Optimal portfolio delegation when parties have different coefficients of risk aversion

DOI10.1080/14697680500305204MaRDI QIDQ3375392zbMATH OpenOpenAlexFDO

Authors

Publication date 8 March 2006

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680500305204

zbMATH Keywords

incentive inducementnon-smooth and non-concave utility optimizationpiecewise affine fee schedulesprincipal-agent theoryrisk sharing

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

• An Analysis of the Principal-Agent Problem
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Perspectives of Risk Sharing

Cited in

(26)

• Delegated portfolio management
• Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
• Delegated portfolio management under ambiguity aversion
• Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
• Portfolio optimization under convex incentive schemes
• Optimal risk-sharing with effort and project choice
• Portfolio delegation under short-selling constraints
• Security design with status concerns
• Multi-market portfolio optimization with conditional value at risk
• Behavioral portfolio selection: asymptotics and stability along a sequence of models
• Robust portfolios and weak incentives in long-run investments
• Optimal contract for delegated portfolio management with moral hazard
• Optimal contracts in portfolio delegation
• Entrepreneurial decisions on effort and project with a nonconcave objective function
• Utility maximization with a given pricing measure when the utility is not necessarily concave
• Delegated portfolio models with a risk constraint under loss aversion
• Weighted utility optimization of the participating endowment contract
• A classification approach to general s-shaped utility optimization with principals' constraints
• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
• Utility maximization under trading constraints with discontinuous utility
• Non-concave expected utility optimization with uncertain time horizon
• Mean-variance optimization for participating life insurance contracts
• An asymptotic approach to centrally planned portfolio selection
• Agency theory and higher-order risk changes
• Optimal contracts in continuous-time models
• Delegated dynamic portfolio management under mean-variance preferences

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