benchmark related incentives under mean reverting processes
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS

Cites work

• Active portfolio management with benchmarking: adding a value-at-risk constraint
• Delegated portfolio management
• Information acquisition and under-diversification
• Portfolio delegation under short-selling constraints
• Risk Management with Benchmarking

Cited in

(6)

• Is corporate control effective when managers face investment timing decisions in incomplete markets?
• Managerial Short-Termism and Investment: Evidence from Accelerated Option Vesting*
• Managerial manipulation, corporate governance, and limited market participation
• Optimal benchmarking for active portfolio managers
• Portfolio pumping, trading activity and fund performance
• Equilibrium implications of delegated asset management under benchmarking

This page was built for publication: Management compensation and market timing under portfolio constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q311009)