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，得到了对称形式的闭式最优合约，包含固定费用、管理资产比例以及基于超额收益的奖惩。
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.