Conditional Analysis and a Principal-Agent Problem
نویسندگان
چکیده
منابع مشابه
Conditional Analysis and a Principal-Agent Problem
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the literature for very specific instances of the problem carry over to translation invariant and time-consistent utility functions in very general probabilistic setti...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2016
ISSN: 1945-497X
DOI: 10.1137/14100066x