On portfolio delegation with moral hazard under translation ... - HIM

More documents

Recommendations

Info

Setup • Time is discrete: t ∈ T := {0, .., .T } • Uncertainty is described by (Ω, F , {F t }, P) • The N-dim. price process {P t } is F t −adapted • At time t ∈ T, (A) and (P) have access to F t • (A) has fixed initial cash endowment W 0
The financial market, wealth and cost • (A) trades in the financial market comprising the N assets <strong>with</strong> price at time t equal P t Denote ∆˜P t+1 := diag(P t ) −1 ∆P t+1 • Choosing a strategy {A t }, the (A) generates wealth for (P): ∆W t+1 = A t · ∆˜P t+1 • Associated <strong>with</strong> each strategy {A t } is a cost (of effort) C := ∑ t c t (A t )∆t
Page 1 and 2: On portfolio delegation with moral
Page 3: Context • There is an investor (P
Page 7 and 8: Comments • The Agent’s optimiza
Page 9 and 10: Attainability Theorem (Existence of
Page 11 and 12: The Principal’s problem • If A
Page 13 and 14: The principal’s problem • (P) c
Page 15 and 16: Attainability of Principal’s prob
Page 17 and 18: Predictable representation property
Page 19 and 20: Markovian models Remark: Optimal ε
Page 21 and 22: Continuous-time analog • Define u
Page 23 and 24: To be better understood • Explore

On portfolio delegation with moral hazard under translation ... - HIM

Create successful ePaper yourself

Delete template?

Save as template?