An Empirical Study on Optimal Stopping Decision for the Delegated Management

• Main Authors: Yi-Pon Chao, 趙怡邦
• Other Authors: Chen-Yu Maio
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/09561505146839611039

碩士 === 淡江大學 === 保險學系保險經營碩士班 === 93 === Not only the funds of government but also the incorporation has applied delegated management which entrust their assets to professional managers. According to past experience, neither domestic nor international managers do assure that the returns of a managed portfolios can beat the market index or exceed the returns operated by principals .If the principal only depends on managers’ past performance or provids them with incentive contract, one still could entrust assets to poor-skilled managers. Therefore, how to effectively evaluate the performance of managers and decide to retain or fire them during the delegated periods is the topic of delegated management now. In this study, we adopt Maio, Cheu-Yu’s (2003) the “optimal stopping decision for the designated management” model which is the objective rules to evaluate trustees under the minimization of expecting decision losses. Our empirical data is quarterly (monthly) returns of domestic-stock mutual funds during 1999.1 to 2004.12. Designing three kinds of delegated contracts with different delegated period and frequency of performance evaluation to analysize the stopping decision respectively . The main conclusions are (1) the optimal stopping criteria tend to be loosen along with time.(2) Many funds generating stopping decisions fall into stopping decision area in the later delegated periods.(3) The less evaluating cost is, the stricter optimal stopping criteria is. But the amount of cost doesn’t effect the choose of delegated contracts style at all.(4) Thr optimal stopping decision model is useful for a principal who has held mutual funds but not suitable for being a buying signal.(5) A principal should adopt quarterly performance evaluation which can determine performance style of funds more accurately.(6) The funds, both the accepted and rejected groups, which fall into stopping decision area conform with principal’s interests.