On relative performance, remuneration and risk taking of asset managers
| Autor: | Gaetano La Bua, Daniele Marazzina, Emilio Barucci |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Management fee
Asset manager Economics Relative performance Econometrics and Finance (all)2001 Economics Remuneration Portfolio Finance Economics Econometrics and Finance (all)2001 Economics Econometrics and Finance (miscellaneous) 0502 economics and business Isoelastic utility Asset management Asset (economics) Empirical evidence Mutual fund 040101 forestry 050208 finance Actuarial science business.industry 05 social sciences 04 agricultural and veterinary sciences Econometrics and Finance (miscellaneous) 0401 agriculture forestry and fisheries business General Economics Econometrics and Finance |
| Popis: | We analyze the asset management problem when the manager is remunerated through a scheme based on the performance of the fund with respect to a benchmark and his/her choices are driven by a power utility function. We show that it is not the asymmetric-fulcrum type feature of the scheme that makes the difference in preventing excessive risk taking in case of a poor performance. To prevent gambling when the performance deteriorates, it is important not to provide a fixed fee to the asset manager, and that remuneration is sensitive to a very poor relative performance as in the case of a capital stake or of a management fee with flow funds. We provide empirical evidence on the mutual fund industry showing excessive risk taking in case of a very poor performance and limited risk taking in case of overperformance with respect to the benchmark. These results agree with a remuneration scheme including a fixed fee and a cap. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|