Optimal contracts and asset prices in a continuous-time delegated portfolio management problem

DOI10.3934/jimo.2022083OpenAlexW4285191296MaRDI QIDQ2691317

Shaoyong Lai, Zheng Dou

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022083

zbMATH Keywords

moral hazardprincipal-agent problemoptimal contractsdynamic programming principleasset-management

Mathematics Subject Classification ID

Related Items (1)

Optimal contracts to a principal-agent model with a diffusion coefficient affected by firm size

Cites Work

• Locally robust contracts for moral hazard
• Dynamic programming approach to principal-agent problems
• Asset pricing under optimal contracts
• Optimal contracting with effort and misvaluation
• The first-order approach when the cost of effort is money
• Optimal benchmarking for active portfolio managers
• Optimal risk-sharing with effort and project choice
• An uncertain wage contract model for risk-averse worker under bilateral moral hazard
• 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

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