This thesis contains three essays on delegated portfolio management and deals with issues such as impact of regulations on mutual fund performance, impact of competition on transparency in financial markets and strategic trading behaviour of agents in illiquid markets. 1 introduction modern delegated portfolio management, in the pension, foundation, and endowment sectors, involves a complex network of investment managers who each oversee a portion of the investment portfolio. Download citation | delegated portfolio | this paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contr. Full-text paper (pdf): delegated portfolio management under ambiguity aversion. Summary: we analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark—a common solution to the agency problem in delegated portfolio management.
1 introduction the fund management industry has grown significantly in the past few decades 1 reflecting that, recently more and more papers have analyzed economic implications of delegated portfolio management. 1 when investors delegate the portfolio management decision to a professional manager, they are faced with the classic problem of designing management-fee contracts. Overconﬁdence and delegated portfolio management∗ frederic palomino (tilburg university and cepr) and abdolkarim sadrieh (tilburg university) mai 2003. We investigate the impact of delegated portfolio management on asset prices in a noisy rational equilibrium model asset prices in our model are linear in fund managers’ private signals and in realized supply shocks.
Agency conflict in delegated portfolio management 475 namesake fund manager’s investments in the management company and the fund produces a conflict of interest with the fund shareholders. Delegated portfolio management: a survey of the theoretical literature livio stracca european central bank abstract this paper provides a selective review of the theoretical literature on. A conference sponsored and funded by the center for the economic analysis of risk (cear) and the department of finance at georgia state university presented papers overview the goal of the conference is to promote research on delegated portfolio management and to provide a forum for interested researchers to discuss and exchange ideas.
Chapter 2 describes the standard principal-agent problems arising from delegated portfolio management, and analyses existing theoretical and empirical works on the agency problems in traditional institutions such as mutual funds. Competition in portfolio management: theory and experiment july 5, 2012 abstract we develop a new theory of delegated investment whereby managers compete in terms of com-. Continuous-time delegated portfolio management with homogeneous expectations: can an agency conﬂict be avoided abstract: in a continuous-time framework, the issue of how to dele-.
In our article forthcoming at the review of financial studies, managerial rents vs shareholder value in delegated portfolio management:. What is portfolio management the core components of portfolio management portfolio management methodology the benefits of applying a portfolio approach. We consider a model of the stock market with delegated portfolio management all agents are rational: some trade for hedging reasons, some investors optimally contract with portfolio managers who may have stock-picking abilities, and portfolio managers trade optimally given the incentives provided.
Working paper series no 520 / september 2005 delegated portfolio management a survey of the theoretical literature by livio stracca. Equilibrium prices in the presence of delegated portfolio management domenico cuoco the wharton school university of pennsylvania philadelphia, pa 19104.
Mutual fund investors just beginning to venture into alternative investments usually find the level of fees overwhelming, and may be tempted to dismiss the hedge fund industry. In this article, we investigate whether the application of the mean-variance framework on portfolio manager allocation offers any out-of-sample benefits compared to a naïve strategy of equal weighting. Centralized versus decentralized delegated portfolio management under moral hazard job market paper raymond c w leung december 5, 2015 abstract if an investor wants to invest into two asset classes, should he delegate to a single portfolio manager.Download