This paper analyses the portfolio problem of an investor maximizing the expected exponential utility of his terminal real wealth. The investor must cope with both a set of stochastic investment opportunities and a set of background risks. If the market is complete we are able to find an exact solution. If the market is incomplete, we suggest an approximated general solution. Contrary to other e...

We consider the problem of finding equilibrium asset prices in a financial market in which a portfolio manager (Agent) invests on behalf of an investor (Principal), who compensates the manager with an optimal contract. We extend a model from Buffa, Vayanos and Woolley (2014), BVW (2014), by allowing general contracts. We find that the optimal contract rewards Agent for taking specific risk of i...

Penanaman Modal Asing memiliki peran penting dalam meningkatkan pertumbuhan ekonomi dan kesejahteraan masyarakat di negara maju maupun sedang berkembang. Indonesia dianggap sebagai salah satu destinasi investasi asing terbaik dunia karena ekonominya yang terus kuat meskipun terdapat risiko kendala pelaksanaannya seperti instabilitas politik keamanan, inkonsistensi kebijakan, pengaturan, impleme...

This paper studies how comparing can be used to provide information in financial markets in the presence of a hidden characteristics problem. Although an investor cannot precisely estimate the future returns of an entrepreneur’s projects, the investor can mitigate the asymmetric information problem by ranking different entrepreneurs and financing only the very best ones. Information asymmetry c...

Title of dissertation: ESSAYS ON MUTUAL FUNDS Nitin Kumar, Doctor of Philosophy, 2013 Dissertation directed by: Professor Russ Wermers Department of Finance Robert H. Smith School of Business This dissertation comprises of three essays on mutual funds. In the first essay, I test whether fund investors rationally incorporate portfolio manager ownership disclosure in their portfolio allocation de...

Most R&D projects are executed by employing teams of researchers and in distinct phases. These two features distinguish the agency problem that a firm faces with respect to its inhouse R&D unit from traditional principal-agent problems. This paper analyzes this agency problem by studying a continuous-time multi-agent incentive problem in which a principal hires two risk-averse agents to perform...

An optimal selling strategy for stock trading is presented in this paper. An investor with a long position in one stock decides to close the position before a given time. The investor continuously observes the stock price performance and has to determine the point in time to close out the position (selling strategy) so that the stock price is as close as possible to the maximum price. The proba...

We analyze the portfolio choice of an investor who can invest in two risky assets (in addition to a riskless asset) and who is subject to taxes on realized capital gains. These taxes appear in the portfolio choice problem as a form of time-dependent, endogenous transaction costs. Similar to the case of portfolio choice with transaction costs, the optimal strategy of the taxable investor contain...