Dividing gains between a client and her agent
文献类型：期刊论文
| 作者 | Xia, JM
|
| 刊名 | FINANCE AND STOCHASTICS
 |
| 出版日期 | 2003-04-01 |
| 卷号 | 7期号:2页码:219-230 |
| 关键词 | agency investment Neyman-Pearson lemma complete market |
| ISSN号 | 0949-2984 |
| 英文摘要 | 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. |
| 语种 | 英语 |
| WOS记录号 | WOS:000182483300004 |
| 出版者 | SPRINGER-VERLAG BERLIN |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/18803]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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