Asset pricing under optimal contracts

DOI10.1016/j.jet.2017.10.005zbMath1400.91535OpenAlexW2594830873MaRDI QIDQ1693186

Jakša Cvitanić, Hao Xing

Publication date: 11 January 2018

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

Full work available at URL: http://eprints.lse.ac.uk/84952/

zbMATH Keywords

principal-agent problemoptimal contractsequilibrium asset pricingasset-management

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic ⋮ Performance Fees with Stochastic Benchmark ⋮ Optimal fund menus ⋮ Principal-agent problem with multiple principals ⋮ Continuous-time incentives in hierarchies ⋮ Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients ⋮ Optimal contracts and asset prices in a continuous-time delegated portfolio management problem

Cites Work

• Delegated portfolio management
• Optimal benchmarking for active portfolio managers
• Optimal risk-sharing with effort and project choice
• A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORAL-HAZARD ECONOMY WITH FINANCIAL MARKETS
• A Continuous-Time Version of the Principal–Agent Problem
• Aggregation and Linearity in the Provision of Intertemporal Incentives

This page was built for publication: Asset pricing under optimal contracts