On portfolio delegation with moral hazard under translation ... - HIM
On portfolio delegation with moral hazard under translation ... - HIM
On portfolio delegation with moral hazard under translation ... - HIM
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A related problem<br />
Suppose contracts had had the form<br />
<strong>with</strong> ε ∈ L 0 (F 0 ) only.<br />
S = ε + ∑ [β t ∆W t+1 + ν t ∆˜P t+1 ]<br />
• (A)’s utility not so readily controllable<br />
• Translation Invariance still useful: we get two BS∆Es<br />
• Conditional optimization problems easier than before: problem<br />
at time t involves only F t −measurable rvs. even <strong>with</strong>out PRP<br />
• Still β t ≡ 1 is optimal if a related unconstrained problem is<br />
attainable
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