慶應義塾大学 経済学部 PEARL入試 志望理由書 提出例(佐藤 祐己先生ゼミ向け)
Dr. Yuki Sato
Department of Economics, International Finance
Dear Professor Sato,
I am writing this letter with an intention to explain my background of study and determination in applying for Department of Economics at Keio University, specializing in International Finance. I have read a number of your published work which I was very intrigued by. I would be more than grateful if you could kindly give this a consideration.
Abstract – It has often been discussed, problem of finding equilibrium asset prices in a financial market in which a portfolio manager (agent at investment bank or hedge fund) invests on behalf of an investor (investor client), who compensates the manager with an optimal contract. Here, agency relationship between investors and asset managers affects equilibrium prices in different contract models – optimal contract and asset-pricing model.
Question – How is the market landscape changing over the last decades as investment agencies emerged and started playing a major role?
Methodology – Study market trend and entailing contract models based on evidence and numbers in the US market.
Findings – Whether good or bad, financial markets have become highly institutionalized. In an instance, individual investors were holding directly 47.9% of U.S. stocks in 1980, but only 21.5% in 2007, with most of the remainder held by financial institutions such as mutual funds, pension funds and insurance companies. Financial institutions account for an even larger share of the market for bonds, derivatives and commodities. Developing a model of optimal contracting between investors and managers that combines (i) moral hazard arising from managers’ effort to acquire information and (ii) adverse selection arising from managers’ preferences and the private information they may acquire, is a challenging task, as the agency problem in asset management and its implications for managers’ portfolio choice and equilibrium asset prices are the subject of a large theoretical literature. According to London University Journal, common strands of the literature focuses on managers’ reputation concerns, investors’ decisions to invest with managers as a function of managers’ past performance or contracts between investors and their asymmetric effects across overvalued and undervalued assets.
Summary – Many experts argue, optimal contract includes risk limits. Risk limits generate a healthy risk-return relationship where overvalued assets have low expected return and high volatility, while undervalued assets have high expected return and low volatility. I believe this thesis has room for further review as these institutions count for a large part of our economy exchanges, and I would love to take part in your seminar to conduct more research and deepen my understanding. Thank you very much for taking the time and I look forward to hearing from you soon.
*Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices, Journal of Economic Theory, 2016, 165, 360-389. *Asset pricing under optimal contracts, Jaksa Cvitanic and Hao Xing, Journal of Economic Theory, 2018