dc.contributor.author | Agarwal, Vikas | |
dc.contributor.author | Gómez, Juan-Pedro | |
dc.contributor.author | Priestley, Richard | |
dc.date.accessioned | 2012-12-05T12:53:51Z | |
dc.date.available | 2012-12-05T12:53:51Z | |
dc.date.issued | 2012 | |
dc.identifier.issn | 1879-1743 | |
dc.identifier.uri | http://hdl.handle.net/11250/93744 | |
dc.description | This is the authors’ final, accepted and refereed manuscript to the article | no_NO |
dc.description.abstract | This paper shows that portfolio constraints have important implications for manage-
ment compensation and performance evaluation. In particular, in the presence of portfolio
constraints, allowing for benchmarking can be bene cial. Benchmark design arises as an al-
ternative e¤ort inducement mechanism vis-a-vis relaxing portfolio constraints. Numerically,
we solve jointly for the manager s linear incentive fee and the optimal benchmark. The size of
the incentive fee and the risk adjustment in the benchmark composition are increasing in the
investor s risk tolerance and the manager s ability to acquire and process private information. | no_NO |
dc.language.iso | eng | no_NO |
dc.publisher | Elsevier | no_NO |
dc.subject | Market Timing | no_NO |
dc.subject | Incentive Fee | no_NO |
dc.subject | Benchmarking | no_NO |
dc.subject | Portfolio Constraints | no_NO |
dc.title | Management compensation and market timing under portfolio constraints | no_NO |
dc.type | Journal article | no_NO |
dc.type | Peer reviewed | no_NO |
dc.source.pagenumber | 1600-1625 | no_NO |
dc.source.volume | 36 | no_NO |
dc.source.journal | Journal of Economic Dynamics and Control | no_NO |
dc.source.issue | 10 | no_NO |
dc.identifier.doi | http://dx.doi.org/10.1016/j.jedc.2012.05.006 | |