Conditional Analysis and a Principal-Agent Problem

DOI10.1137/14100066XMaRDI QIDQ3188152zbMATH OpenFDO

Authors Julio Daniel Backhoff, Ulrich Horst

Publication date 17 August 2016

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.4698

zbMATH Keywords

portfolio delegationprincipal-agent problemconditional analysisvariational utilities

Mathematics Subject Classification ID

Portfolio theory (91G10)

Abstract: We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the literature for very specific instances of the problem carry over to translation invariant and time-consistent utility functions in very general probabilistic settings. However, we find that optimal contracts must in general make use of derivatives for compensation.

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Cited in

(9)

• Diving gains between a client and her agent
• Optimal contracts in portfolio delegation
• Distributions for the first-order approach to principal-agent problems
• An analytically solvable principal-agent model
• The principal-agent problem for service rate event-dependency
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• Measures and integrals in conditional set theory
• Robust contracting in general contract spaces

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