Optimal Contract for Delegated Portfolio Management under Risk Constraints
Based on previous research of PBF contract, through introducing an important constraint condition-risk into PBF contract, this paper proposes a model of linear performance-based-fee on delegated portfolio management under risk constraint, studies the effect of the linear PBF contract with risk constraint on optimal portfolio selection of managers as well as incentive effect on managers. We establish a principal-agent model between the principal and the agent, which is based on benchmark portfolio under risk constraint in a period, and derive the optimal solution of model as well as analyzing the result.
delegated portfolio management pbf contract benchmark risk constraint incentive
DENG Liubao YANG Guiyuan
School of Statistics and Applied Mathematics, Anhui University of Financial and Economics, P.R.China School of Statistics and Applied Mathematics, Anhui University of Financial and Economics, P.R.China
国际会议
威海
英文
477-484
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）