Notice of RetractionDelegated portfolio management under active risk budgeting

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.

This paper examines delegated portfolio management when managers face active risk budgeting constraints. In particular, it focuses on the impacts of risk budgeting on managers´ optimal effort decision and on investors´ contract design. The results indicate that managers spend a low level of effort when they are constrained than when they are unconstrained regardless of whether the effort is observable or not, and the effort managers spend decreases as the constraint becomes tighter. However, active risk budgeting has negligible impacts on investors´ contract design. In addition, the contract sharing coefficient without risk budgeting restrictions is still optimal in the scenario where the active risk budgeting is present and the effort is observable.