Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem
在连续时间委托代理框架下，研究个人投资者与专业投资经理之间的合约设计问题，得到了封闭形式的最优合约，该合约包含固定费用、管理资产比例以及基于超额收益的奖惩，基准组合为动态主动指数。
This article studies the contracting problem between an individual investor and a professional portfolio manager in a continuous-time principal-agent framework. Optimal contracts are obtained in closed form. These contracts are of a symmetric form and suggest that a portfolio manager should receive a fixed fee, a fraction of the total assets under management, plus a bonus or a penalty depending upon the portfolio's excess return relative to a benchmark portfolio. The appropriate benchmark portfolio is an active index that contains risky assets where the number of shares invested in each asset can vary over time, rather than a passive index in which the number of shares invested in each asset remains constant over time.