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Conditional Analysis and a Principal-Agent problem

We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization. Applying tools from Conditional Analysis to the case of linear contracts we show that most 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.
Year of publication:
2014-12
Authors: Backhoff, Julio ; Horst, Ulrich
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011255227
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