Optimism bias, portfolio delegation, and economic welfare
2017
Wang, Jian | Wang, Xiaoting | Zhuang, Xintian | Yang, Jun
This study explores the effects of investor optimism bias in a portfolio delegation framework. We show that the optimistic investor increases his portfolio delegation, while the risk-averse manager reduces investment in the risky asset. The investor suffers welfare loss due to lower expected return, but the manager enjoys increased compensation. The investor’s optimism bias aggravates the moral hazard problem.
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Эту запись предоставил National Agricultural Library