Studying Effect of PBF Contract on Asset Pricing
Agency problem exits when more and more portfolio management is delegated. The compensation contracts chosen by each investor (principal) and manager (agent) can have effect on asset pricing. We assume that there are only two representative investors, a representative individual investor and a representative institutional investor (fund manager) who manage the asset of the principal in a frictionless financial market.All the investors are risk averse, the representative individual investor select his own optimal portfolio according to the mean-variance model and the representative fund manager select his own optimal portfolio according to his compensation contract-PBF contract (Performance Based Fee). We show that the lager the degree of asymmetry, the higher the risky asset price . This paper illustrates that, in the presence of delegated portfolio management, compensation contract plays a key role in asset pricing.
asset pricing asymmetry benchmark fund PBF contract.
Jiliang Sheng
Associate Professor, Information Management School Jiangxi University of Finance and Economics Nanchang, R. P. China
国际会议
2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)
上海
英文
1751-1756
2007-10-19（万方平台首次上网日期，不代表论文的发表时间）