Vis enkel innførsel

dc.contributor.authorAgarwal, Vikas
dc.contributor.authorGómez, Juan-Pedro
dc.contributor.authorPriestley, Richard
dc.date.accessioned2012-12-05T12:53:51Z
dc.date.available2012-12-05T12:53:51Z
dc.date.issued2012
dc.identifier.issn1879-1743
dc.identifier.urihttp://hdl.handle.net/11250/93744
dc.descriptionThis is the authors’ final, accepted and refereed manuscript to the articleno_NO
dc.description.abstractThis 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.isoengno_NO
dc.publisherElsevierno_NO
dc.subjectMarket Timingno_NO
dc.subjectIncentive Feeno_NO
dc.subjectBenchmarkingno_NO
dc.subjectPortfolio Constraintsno_NO
dc.titleManagement compensation and market timing under portfolio constraintsno_NO
dc.typeJournal articleno_NO
dc.typePeer reviewedno_NO
dc.source.pagenumber1600-1625no_NO
dc.source.volume36no_NO
dc.source.journalJournal of Economic Dynamics and Controlno_NO
dc.source.issue10no_NO
dc.identifier.doihttp://dx.doi.org/10.1016/j.jedc.2012.05.006


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel