Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients
From MaRDI portal
Abstract: This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features of this work are as follows: (i) the reservation values of the clients are determined endogenously, and (ii) the broker is allowed to not offer a contract to some of the potential clients, thus choosing her portfolio of clients strategically. We find a computationally tractable characterization of the optimal portfolios of clients (up to a digital optimization problem, which can be solved efficiently if the number of potential clients is small) and conduct numerical experiments which illustrate how these portfolios, as well as the equilibrium profits of all market participants, depend on the price impact coefficients.
Recommendations
- The broker-optimal bilateral trading mechanisms with linear contracts
- An optimal execution problem in the volume-dependent Almgren-Chriss model
- Optimal liquidation trajectories for the Almgren-Chriss model
- Optimal contracts to a principal-agent model with a diffusion coefficient affected by firm size
- Optimal contracts and asset prices in a continuous-time delegated portfolio management problem
- Optimal incentive contracts with multiple agents
- Optimal contracts for agents with adverse selection
- The existence of optimal contracts in the principal-agent model
- Optimal contracts in continuous-time models
- scientific article; zbMATH DE number 1836448
Cites work
- Aggregation and Linearity in the Provision of Intertemporal Incentives
- Asset pricing under optimal contracts
- Continuous-time stochastic control and optimization with financial applications
- Contract theory in continuous-time models
- Contracting theory with competitive interacting agents
- Mean field game of controls and an application to trade crowding
- Mean-Field Game Strategies for Optimal Execution
- Mean-field games with differing beliefs for algorithmic trading
- Optimal contract for a fund manager with capital injections and endogenous trading constraints
- Optimal risk-sharing with effort and project choice
Cited in
(5)- An optimal strategy and limiting profit of a broker under the conditions of delay of supplies and payments
- Optimal make-take fees in a multi market-maker environment
- Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal
- Optimal contracts for delegated order execution
- Neural operators can play dynamic Stackelberg games
This page was built for publication: Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6169626)
