Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints
نویسندگان
چکیده
منابع مشابه
Optimal Contract for a Fund Manager, with Capital Injections and Endogenous Trading Constraints
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process (interpreted as capital injections), and (ii) in the more general form of principal’s objective function, which is allowed to ...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2019
ISSN: 1945-497X
DOI: 10.1137/18m1172867