Exploration and delegation in risky choices

摘要

We experimentally investigate delegation in risky choices in a principal-agent framework. Agents are asked to build a portfolio for their principals by selecting among prospects that are presented either in a conventional descriptive way or are experienced through sampling (i.e., clicking paradigm). Principals are, however, offered the opportunity to avoid delegation and build their portfolio by paying a fee. We find that portfolios built by principals are more efficient in terms of mean-variance ratio and more ambitious in terms of expected returns (and risk) than those built by the delegated agents. The higher quality of the principal's portfolios is associated with higher effort exerted in the experience framework by principals than by agents. Principals anticipate differences in portfolio's performance but pay a large premium that negatively impacts on their final earnings.