Palomino, Frédéric; Uhlig, Harald - 2002
ability who controls the riskiness of his portfolio and investors who only observe realized returns. We derive conditions … too high, (ii) an informed fund manager picks a portfolio of minimal riskiness and (iii) an uninformed mutual fund manager … will pick a portfolio with higher risk, "gambling" on a lucky outcome, (iv), when the fee structure is endogenous, both …