Asparouhova, Elena; Bossaerts, Peter; Copic, Jernej; … - IGIER (Innocenzo Gasparini Institute for Economic … - 2012
We develop a new theory of delegated investment whereby managers compete in terms of composition of the portfolios they promise to acquire. We study the resulting asset pricing in the inter-manager market. We incentivize investors so that we obtain sharp predictions. Managers are paid a fixed...