Electronic copy available at: http://ssrn.com/abstract=1573198 Experiments on Asset Pricing under Delegated Portfolio Management * Elena Asparouhova University of Utah Peter Bossaerts Caltech and EPFL Jernej Copic UCLA Bradford Cornell CRA and Caltech Jaksa Cvitanic † Caltech Debrah Meloso Bocconi University This version March 2010 * We are grateful for comments to seminar audiences at HKUST, Bocconi, and the University of Granada. Financial support was provided by a grant of the Moore foundation to Caltech (Bossaerts) and National Science Foundation grants SES-0616645 (Asparouhova), SES 0616431 (Bossaerts), and DMS 06-31298 (Cvitanic). Views expressed here are those of the authors and do not necessary reflect the views of any funding agency. † Corresponding author: Jaksa Cvitanic, Dpt. of Social Sciences, Caltech, 1200 E. California Blvd., MC 228-77, Pasadena, CA 91125. Tel. +1-626-395-1784, email: cvitanic@hss.caltech.edu