Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem
By Ou-yang Hui. 2003
254 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9ff3aa802f8011cfa477909dbc2e1c5b062ba0e6
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Jakša Cvitanić
- Jianfeng Zhang
- Xuhu Wan
- Abel Cadenillas
- Fernando Zapatero
- Yuliy Sannikov
- Noah Williams
- S. D. Tella
In Finance
- Jakša Cvitanić
- Abel Cadenillas
- Jianfeng Zhang
- Fernando Zapatero
- Yuliy Sannikov
- Adrien Richou
- Marcel Nutz
- Christian Bender
Citations in the corpus
- Leverage decision and manager compensation with choice of effort and volatility (2004, methodology): “This literature started with Holmstrom and Milgrom (1987) and includes Schättler and Sung (1993), Sung (1995), Bolton and Harris (2001), and Ou-Yang (2003).”
- Optimal Compensation with Hidden Action and Lump-Sum Payment in a Continuous-Time Model (2009, background): “Different variations and applications of the problem are considered in [3, 7, 8, 14, 21, 23, 28, 29].”
- Portfolio Performance and Agency (2004, unknown): “Sung (1995)5 and Ou-Yang (2003) analyze continuous-time models in which both the drift and diffusion coefficient can be controlled, and affine contracts arise opti5The portfolio application is mentioned in Sung (1995) and spelled out in more detail in Sung’s thesis, Sung (1991).”
- The Effect of Risk on the CEO Market (2011, unknown): “24However, see Palia (2000), Acharya et al.”
- A Continuous-Time Version of the Principal-Agent (2005, background): “Consider an incentive-compatible contract (C ; A ) that may not satisfy ( 19 ).”