Portfolio delegation under short-selling constraints
Portfolio delegation under short-selling constraints
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DOI：
10.2139/ssrn.433846
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发表时间：
2006-05
期刊：
影响因子：
1.3
通讯作者：
J. Gómez;Tridib Sharma
中科院分区：
文献类型：
--
作者：
J. Gómez;Tridib Sharma
摘要：在本文中，我们研究了经理卖空能力受限时的委托投资组合管理。与以往的研究结果相反，我们发现，在道德风险下，线性业绩调整的合同确实为投资组合经理提供了收集信息的激励。我们发现，风险规避经理的努力是一个越来越多的功能，她在投资组合的回报份额。这一结果影响了风险厌恶型投资者对合约的选择。与以前的结果不同，纯粹的风险分担合同现在被证明是次优的。使用数值方法，我们表明，在最优线性合同，经理的份额在投资组合的回报率高于它是一个纯粹的风险分担合同。此外，这种偏离被证明是：（一）增加经理的风险厌恶和（二）更严格的卖空限制。当约束放松时，偏差收敛到零。
Summary.In this paper we study delegated portfolio management when the manager’s ability to short-sell is restricted. Contrary to previous results, we show that under moral hazard, linear performance-adjusted contracts do provide portfolio managers with incentives to gather information. We find that the risk-averse manager’s effort is an increasing function of her share in the portfolio’s return. This result affects the risk-averse investor’s choice of contracts. Unlike previous results, the purely risk-sharing contract is now shown to be suboptimal. Using numerical methods we show that under the optimal linear contract, the manager’s share in the portfolio return is higher than what it is under a purely risk sharing contract. Additionally, this deviation is shown to be: (i) increasing in the manager’s risk aversion and (ii) larger for tighter short-selling restrictions. As the constraint is relaxed the deviation converges to zero.