Continuous-Time Principal-Agent Problem with Drift and Stochastic Volatility Control: With Applications to Delegated Portfolio Management

SSRN Electronic Journal ◽

10.2139/ssrn.2482009 ◽

2014 ◽

Cited By ~ 4

Author(s):

Raymond C. W. Leung

Keyword(s):

Stochastic Volatility ◽

Portfolio Management ◽

Continuous Time ◽

Principal Agent ◽

Principal Agent Problem ◽

Delegated Portfolio Management

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The Continuous-Time Principal-Agent Problem with Moral Hazard and Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.1573246 ◽

2010 ◽

Cited By ~ 1

Author(s):

Mark D. Schroder ◽

Sumit Sinha ◽

Shlomo Levental

Keyword(s):

Moral Hazard ◽

Continuous Time ◽

Principal Agent ◽

Recursive Preferences ◽

Principal Agent Problem

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The First-Best Sharing Rule in the Continuous-Time Principal–Agent Problem with Exponential Utility

Journal of Economic Theory ◽

10.1006/jeth.1997.2381 ◽

1998 ◽

Vol 79 (2) ◽

pp. 276-280 ◽

Cited By ~ 26

Author(s):

Holger M Müller

Keyword(s):

Continuous Time ◽

Exponential Utility ◽

Principal Agent ◽

Sharing Rule ◽

Principal Agent Problem

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Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem

Review of Financial Studies ◽

10.1093/rfs/16.1.0173 ◽

2003 ◽

Vol 16 (1) ◽

pp. 173-208 ◽

Cited By ~ 56

Author(s):

Hui Ou-Yang

Keyword(s):

Portfolio Management ◽

Continuous Time ◽

Management Problem ◽

Optimal Contracts ◽

Delegated Portfolio Management

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Continuous-time delegated portfolio management with homogeneous expectations: can an agency conflict be avoided?

Financial Markets and Portfolio Management ◽

10.1007/s11408-007-0067-1 ◽

2007 ◽

Vol 22 (1) ◽

pp. 67-90 ◽

Cited By ~ 5

Author(s):

Holger Kraft ◽

Ralf Korn

Keyword(s):

Portfolio Management ◽

Continuous Time ◽

Agency Conflict ◽

Delegated Portfolio Management

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Overconfidence in the Continuous-Time Principal-Agent Problem

SSRN Electronic Journal ◽

10.2139/ssrn.315299 ◽

2002 ◽

Cited By ~ 1

Author(s):

Karl Ludwig Keiber

Keyword(s):

Continuous Time ◽

Principal Agent ◽

Principal Agent Problem

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Continuous-time Delegated Portfolio Management with Homogeneous Expectations: Can an Agency Conflict be Avoided?

SSRN Electronic Journal ◽

10.2139/ssrn.666387 ◽

2005 ◽

Cited By ~ 2

Author(s):

Holger Kraft ◽

Ralf Korn

Keyword(s):

Portfolio Management ◽

Continuous Time ◽

Agency Conflict ◽

Delegated Portfolio Management

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A Principal-Agent Problem in Continuous Time

Optimization, Dynamics, and Economic Analysis ◽

10.1007/978-3-642-57684-3_12 ◽

2000 ◽

pp. 151-162 ◽

Cited By ~ 1

Author(s):

Alfred Luhmer

Keyword(s):

Continuous Time ◽

Principal Agent ◽

Principal Agent Problem

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The First-Order Approach to the Continuous-Time Principal–Agent Problem with Exponential Utility

Journal of Economic Theory ◽

10.1006/jeth.1993.1072 ◽

1993 ◽

Vol 61 (2) ◽

pp. 331-371 ◽

Cited By ~ 110

Author(s):

Heinz Schättler ◽

Jaeyoung Sung

Keyword(s):

Continuous Time ◽

Exponential Utility ◽

Principal Agent ◽

First Order ◽

Principal Agent Problem

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A Continuous-Time Version of the Principal–Agent Problem

The Review of Economic Studies ◽

10.1111/j.1467-937x.2008.00486.x ◽

2008 ◽

Vol 75 (3) ◽

pp. 957-984 ◽

Cited By ~ 308

Author(s):

YULIY SANNIKOV

Keyword(s):

Continuous Time ◽

Principal Agent ◽

Principal Agent Problem

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How Do Principal-Agent Effects in Delegated Portfolio Management Affect Asset Prices?

Journal of Mathematical Finance ◽

10.4236/jmf.2013.34042 ◽

2013 ◽

Vol 03 (04) ◽

pp. 407-415

Author(s):

Petter N. Kolm

Keyword(s):

Portfolio Management ◽

Asset Prices ◽

Principal Agent ◽

Delegated Portfolio Management

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