Essays on Delegated Portfolio Management and Optimal Contracting
Title | Essays on Delegated Portfolio Management and Optimal Contracting PDF eBook |
Author | Raymond Chi Wai Leung |
Publisher | |
Pages | 234 |
Release | 2016 |
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This dissertation is a compilation of three papers that investigate the role of optimal contracting in a delegated portfolio management setting. While the study of optimal contracts in classical principal-agent setup has been extensively studied, relatively few have been studied in the context of delegated portfolio management in finance. And even delegated portfolio management papers in finance, there are still several open questions and unresolved issues that are beyond the scope of a standard principal-agent problem. In Chapter 1, I study a continuous-time principal-agent problem with drift and stochastic volatility control. While the problem with drift-only control by an agent has been extensively studied recently, very few existing papers allow an agent to endogenously influence volatility. Endogenous volatility control is particularly important in delegated portfolio management settings as volatility is one of the defining aspects of modern financial portfolio management. In Chapter 2, I study a model that encompasses dynamic agency, delegated portfolio management and asset pricing. Traditionally, the fields of ``asset pricing'' and ``corporate finance'' are studied independently of each other. However, as the modern portfolio management industry blooms in size and influence, the role of the portfolio manager and the contracts that are extended to them arguably has a role in the securities that they invest in, and hence in equilibrium, the asset pricing implications of the market overall. This paper is an attempt to bridge ``asset pricing'' and ``corporate finance'' (specifically interpreted to mean delegated portfolio management contracting) into one. In Chapter 3, I study whether a principal investor is better off delegating most of his money to a single portfolio manager (centralized delegation), as opposed to multiple portfolio managers (decentralized delegation), especially when there is the possible presence of moral hazard. With the size of the hedge fund industry and growing empirical support that moral hazard is a growing risk among hedge fund managers, it becomes imperative to understand when an investor decides to delegate his money, should it be delegated in a more centralized or decentralized fashion.
Essays on Delegated Portfolio Management
Title | Essays on Delegated Portfolio Management PDF eBook |
Author | Bernhard Silli |
Publisher | |
Pages | 140 |
Release | 2009 |
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Essays on Delegated Portfolio Management
Title | Essays on Delegated Portfolio Management PDF eBook |
Author | Zhigang Qiu |
Publisher | |
Pages | 0 |
Release | 2011 |
Genre | Academic theses |
ISBN |
Three Essays on Delegated Portfolio Management
Title | Three Essays on Delegated Portfolio Management PDF eBook |
Author | Nataliya Gerasimova |
Publisher | |
Pages | 146 |
Release | 2017 |
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ISBN |
Thèse. HEC. 2017
Essays in Delegated Portfolio Management
Title | Essays in Delegated Portfolio Management PDF eBook |
Author | Niklas Hüther |
Publisher | |
Pages | 131 |
Release | 2014 |
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ISBN |
Essays on Delegated Portfolio Management and Trade on Differential Information
Title | Essays on Delegated Portfolio Management and Trade on Differential Information PDF eBook |
Author | Alexander Gümbel |
Publisher | |
Pages | |
Release | 1999 |
Genre | Portfolio management |
ISBN |
Essays in Delegated Portfolio Management
Title | Essays in Delegated Portfolio Management PDF eBook |
Author | Ioanna Papastaikoudi |
Publisher | |
Pages | 290 |
Release | 2004 |
Genre | |
ISBN |
(Cont.) is reversed because of the high costs of liquidations when unexpectedly unwinding the positions. The third chapter is joint work with Ilan Guedj. We examine whether mutual fund families affect the performance of the funds they manage. From a sample of funds belonging only to large families we find that last year's best performing funds outperform last year's worst performing funds by 58 basis points. We also show that there exists persistence of performance of these funds inside their respective families. Supporting these findings, we also show that the better performing funds in a family have a higher probability of being allocated more managers, one of the main resources available. This is consistent with the view that fund families allocate resources in proportion to fund performance and not fund needs.