%0 Journal Article
%T How Do Principal-Agent Effects in Delegated Portfolio Management Affect Asset Prices?
%A Petter N. Kolm
%J Journal of Mathematical Finance
%P 407-415
%@ 2162-2442
%D 2013
%I Scientific Research Publishing
%R 10.4236/jmf.2013.34042
%X <p align=\"justify\">
	<span style=\"font-family:Verdana;\">We investigate the impact of delegated portfolio management on asset prices in a noisy rational equilibrium model. Asset prices in our model are linear in fund managersĄŻ private signals and in realized supply shocks. We show that equilibrium expected returns 1) decrease as the proportion of fund managers increase in the economy</span><span style=\"font-family:Verdana;\">;</span><span style=\"font-family:Verdana;\"> 2) decrease as the precision of fund managersĄŻ signals increase</span><span style=\"font-family:Verdana;\">ĄŻ</span><span style=\"font-family:Verdana;\"> and 3) increase as the fund managersĄŻ contingent fees increase.</span> 
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%K Delegated Portfolio Management
%K Portfolio Choice
%K Asset Pricing
%K Noisy Rational Expectations Equilibrium
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=38142