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URN: urn:nbn:de:swb:90-338948

Compensation, Incentives and Risk-Taking in Principal-Agent Models

Urban, Sebastian Philipp

Abstract:
Two parties with distinct goals interact in a financial market: The risk-constrained principal provides some capital and employs the agent to invest and subsequently control the portfolio in his name. A performance-related wage schedule is agreed to compensate the agent for her actions. We investigate how risk can be transferred in this setup and what incentives are set by various contracts. In particular the high-water mark portfolio problem in discrete-time is solved.


Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Jahr 2012
Sprache Englisch
Identifikator KITopen ID: 1000033894
Verlag Karlsruhe
Abschlussart Dissertation
Fakultät Fakultät für Mathematik (MATH)
Institut Institut für Stochastik (STOCH)
Prüfungsdaten 19.12.2012
Referent/Betreuer Prof. L. A. M. Veraart
Schlagworte Principal-Agent, High-Water Mark, Risk, Incentives, Portfolio Optimization
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