Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients
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Publication:6169626
DOI10.1137/22m1490156zbMath1520.91363arXiv2204.05403OpenAlexW4385647718MaRDI QIDQ6169626
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Publication date: 15 August 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2204.05403
Cites Work
- Contract theory in continuous-time models
- Continuous-time stochastic control and optimization with financial applications
- Mean field game of controls and an application to trade crowding
- Asset pricing under optimal contracts
- Optimal risk-sharing with effort and project choice
- Aggregation and Linearity in the Provision of Intertemporal Incentives
- Contracting Theory with Competitive Interacting Agents
- Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints
- Mean-Field Game Strategies for Optimal Execution
- Mean‐field games with differing beliefs for algorithmic trading
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