条件分析和委托代理问题
Conditional Analysis and a Principal-Agent problem
摘要：
分析了线性契约下委托投资组合优化的离散时间委托代理问题中的条件优化问题。应用工具条件分析，我们表明，在文献中已知的一些结果非常具体的情况下的问题结转到平移不变和时间一致的效用函数在非常一般的概率设置。然而，我们发现，最优的合同必须在一般情况下利用衍生品的补偿。
英文摘要：
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the literature for very specific instances of the problem carry over to translation invariant and time-consistent utility functions in very general probabilistic settings. However, we find that optimal contracts must in general make use of derivatives for compensation.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
