Dividing gains between a client and her agent

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	Dividing gains between a client and her agent
	Xia, JM
	2003-04-01
发表期刊	FINANCE AND STOCHASTICS
ISSN	0949-2984
卷号	7 期号:2 页码:219-230
摘要	A client(she) contracts with an agent(him), who has limited liability, as follows: she lends him one dollar at time 0 and he uses the money to trade in a security market. As return, he promises to give her a fixed amount e(r0T) at the final time T; in addition, if the real return rate of the strategy is larger than r(0), she can also get a fixed proportion (1-alpha) of the "excess profit" and he will take the rest. Assume that the market is complete and the agent aims to maximize the risk-neutral value of his profit subject to some expected shortfall constraint. The reasonable benchmark return rate r(0) and the proportion alpha are explicitly worked out.
关键词	agency investment Neyman-Pearson lemma complete market
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Business, Finance ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000182483300004
出版者	SPRINGER-VERLAG BERLIN
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18804
专题	应用数学研究所
通讯作者	Xia, JM
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Xia, JM. Dividing gains between a client and her agent[J]. FINANCE AND STOCHASTICS,2003,7(2):219-230.
APA	Xia, JM.(2003).Dividing gains between a client and her agent.FINANCE AND STOCHASTICS,7(2),219-230.
MLA	Xia, JM."Dividing gains between a client and her agent".FINANCE AND STOCHASTICS 7.2(2003):219-230.