Optimal portfolio delegation when parties have different coefficients of risk aversion
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DOI: 10.1080/14697680500305204
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References listed on IDEAS
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Cited by:
- Basak, Suleyman & Makarov, Dmitry & Shapiro, Alex & Subrahmanyam, Marti, 2020.
"Security design with status concerns,"
Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
- Basak, Suleyman & Subrahmanyam, Marti & Makarov, Dmitry & Shapiro, Alex, 2020. "Security Design with Status Concerns," CEPR Discussion Papers 15193, C.E.P.R. Discussion Papers.
- Escobar-Anel, M. & Havrylenko, Y. & Zagst, R., 2020.
"Optimal fees in hedge funds with first-loss compensation,"
Journal of Banking & Finance, Elsevier, vol. 118(C).
- Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst, 2023. "Optimal fees in hedge funds with first-loss compensation," Papers 2310.19023, arXiv.org.
- Thai Nguyen & Mitja Stadje, 2018. "Optimal investment for participating insurance contracts under VaR-Regulation," Papers 1805.09068, arXiv.org, revised Jul 2019.
- Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2007. "Optimal risk-sharing with effort and project choice," Journal of Economic Theory, Elsevier, vol. 133(1), pages 403-440, March.
- Maxim Bichuch & Stephan Sturm, 2014. "Portfolio optimization under convex incentive schemes," Finance and Stochastics, Springer, vol. 18(4), pages 873-915, October.
- Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
- Cuoco, Domenico & Kaniel, Ron, 2011.
"Equilibrium prices in the presence of delegated portfolio management,"
Journal of Financial Economics, Elsevier, vol. 101(2), pages 264-296, August.
- Cuoco, Domenico & Kaniel, Ron, 2009. "Equilibrium Prices in the Presence of Delegated Portfolio Management," CEPR Discussion Papers 7453, C.E.P.R. Discussion Papers.
- Alain Bensoussan & Abel Cadenillas & Hyeng Keun Koo, 2015. "Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function," Mathematics of Operations Research, INFORMS, vol. 40(4), pages 902-914, October.
- Guasoni, Paolo & Muhle-Karbe, Johannes & Xing, Hao, 2017. "Robust portfolios and weak incentives in long-run investments," LSE Research Online Documents on Economics 60577, London School of Economics and Political Science, LSE Library.
- Sotes-Paladino, Juan & Zapatero, Fernando, 2022. "Carrot and stick: A role for benchmark-adjusted compensation in active fund management," Journal of Financial Intermediation, Elsevier, vol. 52(C).
- Maxim Bichuch & Stephan Sturm, 2011. "Portfolio Optimization under Convex Incentive Schemes," Papers 1109.2945, arXiv.org, revised Oct 2013.
- Anne MacKay & Adriana Ocejo, 2022. "Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1021-1049, June.
- Christian Dehm & Thai Nguyen & Mitja Stadje, 2020. "Non-concave expected utility optimization with uncertain time horizon," Papers 2005.13831, arXiv.org, revised Oct 2021.
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Keywords
Principal-agent theory; risk sharing; incentive inducement; non-smooth and non-concave utility optimization; piecewise affine fee schedules;All these keywords.
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