Detail Risk Taking and Optimal Contracts for Money Managers   Oleh:  Palomino, Frederic ; Prat, Andrea Jenis: Article from Bulletin/Magazine Dalam koleksi: The Rand Journal of Economics vol. 34 no. 1 (2003), page 113-137. Topik: MONEY; risk taking; contracts; money managers Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: RR10 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel We study delegated portfolio management when the agent controls the riskiness of the portfolio. Under general conditions, we show that the optimal contract is simply a bonus contract: the agent is paid a fixed sum if the portfolio return is above a threshold. We derive a criterion to decide whether the optimal contract induces excessive or insufficient risk. If a deviation from efficient risk taking causes a large (small) reduction in the expected return of the portfolio, the optimal contract induces excessive (insufficient) risk. In other words, the cheaper it is to play with risk, the less risk the agent takes. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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