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Adverse Risk Incentives and the Design of Performance-Based Contracts
8 references·16 citing·43 second hopsampled
Adverse Risk Incentives and the Design of Performance-Based Contracts (1989)Adverse Risk Incentives and the Design of…Delegated portfolio management (1985)Delegated portfolio managementInvestment incentives, debt, and warrants (1984)Investment incentives, debt, …The valuation of compound options (1979)The valuation of compound opt…The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Mutual Fund Competition, Managerial Skill, and Alpha Persistence (2014)Mutual Fund Competition, Mana…Portfolio Manager Compensation in the U.S. Mutual Fund Industry (2012)Portfolio Manager Compensatio…Tournament Behavior in Hedge Funds: High-water Marks, Fund Liquidation, and Managerial Stake (2011)Tournament Behavior in Hedge …Investment Performance Evaluation (2010)Investment Performance Evalua…Incentive Contracts in Delegated Portfolio Management (2009)Incentive Contracts in Delega…Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence (2009)Does Prior Performance Affect…Incentives and Mutual Fund Performance: Higher Performance or Just Higher Risk Taking? (2008)Incentives and Mutual Fund Pe…Closed-Form Approximations for Spread Option Prices and Greeks (2008)Closed-Form Approximations fo…Active portfolio management with benchmarking: Adding a value-at-risk constraint (2007)Active portfolio management w…DELEGATED PORTFOLIO MANAGEMENT: A SURVEY OF THE THEORETICAL LITERATURE (2006)DELEGATED PORTFOLIO MANAGEMEN…Performance fee contract change and mutual fund risk (2004)Performance fee contract chan…Risk Taking and Optimal Contracts for Money Managers (2003)Risk Taking and Optimal Contr…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…Fund Advisor Compensation in Closed‐End Funds (2000)Fund Advisor Compensation in …Career Concerns of Mutual Fund Managers (1998)Career Concerns of Mutual Fun…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Liquidity Preference as Behavior Towards Risk (1958)Essays in the Theory of Risk-Bearing. (1972)The Economic Theory of Agency: The Principal's Problem. (1973)Collateral and Competitive Equilibria with Moral Hazard and Private Information (1987)The market for information and the origin of financial intermediation (1990)Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem (2003)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)THE GARCH OPTION PRICING MODEL (1995)Arbitrage Theory in Continuous Time (2004)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Convertible Securities and Venture Capital Finance (2003)Financing and Advising: Optimal Financial Contracts with Venture Capitalists (2003)Stage Financing and the Role of Convertible Securities (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of rational option pricing (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds Versus Pension Funds (1999)Mutual Fund Tournaments: The Sorting Bias and New Evidence (2011)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)On Persistence in Mutual Fund Performance (1997)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Investor Learning and Mutual Fund Flows (2011)Do ethics imply persistence? The case of Islamic and socially responsible funds (2013)The effect of social screening on bond mutual fund performance (2016)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Who Should Buy Portfolio Insurance? (1980)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Gain, Loss, and Asset Pricing (2000)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1979The valuation of compound options1,107 cited
  • 1984Investment incentives, debt, and warrants691 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1985Delegated portfolio management308 cited

Cited by

  • 2009Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence188 cited
  • 2008Incentives and Mutual Fund Performance: Higher Performance or Just Higher Risk Taking?182 cited
  • 2014Mutual Fund Competition, Managerial Skill, and Alpha Persistence167 cited
  • 2002Mutual Fund Advisory Contracts: An Empirical Investigation163 cited
  • 2003Risk Taking and Optimal Contracts for Money Managers155 cited
  • 2006DELEGATED PORTFOLIO MANAGEMENT: A SURVEY OF THE THEORETICAL LITERATURE143 cited
  • 2002Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare

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128 cited
  • 2000Fund Advisor Compensation in Closed‐End Funds106 cited
  • 2008Closed-Form Approximations for Spread Option Prices and Greeks102 cited
  • 2011Tournament Behavior in Hedge Funds: High-water Marks, Fund Liquidation, and Managerial Stake97 cited
  • 1998Career Concerns of Mutual Fund Managers97 cited
  • 2004Performance fee contract change and mutual fund risk91 cited
  • 2012Portfolio Manager Compensation in the U.S. Mutual Fund Industry85 cited
  • 2007Active portfolio management with benchmarking: Adding a value-at-risk constraint81 cited
  • 2010Investment Performance Evaluation77 cited
  • 2009Incentive Contracts in Delegated Portfolio Management76 cited