SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers
3 references·16 citing·47 second hop
Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers (1997)Does It All Add Up? Benchmarks and the Co…A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…The Theory of Syndicates (1968)The Theory of SyndicatesPortfolio Manager Compensation in the U.S. Mutual Fund Industry (2018)Portfolio Manager Compensatio…Mutual fund herding and stock price crashes (2018)Mutual fund herding and stock…International herding: Does it differ across sectors? (2012)International herding: Does i…Equilibrium prices in the presence of delegated portfolio management (2011)Equilibrium prices in the pre…Portfolio Performance and Agency (2009)Portfolio Performance and Age…Agency and Asset Pricing (2008)Agency and Asset PricingOptimal Decentralized Investment Management (2006)Optimal Decentralized Investm…Momentum, Reversal, and the Trading Behaviors of Institutions (2006)Momentum, Reversal, and the T…Market Discipline and Internal Governance in the Mutual Fund Industry (2006)Market Discipline and Interna…DELEGATED PORTFOLIO MANAGEMENT: A SURVEY OF THE THEORETICAL LITERATURE (2006)DELEGATED PORTFOLIO MANAGEMEN…Portfolio Optimization with Tracking-Error Constraints (2003)Portfolio Optimization with T…Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem (2003)Optimal Contracts in a Contin…A nonparametric test of market timing (2003)A nonparametric test of marke…Mutual Fund Advisory Contracts: An Empirical Investigation (2002)Mutual Fund Advisory Contract…Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare (2002)Fee Speech: Signaling, Risk-S…The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds Versus Pension Funds (1999)The Determinants of the Flow …Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Herding and Delegated Portfolio Management: The Impact of Relative Performance Evaluation on Asset Allocation (2011)The Volatility Effect in Emerging Markets (2012)Benchmarking Intensity (2022)Risk Aversion in the Small and in the Large (1976)Moral Hazard and Observability (1979)Optimal contracts and competitive markets with costly state verification (1979)Signaling in Retrospect and the Informational Structure of Markets (2002)An Analytic Derivation of the Efficient Portfolio Frontier (1972)The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)Value At Risk: The New Benchmark for Managing Financial Risk (2000)Financial Advice and Individual Investors' Portfolios (2007)Mean-risk models using two risk measures: a multi-objective approach (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)On Persistence in Mutual Fund Performance (1997)Brownian Motion and Stochastic Calculus (2007)Free Cash Flow, Issuance Costs, and Stock Prices (2011)The Effect of Risk on the CEO Market (2011)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Risk Taking by Mutual Funds as a Response to Incentives (1997)Costly Search and Mutual Fund Flows (1998)Flows, Performance, and Managerial Incentives in Hedge Funds (2003)On the Industry Concentration of Actively Managed Equity Mutual Funds (2003)Assessing Asset Pricing Models Using Revealed Preference (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On estimating the expected return on the market (1980)The Cross-section of Managerial Ability, Incentives, and Risk Preferences (2011)The cross-section of stock returns in frontier emerging markets (2012)Decentralized Investment Management: Evidence from the Pension Fund Industry (2013)The Economic Theory of Agency: The Principal's Problem. (1973)Aggregation and Linearity in the Provision of Intertemporal Incentives (1987)Optimal Asset Allocation and Risk Shifting in Money Management (2007)WSJ Category Kings - The Impact of Media Attention on Consumer and Mutual Fund Investment Decisions (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Do fire sales create externalities? (2019)Sustainability or performance? Ratings and fund managers’ incentives (2024)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)An evolutionary heuristic for the index tracking problem (2003)The Gambler's and Hot-Hand Fallacies: Theory and Applications (2009)
this work references cited by second hop

References

  • 1968The Theory of Syndicates1,178 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited

Cited by

  • 2011Equilibrium prices in the presence of delegated portfolio management308 cited
  • 2003Portfolio Optimization with Tracking-Error Constraints246 cited
  • 2003Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem242 cited
  • 2018Portfolio Manager Compensation in the U.S. Mutual Fund Industry215 cited
  • 2008Agency and Asset Pricing180 cited
  • 1999The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds Versus Pension Funds172 cited
  • 2006Optimal Decentralized Investment Management166 cited
  • 2002Mutual Fund Advisory Contracts: An Empirical Investigation163 cited
  • 2003A nonparametric test of market timing159 cited
  • 2009Portfolio Performance and Agency149 cited
  • 2012International herding: Does it differ across sectors?143 cited
  • 2006DELEGATED PORTFOLIO MANAGEMENT: A SURVEY OF THE THEORETICAL LITERATURE143 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2002Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare128 cited
  • 2018Mutual fund herding and stock price crashes123 cited
  • 2006Market Discipline and Internal Governance in the Mutual Fund Industry120 cited
  • 2006Momentum, Reversal, and the Trading Behaviors of Institutions120 cited