Estimation Risk and Incentive Contracts for Portfolio Managers
Estimation Risk and Incentive Contracts for Portfolio Managers
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DOI：
10.1287/mnsc.34.9.1067
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发表时间：
1988-09
影响因子：
5.4
通讯作者：
Susan I. Cohen;L. Starks
中科院分区：
文献类型：
--
作者：
Susan I. Cohen;L. Starks
投资组合经理和他们所代表的投资者之间的信托关系可以被视为委托代理关系，因此我们使用了经济学和金融学中代理文献的方法来研究现有薪酬安排对这两个群体之间利益冲突的影响。在本文中，我们采用的资本资产定价模型的假设和估计风险的贝塔开发一个模型中，投资组合经理可以通过努力，选择参数的贝塔分布。我们的模型包含道德风险，因为投资者无法观察经理人的行为。给定一定的效用函数，我们表明，估计风险的存在导致管理者选择一个较低的贝塔投资组合比其他情况下，不存在第一最优合同。我们还表明，管理分歧行为与管理者和投资者之间的风险偏好的分歧。通过对偏好做出稍微严格的假设，我们证明了存在一些条件，在这些条件下，经理人将提供更多的努力，但也会提供比投资者偏好的风险更高的投资组合。最后，我们表明，投资者将更喜欢一个经理人谁是风险厌恶比投资者。
The fiduciary relationship between portfolio managers and the investors they represent may be viewed as a principal-agent relationship, and therefore we have used the methodology from the agency literature in economics and finance to study the impact of existing compensation arrangements on the conflicts of interest between these two groups. In this paper we employ the assumptions of the Capital Asset Pricing Model and of estimation risk concerning beta to develop a model in which portfolio managers can, through effort, choose the parameters of the beta distribution. Our model entails moral hazard because the investor cannot observe the manager's action. Given certain utility functions we show that the presence of estimation risk leads the manager to choose a lower beta portfolio than otherwise and that no first best optimal contract exists. We also show that managerial divergent behavior is related to the divergence in risk preferences between the manager and the investor. By making slightly more stringent assumptions about preferences, we show that there exist some conditions under which the manager will provide more effort but also a riskier portfolio than the investor prefers. Finally we show that the investor will prefer a manager who is less risk averse than the investor.