Moral Hazard and the Portfolio Management Problem
研究非线性合同如何激励投资组合经理收集并如实披露信息，发现线性合同导致努力不足，而二次合同能有效解决这一问题，且对风险容忍度高的委托人渐近最优。
ABSTRACT This paper investigates the significance of nonlinear contracts on the incentive for portfolio managers to collect information. In addition, the manager must be motivated to disclose this information truthfully. We analyze three contracting regimes: (1) first‐best where effort is observable, (2) linear with unobservable effort, and (3) the optimal contract within the Bhattacharya‐Pfleiderer quadratic class. We find that the linear contract leads to a serious lack of effort expenditure by the manager. This underinvestment problem can be successfully overcome through the use of quadratic contracts. These contracts are shown to be asymptotically optimal for very risk‐tolerant principals.