The principal-agent problem, tracking error, and the optimal investment portfolio

The principal seeks a portfolio manager to manage funds. The principal uses a tracking-error constraint that restricts the portfolio's volatility. Without the constraint, the manager may increase the portfolio return by adding high-variance assets. Tests assume that the benchmark is the value-w...

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Veröffentlicht in:	Applied economics letters 2015-02, Vol.22 (3), p.239-246
Hauptverfasser:	Boynton, Wentworth, Blosick, Gregory, Rainish, Robert F.
Format:	Artikel
Sprache:	eng
Schlagworte:	Agency theory Benchmarks Economic analysis Fama and French assets G1l Investment Portfolio management principal-agent problem Principal-agent theory Stocks Studies tracking error Volatility
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