英文标题：
《Optimal contract for a fund manager, with capital injections and
endogenous trading constraints》
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作者：
Sergey Nadtochiy and Thaleia Zariphopoulou
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最新提交年份：
2018
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英文摘要：
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process (interpreted as capital injections), and (ii) in the more general form of principals objective function, which is allowed to depend directly on the agents strategy, as opposed to being a function of the generated wealth only. In particular, the latter feature allows us to incorporate endogenous trading constraints in the contract. We reduce the optimal contract problem to the following inverse problem: for a given portfolio (defined in a feedback form, as a random field), construct a stochastic utility whose optimal portfolio coincides with the given one. We characterize the solution to this problem through a Stochastic Partial Differential Equation (SPDE), prove its well-posedness, and compute the solution explicitly in the Black-Scholes model.
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中文摘要：
本文构造了一个最优（风险分担）型委托投资组合管理最优契约问题的解。我们结果的新颖之处在于：（i）最优契约对财富过程扰动的鲁棒性（解释为资本注入），以及（ii）更一般形式的委托人目标函数，允许直接依赖于代理人策略，而不是仅作为产生的财富的函数。特别是，后一个特性允许我们在合同中加入内生交易约束。我们将最优契约问题归结为以下反问题：对于给定的投资组合（定义为反馈形式的随机场），构造一个最优投资组合与给定投资组合重合的随机效用。我们通过一个随机偏微分方程（SPDE）刻画了该问题的解，证明了其适定性，并在Black-Scholes模型中显式计算了该解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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