東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back to Search results for [ null ]

Switch To: Labeled | MARC Mode | ISBD

Dynamic principal-agent models in co...

Wan, Xuhu.

Linked to FindBook

Google Book

Amazon

博客來

Dynamic principal-agent models in continuous time.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Dynamic principal-agent models in continuous time./
Author:	Wan, Xuhu.
Description:	52 p.
Notes:	Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2329.
Contained By:	Dissertation Abstracts International66-06A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3180393
ISBN:	9780542204845

Dynamic principal-agent models in continuous time.
Wan, Xuhu.

Dynamic principal-agent models in continuous time. - 52 p.

Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2329.

Thesis (Ph.D.)--University of Southern California, 2005.

In this work, we present a unified approach to solve dynamic principal-agent problems in continuous time.

ISBN: 9780542204845Subjects--Topical Terms:

626650
Economics, Finance.

Dynamic principal-agent models in continuous time.
LDR:02037nmm 2200289 4500 001 1831115
005 20070507072343.5
008 130610s2005 eng d
020 $a 9780542204845
035 $a (UnM)AAI3180393
035 $a AAI3180393
040 $a UnM $c UnM
100 1 $a Wan, Xuhu. $3 1919926
245 1 0 $a Dynamic principal-agent models in continuous time.
300 $a 52 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2329.
500 $a Adviser: Jaksa Cvitanic.
502 $a Thesis (Ph.D.)--University of Southern California, 2005.
520 $a In this work, we present a unified approach to solve dynamic principal-agent problems in continuous time.
520 $a First we derive the necessary and sufficient conditions for the first-best solution. When the principal and the agent have symmetric and complete information, we propose a new type of contract, so called the increasing state-contingent compensation, which can implement the first-best solution and is written on the uncertainty state and portfolio wealth, instead of being written on the observed control chosen by the agent, which other researchers usually do. When the underlying brownian motion is not observed, the first best solution is not implemented, we give the necessary and sufficient conditions for the optimal contract subjecting to the agent's incentive compatibility when the agent has the separable utility function.
520 $a We derive the stochastic maximum principle from the scratch to give necessary and sufficient conditions for contracts. Our methodology covers a number of frameworks considered in the existing literature. The work can be widely applied in the research of portfolio delegation and the problem of executive compensation.
590 $a School code: 0208.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a University of Southern California. $3 700129
773 0 $t Dissertation Abstracts International $g 66-06A.
790 1 0 $a Cvitanic, Jaksa, $e advisor
790 $a 0208
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3180393