Delegated portfolio management

DOI10.1016/0022-0531(85)90076-6zbMath0604.90017OpenAlexW1966927913MaRDI QIDQ1083347

Sudipto Bhattacharya, Paul Pfleiderer

Publication date: 1985

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(85)90076-6

zbMATH Keywords

approximately optimal solutiondelegated portfolio managementlarge principalsrisk averse agents

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

A monopolistic market for information ⋮ The possibility of informationally efficient markets ⋮ Information acquisition and mutual funds ⋮ Management compensation and market timing under portfolio constraints ⋮ Screening of possibly incompetent agents ⋮ Delegated portfolio management under ambiguity aversion ⋮ Optimism bias, portfolio delegation, and economic welfare ⋮ Belief elicitation in experiments: Is there a hedging problem? ⋮ Multi-period information markets ⋮ Optimal fund menus ⋮ Reward schemes ⋮ Asset pricing under optimal contracts ⋮ Contracting to compete for flows ⋮ Reservation wage and optimal contract for experts ⋮ Preferences and beliefs in a sequential social dilemma: a within-subjects analysis ⋮ Optimal portfolio with power utility of absolute and relative wealth ⋮ Static and dynamic VaR constrained portfolios with application to delegated portfolio management ⋮ Transferable deposits as a screening mechanism ⋮ The principal/agent paradigm: Its relevance to various functional fields ⋮ A cooperative bargaining framework for decentralized portfolio optimization

Cites Work

• Selling to risk averse buyers with unobservable tastes
• Incentive Compatibility and the Bargaining Problem
• Managerial Incentive Problems: A Dynamic Perspective
• Elicitation of Personal Probabilities and Expectations
• Unnamed Item