| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP2109
|
| DP2109 The Political Economy of Employment Protection |
| Gilles Saint-Paul
|
| 发表日期 | 1999-03-29
|
| 出版年 | 1999
|
| 语种 | 英语
|
| 摘要 | Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk-taking behavior. We develop a general model of delegated portfolio management, with the feature that the agent can control the riskiness of the portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is not only effort exertion but also risk taking behavior. The moral hazard problem with risk taking involves an incentive-compatibility constraint on risk, which we characterize. We distinguish between one period and several periods. In the former case, under mild conditions, there exists a first-best contract which takes the form of a bonus contract. In the latter, we show that there exists no first-best contract and we use a numerical approximation to study the properties of the second-best contract.Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk-taking behavior. We develop a general model of delegated portfolio management, with the feature that the agent can control the riskiness of the portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is not only effort exertion but also risk taking behavior. The moral hazard problem with risk taking involves an incentive-compatibility constraint on risk, which we characterize. We distinguish between one period and several periods. In the former case, under mild conditions, there exists a first-best contract which takes the form of a bonus contract. In the latter, we show that there exists no first-best contract and we use a numerical approximation to study the properties of the second-best contract. |
| 主题 | Financial Economics
|
| 关键词 | Limited liability
Money managers
Moral hazard
Risk
|
| URL | https://cepr.org/publications/dp2109
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531223
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推荐引用方式
GB/T 7714 |
Gilles Saint-Paul. DP2109 The Political Economy of Employment Protection. 1999.
|
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