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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...
In this paper the ability of effort and risk choice of fund manager are considered simultaneously and both are related together by model settings. Under the case of observable effort and unobservable effort respectively, the influence of benchmark on the parameters selection of incentive contract is studied. The research discovers that under the case of observable effort of manager the benchmark has...
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