SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal portfolio delegation when parties have different coefficients of risk aversion
16 references·2 citing·40 second hop
Optimal portfolio delegation when parties have different coefficients of risk aversion (2005)Optimal portfolio delegation when parties…Manager-Investor Conflicts in Mutual Funds (2004)Manager-Investor Conflicts in…Compensation, Incentives, and the Duality of Risk Aversion and Riskiness (2004)Compensation, Incentives, and…Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem (2003)Optimal Contracts in a Contin…Economics of Accounting (2003)Economics of AccountingPerspectives of Risk Sharing (2002)Perspectives of Risk SharingOptimal Contracts in a Continuous-Time Delegated Portfolio Management Problem (2002)Optimal Contracts in a Contin…Does Option Compensation Increase Managerial Risk Appetite? (2000)Does Option Compensation Incr…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Moral Hazard and the Portfolio Management Problem (1993)Moral Hazard and the Portfoli…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.An Analysis of the Principal-Agent Problem (1992)An Analysis of the Principal-…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…An Analysis of the Principal-Agent Problem (1983)An Analysis of the Principal-…The Theory of Syndicates (1968)The Theory of SyndicatesNonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (2020)Nonconcave Optimal Investment…Portfolio optimization under convex incentive schemes (2014)Portfolio optimization under …Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Risk Aversion in the Small and in the Large (1976)Optimal contracts and competitive markets with costly state verification (1979)Signaling in Retrospect and the Informational Structure of Markets (2002)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Brownian Motion and Stochastic Calculus (2007)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresTheory of the firm: Managerial behavior, agency costs and ownership structure (1976)High‐Water Marks and Hedge Fund Management Contracts (2003)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)The Economic Theory of Agency: The Principal's Problem. (1973)Moral Hazard and Observability (1979)Good News and Bad News: Representation Theorems and Applications (1981)Incomplete Contracts and Renegotiation (1988)Managerial Incentive Problems: A Dynamic Perspective (1999)The Theory of Incentives: The Principal-Agent Model (2001)Risk Aversion in the Small and in the Large (1964)The Determinants of Firms' Hedging Policies (1985)Participation Costs and the Sensitivity of Fund Flows to Past Performance (2007)CEOs versus CFOs: Incentives and corporate policies (2010)Stock options and managerial incentives for risk taking: Evidence from FAS 123R (2012)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Using Cost Observation to Regulate Firms (1986)Incentives in Principal-Agent Relationships (1991)The Tenuous Trade‐off between Risk and Incentives (2002)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1983An Analysis of the Principal-Agent Problem2,127 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1992An Analysis of the Principal-Agent Problem1,913 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1968The Theory of Syndicates1,178 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2000Does Option Compensation Increase Managerial Risk Appetite?926 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2004Compensation, Incentives, and the Duality of Risk Aversion and Riskiness654 cited
  • 2003Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem242 cited
  • 1993Moral Hazard and the Portfolio Management Problem216 cited
  • 2004Manager-Investor Conflicts in Mutual Funds133 cited
  • 2002Perspectives of Risk Sharing101 cited
  • 2002Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem81 cited
  • 2003Economics of Accounting

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

76 cited

Cited by

  • 2014Portfolio optimization under convex incentive schemes37 cited
  • 2020Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts27 cited