Delegated portfolio management, optimal fee contracts, and asset prices

研究成果: Article査読

3 被引用数 (Scopus)

抄録

This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment decisions, fee schedules, and stock price feed back into one another. The model predicts that (1) stock market's expected return and volatility increase as more investor capital is intermediated by funds, (2) fund's expense ratio is stable despite volatile market, (3) aggregate fund flow is positively (inversely) related to subsequent (past) market return, and (4) funds provide investors with a volatility hedge by adjusting market exposure counter-cyclically.

本文言語English
ページ(範囲)360-389
ページ数30
ジャーナルJournal of Economic Theory
165
DOI
出版ステータスPublished - 2016 9 1
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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