کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
957414 | 928525 | 2007 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal risk-sharing with effort and project choice
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We consider first-best risk-sharing problems in which “the agent” can control both the drift (effort choice) and the volatility of the underlying process (project selection). In a model of delegated portfolio management, it is optimal to compensate the manager with an option-type payoff, where the functional form of the option is obtained as a solution to an ordinary differential equation. In the general case, the optimal contract is a fixed point of a functional that connects the agent's and the principal's maximization problems. We apply martingale/duality methods familiar from optimal consumption-investment problems.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 133, Issue 1, March 2007, Pages 403–440
Journal: Journal of Economic Theory - Volume 133, Issue 1, March 2007, Pages 403–440
نویسندگان
Abel Cadenillas, Jakša Cvitanić, Fernando Zapatero,