Incentive Contracts in Delegated Portfolio Management
分析最优非线性投资组合管理合同，发现期权式激励费能克服线性合同下的努力不足问题，且加入奖金激励费总是最优的，这对监管限制不对称业绩费有启示。
This article analyzes optimal nonlinear portfolio management contracts. We consider a setting in which the investor faces moral hazard with respect to the effort and risk choices of the portfolio manager. The employment contract promises the manager: (i) a fixed payment, (ii) a proportional asset-based fee, (iii) a benchmark-linked fulcrum fee, and (iv) a benchmark-linked option-type “bonus ” incentive fee. We show that the option-type incentive helps overcome the effort-underinvestment problem that undermines linear contracts. More generally, we find that for the set of contracts we consider, with the appropriate choice of benchmark it is always optimal to include a bonus incentive fee in the contract. We derive the conditions that such a benchmark must satisfy. Our results suggest that current regulatory restrictions on asymmetric performance-based fees in mutual fund advisory contracts may be costly. When investors delegate the portfolio management decision to a professional manager, they are faced with the classic problem of designing management-fee contracts. Neither the manager’s information nor the effort expended is directly observable by investors. Consequently, the appropriate contract should motivate the manager to exert costly effort to gather information relevant to security payoffs. The contract should also induce the manager to use this in-formation subsequently in choosing a portfolio with the desirable risk charac-teristics. Importantly, as recognized by Stoughton (1993), the effort incentives and the risk-taking incentives interact in a particular way in the delegated port-folio management setting, and therefore the solutions offered by the generic principal-agent literature are not readily applicable. For example, Stoughton shows that due to the feedback effect of risk incentives on the effort incentive, contracts in which the management fee is linearly related to portfolio returns lead to an underinvestment in effort expended by the manager, and such an