Optimal risk-sharing with effort and project choice

• 成果类型: Article
• 署名作者: Cadenillas, Abel; Cvitanic, Jaksa; Zapatero, Fernando
• 署名单位: California Institute of Technology; University of Alberta; University of Southern California
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2005.12.007
• 发表日期: 2007
• 页码: 403-440
• 关键词: first-best risk-sharing; effort and project choice; Merton's problem; martingale methods

摘要

We consider first-best risk-sharing problems in which the agent can control both the drift (effort choice) and the volatility of the underlying process (project selection). In a model of delegated portfolio management, it is optimal to compensate the manager with an option-type payoff, where the functional form of the option is obtained as a solution to an ordinary differential equation. In the general case, the optimal contract is a fixed point of a functional that connects the agent's and the principal's maximization problems. We apply inartingale/duality methods familiar from optimal consumption-investinent problems. (c) 2006 Elsevier Inc. All rights reserved.