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http://hdl.handle.net/10419/52241
  

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dc.contributor.authorAgarwal, Vikasen_US
dc.contributor.authorGómez, Juan-Pedroen_US
dc.contributor.authorPriestley, Richarden_US
dc.date.accessioned2011-11-14en_US
dc.date.accessioned2011-11-24T15:38:59Z-
dc.date.availablestart=2011-11-24T15:38:59Z; end=2013-02-13-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/52241-
dc.description.abstractThis paper shows that portfolio constraints have important implications for management compensation and performance evaluation. Concretely, in the presence of portfolio constraints, allowing for benchmarking can be beneficial. Benchmark design arises as an alternative effort inducement mechanism vis-a-vis relaxing portfolio constraints. Numerically, we solve jointly for the manager's linear incentive fee and the optimal benchmark. The size of the incentive fee and the risk adjustment in the benchmark composition are increasing in the investor's risk tolerance and the manager's ability to acquire and process private information.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 11-16en_US
dc.subject.jelD81en_US
dc.subject.jelD82en_US
dc.subject.jelJ33en_US
dc.subject.ddc330en_US
dc.subject.keywordmarket timingen_US
dc.subject.keywordincentive feeen_US
dc.subject.keywordbenchmarkingen_US
dc.subject.keywordportfolio constraintsen_US
dc.titleManagement compensation and market timing under portfolio constraintsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn672185695en_US
dc.relation.isreplacedbyhttp://hdl.handle.net/10419/70115-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1116-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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