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• W2801725004 abstract "We analyze the asset management problem when the manager is remunerated through a scheme based on the performance of the fund with respect to a benchmark and his/her choices are driven by a power utility function. We show that it is not the asymmetric-fulcrum type feature of the scheme that makes the difference in preventing excessive risk taking in case of a poor performance. To prevent gambling when the performance deteriorates, it is important not to provide a fixed fee to the asset manager, and that remuneration is sensitive to a very poor relative performance as in the case of a capital stake or of a management fee with flow funds. We provide empirical evidence on the mutual fund industry showing excessive risk taking in case of a very poor performance and limited risk taking in case of overperformance with respect to the benchmark. These results agree with a remuneration scheme including a fixed fee and a cap." @default.
• W2801725004 created "2018-05-17" @default.
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• W2801725004 date "2018-04-19" @default.
• W2801725004 modified "2023-09-24" @default.
• W2801725004 title "On relative performance, remuneration and risk taking of asset managers" @default.
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• W2801725004 doi "https://doi.org/10.1007/s10436-018-0324-5" @default.
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