Optimal risk-sharing with effort and project choice

DOI10.1016/J.JET.2005.12.007zbMath1280.91103OpenAlexW1993960361MaRDI QIDQ2370508

Abel Cadenillas, Jakša Cvitanić, Fernando Zapatero

Publication date: 26 June 2007

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2005.12.007

zbMATH Keywords

martingale methodsMerton's problemeffort and project choicefirst-best risk-sharing

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (21)

Competition and equilibrium effort choice ⋮ Optimal contracts in portfolio delegation ⋮ Conditional Analysis and a Principal-Agent Problem ⋮ Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function ⋮ Dynamic Contracting: Accidents Lead to Nonlinear Contracts ⋮ Security design with status concerns ⋮ Dynamic programming approach to principal-agent problems ⋮ Optimal contracting with effort and misvaluation ⋮ Asset pricing under optimal contracts ⋮ Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions ⋮ Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients ⋮ Optimal contracts and asset prices in a continuous-time delegated portfolio management problem ⋮ ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS ⋮ On managerial risk-taking incentives when compensation may be hedged against ⋮ Contracting Theory with Competitive Interacting Agents ⋮ Optimal contracts in continuous-time models ⋮ Optimal compensation with adverse selection and dynamic actions ⋮ Dynamic incentive contracts with termination threats ⋮ Dynamic contracting under imperfect public information and asymmetric beliefs ⋮ Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints ⋮ Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints

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