Optimal contract for a fund manager, with capital injections and endogenous trading constraints

Preprint English OPEN
Nadtochiy, Sergey; Zariphopoulou, Thaleia;
(2018)
  • Subject: Quantitative Finance - Portfolio Management

In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process... View more
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