A Study of Delegated Portfolio Management Based on Overconfidence

摘要：

The problem of optimal portfolio selection and incentive under the condition of the agent’s overconfidence is researched in this paper. It is shown in this paper that the overconfidence level of the agent has significant effects on the agent’s optimal portfolio selection and incentive. In delegated portfolio management, if the agent is overconfident, the principal’s expectation utility would be increased and the principal-agent cost would be cut down.

关键词： Overconfidence Principal-agent Optimal Portfolio Optimal Incentive

作者: Fu-hua GUO

作者单位: College of Economics and Management, Zhejiang Normal University Jinhua, Zhejiang, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 333-335

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）