Risikoanreize bei der Gestaltung erfolgsabhängiger Entlohnungssysteme für Kapitalanlagegesellschaften

Raimond Maurer
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Raimond Maurer: Universität Mannheim

Schmalenbach Journal of Business Research, 1998, vol. 50, issue 6, 507-530

Abstract: Summary Traditional fees reward portfolio managers with a fixed percentage of the volume of assets under management. Whether the increase of the asset volume comes from general market movements or from the portfolio manager’s skill in stock selection or market timing, is irrelevant. Performance based management fees link the advisor’s reward more directly to his skill. A potential problem with some of these contracts is that they possibly make portfolio managers to alter the risk of the portfolio in a manner, which is not wanted by the sponsors of the fund. This paper uses option pricing theory to develop conditions for contract parameters that provide proper risk incentives for different kinds of investment strategies.

Date: 1998
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DOI: 10.1007/BF03371519

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