Continuous-time delegated portfolio management with homogeneous expectations: can an agency conflict be avoided?
Holger Kraft (kraft@mathematik.uni-kl.de) and
Ralf Korn (korn@mathematik.uni-kl.de)
Financial Markets and Portfolio Management, 2008, vol. 22, issue 1, 67-90
Keywords: Delegated portfolio decision; Merton’s portfolio problem; Principal-agent theory; Quadratic contract; Exchange option; Growth optimal portfolio; G11; J33 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s11408-007-0067-1
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