Djehiche, Boualem; Helgesson, Peter - In: Asian journal of economics and banking : AJEB 8 (2024) 3, pp. 310-334
Purpose: We aim to generalize the continuous-time principal-agent problem to incorporate time-inconsistent utility functions, such as those of mean-variance type, which are prevalent in risk management and finance. Design/methodology/approach: We use recent advancements of the Pontryagin maximum...