Title :
A Study of Delegated Portfolio Management Based on Overconfidence
Author_Institution :
Coll. of Econ. & Manage., Zhejiang Normal Univ., Jinhua, China
Abstract :
The problem of optimal portfolio selection and incentive under the condition of the agent´s overconfidence is researched in this paper. It is shown in this paper that the overconfidence level of the agent has significant effects on the agent´s optimal portfolio selection and incentive. In delegated portfolio management, if the agent is overconfident, the principal´s expectation utility would be increased and the principal-agent cost would be cut down.
Keywords :
financial management; incentive schemes; investment; agent overconfidence; delegated portfolio management; incentive; optimal portfolio selection; principal expectation utility; principal-agent cost; Contracts; Economics; Educational institutions; Ethics; Investments; Portfolios; Resource management; Optimal Incentive; Optimal Portfolio; Overconfidence; Principal-agent;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4577-1541-9
DOI :
10.1109/BIFE.2011.8
