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- W2964783491 abstract "In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the first-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process (interpreted as capital injections) and (ii) in the more general form of principal's objective function, which is allowed to depend directly on the agent's strategy, as opposed to being a function of the generated wealth only. In particular, the latter feature allows us to incorporate endogenous trading constraints in the contract. We reduce the optimal contract problem to the following inverse problem: For a given portfolio (defined in a feedback form, as a random field), construct a stochastic utility for which the given portfolio is optimal. We characterize the solution to this problem through a stochastic partial differential equation, prove its well-posedness, and compute the solution explicitly in the Black--Scholes model." @default.
- W2964783491 created "2019-08-13" @default.
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- W2964783491 date "2019-01-01" @default.
- W2964783491 modified "2023-09-25" @default.
- W2964783491 title "Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints" @default.
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- W2964783491 doi "https://doi.org/10.1137/18m1172867" @default.
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