Publications in Scientific Journals:
J. Backhoff, U. Horst:
"Conditional Analysis and a Principal-Agent Problem";
SIAM Journal on Financial Mathematics,
Volume 7
(2016),
Issue 1;
477
- 507.
English abstract:
We analyze conditional optimization problems arising in discrete-time principal-agent problems of delegated portfolio optimization with linear contracts. Applying tools from conditional analysis we show that some results known in the literature for very specific instances of the problem carry over to translation invariant and time-consistent utility functions in very general probabilistic settings. However, we find that optimal contracts must in general make use of derivatives for compensation.
© 2016, Society for Industrial and Applied Mathematics
Read More: http://epubs.siam.org/doi/10.1137/14100066X
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.1137/14100066X
Electronic version of the publication:
http://epubs.siam.org/doi/10.1137/14100066X
Created from the Publication Database of the Vienna University of Technology.