Delegated portfolio management, benchmarking, and the effects on financial markets /
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| Author / Creator: | Igan, Deniz, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2015. |
| Description: | 1 online resource (39 pages) : color illustrations. |
| Language: | English |
| Series: | IMF working paper ; WP/15/198 IMF working paper ; WP/15/198. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12504697 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 No. 15/198eb | |
| 100 | 1 | |a Igan, Deniz, |e author. |0 http://id.loc.gov/authorities/names/no2006076631 | |
| 245 | 1 | 0 | |a Delegated portfolio management, benchmarking, and the effects on financial markets / |c prepared by Deniz Igan and Marcelo Pinheiro. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2015. | ||
| 300 | |a 1 online resource (39 pages) : |b color illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/15/198 | |
| 500 | |a "September 2015." | ||
| 500 | |a "Research Department." | ||
| 504 | |a Includes bibliographical references (pages 25-27). | ||
| 520 | |a We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark---a common solution to the agency problem in delegated portfolio management. In the presence of such relative performance- based objectives, investors have reduced expected utility but markets are typically more informative and deeper. Furthermore, in a multiple asset/market framework we show that (i) relative performance concerns lead to an increase in the correlation between markets (financial contagion); (ii) benchmark inclusion increases price volatility; (iii) home bias emerges as a rational outcome. When information is costly, information acquisition is hindered and this attenuates the effects on informativeness and depth of the market.--Abstract. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed September 15, 2015). | |
| 650 | 0 | |a Portfolio management |x Econometric models. | |
| 650 | 0 | |a Benchmarking (Management) |x Econometric models. | |
| 650 | 0 | |a Financial crises |x Econometric models. | |
| 650 | 6 | |a Gestion de portefeuille |x Modèles économétriques. | |
| 650 | 6 | |a Étalonnage concurrentiel |x Modèles économétriques. | |
| 650 | 7 | |a Financial crises |x Econometric models. |2 fast |0 (OCoLC)fst00924608 | |
| 650 | 7 | |a Portfolio management |x Econometric models. |2 fast |0 (OCoLC)fst01072078 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Pinheiro, Marcelo de Albuquerque, |d 1974- |e author. |0 http://id.loc.gov/authorities/names/no2003069220 | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. |0 http://id.loc.gov/authorities/names/n77001219 | |
| 830 | 0 | |a IMF working paper ; |v WP/15/198. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2015/198/001.2015.issue-198-en.xml |y INTERNATIONAL MONETARY FUND |
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| 928 | |t Library of Congress classification |a HG3881.5.I58W67 No. 15/198eb |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2015/198/001.2015.issue-198-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12149030 | ||