We consider a public firm characterized by a moral hazard problem. A distinguished player is a CEO or activist shareholder who (i) is unrestricted to trade shares and (ii) has discretion to increase the value of this firm by exerting costly effort. von Lilienfeld-Toal and Rünzi (J Finance...

Abstract This article presents a model of the financial system as an inhomogeneous random financial network (IRFN) with N nodes that represent different types of institutions such as banks or funds and directed weighted edges that signify counterparty relationships between nodes. The onset of a...

In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black–Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that prevents a pure bond investment and we include uncertainty...