Portfolio Performance and Agency

By Philip H. Dybvig, Heber Farnsworth, Jennifer N. Carpenter. 2004

170 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3aa8a31fa861aebcd64c465db73d3849f707c6d7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. George G. Pennacchi
2. K. Brown
3. Suleyman Basak
4. Anna Pavlova
5. Andrés Almazán
6. Huifen. Chen
7. Roberto Rigobon

In Finance

1. Anna Pavlova
2. Suleyman Basak
3. Roberto Rigobon
4. George G. Pennacchi
5. K. Brown
6. Michael J. Brennan
7. Andrés Almazán
8. David A. Chapman

In Management Science and Operations Research

1. George G. Pennacchi
2. Anna Pavlova
3. Roberto Rigobon

Citations in the corpus

• The Price of Diversifiable Risk in Venture Capital and Private Equity (2013, unknown): “Dybvig, Farnsworth, and Carpenter (2010) show that an option-like contract may be optimal if the agent chooses both effort and a portfolio.”
• Why constrain your mutual fund manager (2004, background): “Given the way constraint information is compiled in SEC reports, partial constraints are difficult to detect in our data.(12) Admittedly, the potential presence of partial restrictions can affect the interpretation of our findings.”
• Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence (2009, background): “Dybvig, Farnsworth, and Carpenter (2009) also find that contracts should include a bonus proportional to the fund’s return in excess of a benchmark return when a fund manager’s effort determines the quality of her information.3 Other research, such as Huberman and Kandel (1993), Heinkel and…”
• Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010, unknown): “Dybvig et al. (2004) and references therein.”
• Agency and Asset Pricing (2008, background): “One such signal is the return on an unmanaged portfolio such as a market index, and Carpenter et al. (2006) provide conditions under which it is optimal”
• Asset Prices and Institutional Investors (2013, background): “…which imposes few restrictions on preferences and distributions.18 17A related recent work modelling portfolio delegation under moral hazard is Dybvig, Farnsworth, and Carpenter (2010) who show that under certain conditions, benchmarking the manager against the index emerges as an optimal…”
• The Role of Portfolio Constraints in the International Propagation of Shocks (2008, background): “18For the latter, see, for example, recent papers by Basak, Pavlova, and Shapiro (2006) and Dybvig, Farnsworth, and Carpenter (2006).”