A continuous-time version of a delegated asset management problem

DOI10.1155/2020/9097321zbMath1459.91176OpenAlexW3106881515MaRDI QIDQ2217060

Chuanzheng Li, Zengti Li, Ya-Nan Li

Publication date: 18 December 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/9097321

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Contract theory in continuous-time models
• On optimal sharing rules in discrete- and continuous-time principal-agent problems with exponential utility
• The first-best sharing rule in the continuous-time principal-agent problem with exponential utility
• The first-order approach to the continuous-time principal-agent problem with exponential utility
• Asymptotic efficiency in dynamic principal-agent problems
• Optimal compensation with hidden action and lump-sum payment in a continuous-time model
• A Continuous-Time Version of the Principal–Agent Problem
• Aggregation and Linearity in the Provision of Intertemporal Incentives

This page was built for publication: A continuous-time version of a delegated asset management problem