Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem
Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem
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DOI：
10.1093/rfs/16.1.0173
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发表时间：
2003
影响因子：
8.2
通讯作者：
Ou-Yang Hui
中科院分区：
文献类型：
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作者：
Ou-Yang Hui
本文在连续时间委托代理框架下研究了个人投资者与专业投资组合经理之间的契约问题。最优合约是以封闭形式获得的。这些合同是对称的，建议投资组合经理应获得固定费用，即所管理资产总额的一小部分，外加奖金或罚款，具体取决于投资组合相对于基准投资组合的超额回报。合适的基准投资组合是包含风险资产的主动指数，其中投资于每项资产的股票数量可以随着时间的推移而变化，而不是被动指数，其中投资于每项资产的股票数量随着时间的推移保持不变。版权所有2003，牛津大学出版社。
This article studies the contracting problem between an individual investor and a professional portfolio manager in a continuous-time principal-agent framework. Optimal contracts are obtained in closed form. These contracts are of a symmetric form and suggest that a portfolio manager should receive a fixed fee, a fraction of the total assets under management, plus a bonus or a penalty depending upon the portfolio's excess return relative to a benchmark portfolio. The appropriate benchmark portfolio is an active index that contains risky assets where the number of shares invested in each asset can vary over time, rather than a passive index in which the number of shares invested in each asset remains constant over time. Copyright 2003, Oxford University Press.