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CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/52241
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Agarwal, Vikas | | en_US |
| dc.contributor.author | | Gómez, Juan-Pedro | | en_US |
| dc.contributor.author | | Priestley, Richard | | en_US |
| dc.date.accessioned | | 2011-11-14 | | en_US |
| dc.date.accessioned | | 2011-11-24T15:38:59Z | | - |
| dc.date.available | | start=2011-11-24T15:38:59Z; end=2013-02-13 | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/52241 | | - |
| dc.description.abstract | | This 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.iso | | eng | | en_US |
| dc.publisher | | Centre for Financial Research Cologne | | en_US |
| dc.relation.ispartofseries | | CFR working paper 11-16 | | en_US |
| dc.subject.jel | | D81 | | en_US |
| dc.subject.jel | | D82 | | en_US |
| dc.subject.jel | | J33 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | market timing | | en_US |
| dc.subject.keyword | | incentive fee | | en_US |
| dc.subject.keyword | | benchmarking | | en_US |
| dc.subject.keyword | | portfolio constraints | | en_US |
| dc.title | | Management compensation and market timing under portfolio constraints | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 672185695 | | en_US |
| dc.relation.isreplacedby | | http://hdl.handle.net/10419/70115 | | - |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:cfrwps:1116 | | - |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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