Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints

DOI10.1137/18M1172867;zbMath1430.91087arXiv1802.09165MaRDI QIDQ4971978

Thaleia Zariphopoulou, Sergey Nadtochiy

Publication date: 22 November 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.09165

zbMATH Keywords

stochastic partial differential equationcapital injectionsoptimal investmentoptimal contractdelegated portfolio managementfund managerinverse Merton problem

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Contract theory (moral hazard, adverse selection) (91B41)

Related Items (2)

Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients

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