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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26653
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| Title: | PORTFOLIO PERFORMANCE AND AGENCY |
| Authors: | Dybvig, Philip H.
Farnsworth, Heber K.
Carpenter, Jennifer |
| Issue Date: | 2004 |
| Series/Report no.: | SC-AM-04-03 |
| Abstract: | The literature traditionally assumes that a portfolio manager who
expends costly effort to generate information makes an unrestricted
portfolio choice and is paid according to a sharing rule. However, the
revelation principle provides a more efficient institution. If credible
communication of the signal is possible, then the optimal contract
restricts portfolio choice and pays the manager a fraction of a
benchmark plus a bonus proportional to performance relative to the
benchmark. If credible communication is not possible, an additional
incentive to report extreme signals may be required to remove a possible
incentive to underprovide effort and feign a neutral signal. |
| URI: | http://hdl.handle.net/2451/26653 |
| Appears in Collections: | Asset Management
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