Is the second best outcome of static agency models renegotiation proof? In models with one period of renegotiation, Fudenberg and Tirole (1990) answer no when the principal makes the offer, while Ma (1994) and Matthews (1995) answer yes when the agent makes the offer. This paper analyzes the robustness of these two claims when there are more periods of renegotiation. With a known number of peri...

We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement. By constraining the investor to have no more than the target wealth at retirement, we find that the lower quantile...

We consider a consumption-investment problem (both on finite and an infinite time horizon) in which the investor has access to bond market. In our approach prices of bonds with different maturities are described by general HJM factor model. ass

This paper analyzes the real effects of differences in structures on financial markets, especially concerning quasi-equilibrium unemployment. It argues that a vibrant venture capital market is an important prerequisite for financing structural change and thus for keeping unemployment low in the ongoing transition to the “new economy”. It furthermore points out the crucial importance of extensiv...

Agency problem exists in every business because of the interest conflicts between managers and shareholders. There is a need to find balanced method increase business’ profit ensure managers’ working efficiency. Employees can reach their potential ability under this harmonious environment that everyone show talents on own stages. A compensation package one solutions maintain balance provide mut...

When an asset is completely liquid, an investor can realize his desirable strategy. But when the asset is not sufficiently liquid, the investor cannot trade the asset continuously and his strategy is restricted. He has to consider the risk of the failure of the trade. In this paper a risky asset is traded at the random times and an investor has a power utility function. In this situation we sol...

When the asset is completely liquid, the investor can realize his desirable strategy. But when the asset is not sufficiently liquid, the investor cannot trade the asset continuously and the strategy is restricted. He has to consider the risk of the failure of the trade. In this paper the risky asset is traded at the random times and the investor has the power utility function. In this situation...

In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo [6]. In particular, we consider a stochastic differential game between two players, namely, the investor who has a power utility while the second player represents the market which tries to minimize the expected payoff of the investor. The market does this b...