Moral Hazard in Dynamic Risk Management-Reference-Cited by-同舟云学术

Moral Hazard in Dynamic Risk Management

Published:2017-09 Issue:10 Volume:63 Page:3328-3346
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Cvitanić Jakša¹,Possamaï Dylan²,Touzi Nizar³

Affiliation:

1. Humanities and Social Sciences, California Institute of Technology, Pasadena, California 91125

2. CEREMADE, University Paris-Dauphine, 75116 Paris, France

3. CMAP, Ecole Polytechnique, 91128 Palaiseau, France

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Link

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2016.2493

Reference28 articles.

1. Stochastic Integration and $L^p$-Theory of Semimartingales

2. Quadratic BSDEs with convex generators and unbounded terminal conditions

3. Optimal risk-sharing with effort and project choice

4. Functional Itô calculus and stochastic integral representation of martingales

5. Cvitanić J, Possamaï D, Touzi N (2015) The dynamic programming approach to principal–agent problems. Working paper, California Institute of Technology, Pasadena.

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