Risk minimization and optimal derivative design in a principal agent game
نویسندگان
چکیده
منابع مشابه
Risk Minimization and Optimal Derivative Design in a Principal Agent Game
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal’s income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She evaluates her risk using a coherent and law invariant risk measure and tries minimize her exposure by selling derivative securities on her income to individual ...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2008
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-008-0012-8