Noise Trading, Delegated Portfolio Management, and Economic Welfare
构建了一个股票市场模型，其中投资经理有时无法发现盈利机会，但客户无法区分“主动不作为”和“被动不作为”，导致经理进行噪声交易。研究发现噪声交易量可能很大，且可能改善帕累托效率。
The authors consider a model of the stock market with delegated portfolio management. Portfolio managers try, but sometimes fail, to discover profitable trading opportunities. Although it is best not to trade in this case, their clients cannot distinguish 'actively doing nothing, ' in this sense, from 'simply doing nothing.' The authors show that some portfolio managers trade even though they have no reason to prefer one asset to another (noise trade); the amount of such noise trade can be large compared to the amount of hedging volume; and, perhaps surprisingly, noise trade may be Pareto improving. Copyright 1997 by the University of Chicago.