Dynamic contracting in asset management under the investor-partner-manager relationship

DOI10.1287/OPRE.2021.0031MaRDI QIDQ6580501zbMATH OpenFDO

Authors Jussi Keppo, Nizar Touzi, Ruiting Zuo

Publication date 29 July 2024

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2021.0031

zbMATH Keywords

financial engineeringmoral hazardprincipal-agent modelstochastic optimal control

Mathematics Subject Classification ID

Contract theory (moral hazard, adverse selection) (91B41) Principal-agent models (91B43) Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Optimal asset management contracts with hidden savings
• Optimal contracts and asset prices in a continuous-time delegated portfolio management problem
• Contracting to compete for flows
• Asset pricing under optimal contracts
• A continuous-time version of a delegated asset management problem

Cited in

(2)

• A new approach to principal-agent problems with volatility control
• Randomisation with moral hazard: a path to existence of optimal contracts

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