Last edited by Yogal
Thursday, July 23, 2020 | History

2 edition of Estimation risk and incentive contracts for portfolio managers found in the catalog.

Estimation risk and incentive contracts for portfolio managers

by Susan I. Cohen

  • 397 Want to read
  • 8 Currently reading

Published by College of Commerce and Business Administration, University of Illinois at Urbana-Champaign in [Urbana, Ill.] .
Written in English


Edition Notes

Includes bibliographical references (p. 30).

StatementSusan I. Cohen, Laura T. Starks
SeriesBEBR faculty working paper -- no. 1356, BEBR faculty working paper -- no. 1356.
ContributionsStarks, Laura T., University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
The Physical Object
Pagination30 p. ;
Number of Pages30
ID Numbers
Open LibraryOL25113552M
OCLC/WorldCa748281942

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Estimation risk and incentive contracts for portfolio managers by Susan I. Cohen Download PDF EPUB FB2

In this paper we employ the assumptions of the Capital Asset Pricing Model and of estimation risk concerning beta to develop a model in which portfolio managers can, through effort, choose the parameters of the beta distribution.

Our model entails moral hazard because the investor cannot observe the manager's Cited by: Downloadable. The fiduciary relationship between portfolio managers and the investors they represent may be viewed as a principal-agent relationship, and therefore we have used the.

If you have an individual subscription to this content, or if you have purchased this content through Pay Per Article within the past 24 hours, you can gain access by logging in with your. "Estimation Risk and Incentive Contracts for Portfolio Managers," Management Science, INFORMS, vol.

34(9), pagesSeptember. Glosten, Lawrence R & Jagannathan. incentive contract induces managers to take more risk and reduces the funds’ probability of survival.

On the other hand, high-incentive funds deliver higher return. The mutual fund market has grown so much over the last decade that we now have a real need for a criterion to evaluate portfolio managers.

The mutual fund environment is characterized by Author: Begoña Torre-Olmo, Carlos López-Gutiérrez, Sergio Sanfilippo Azofra. Performing a project under a fixed-price contract is more risky than other projects.

Fortunately, many of the risks inherent in managing a fixed-price project can be mitigated during the. Fixed Price contracts is a type of contractual agreement in which the buyer agrees to pay for the a fixed agreed total price. The risk is higher on the seller.

Incentives may be. Firm risk: Optimal contracting involves the trade-off between providing incentives and risk sharing between managers and shareholders, such that incentive level should decrease with firm risk. Cited by: The Use of Equity Grants to Manage Optimal Equity Incentive Levels John E.

Core Wayne R. Guay 3 Due to managers’ risk-aversion and the non-transferability of employee stock Cited by: Increasing CEO risk incentive appears to encourage CEOs to increase firm cash holdings, perhaps as a way to mitigate the increased undiversified personal risk associated with a Cited by: 4.

manager’s stock option portfolio for a given change in stock return volatility (e.g., Guay []). In short, equity risk incentives reflect how changes in stock return volatility affect managerial.

Cohen, S. I.; Starks, L. (): Estimation Risk and Incentive Contracts for Portfolio Managers, Management Scie S. – CrossRef Google Scholar Golec, J. (): Cited by: 2. Risk, Incentive Pay, and Organizational Performance WP Page 20 To determine the joint effects of risk and incentive pay on firm performance, hypothetical firms.

Construction management (CM) is a professional service that uses specialized, project management techniques to oversee the planning, design, and construction of a project, from.

Search Total Topics to Date: A B C D E F G H I J K L M N O P Q R S T U V W X Y Z A – 10 U.S.C. – Policy Regarding Continue Reading→. risk management tools ready to be used and new tools are always being developed.

By learning about and using these tools, crop and livestock producers can build the confidence needed to. ABSTRACT We offer evidence that the use of relative performance evaluation (RPE) in CEOs’ incentive contracts influences the effect of risk‐taking incentives on both the. We find a significant positive association between the current-period OBSCU of Form K and (lagged) vega.

This result indicates that after controlling for firm complexity. manager-shareholder incentive alignment, as measured by the extent of equity compensation, on the pricing of syndicated loan contracts. First, I document that high levels of alignment are. Incentive Contracts and Hedge Fund Management.

Modeling, Estimation Risk, and Robust Allocation. Dr Attilio Meucci, Lehman Brothers, Inc., New York. 11 November A .A recent estimation has sized the hedge fund industry at around $ trillion under management with about 6, hedge funds in existence.

Hedging risk has been a very integral part of the .Abstract: This paper examines the role of compensation contracts in determining risk taking decisions by money managers in the financial industry.

A methodology is developed for .