4 citations · 14 across the 12 of their papers we have counts for
Showing 2014Show all
2 papers · 1 filter
q-fin.MF2014★ 2 cited
Conditional Analysis and a Principal-Agent problem
Julio Backhoff, Ulrich Horst
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Condit…
math.OC2014★ 3 cited
Some sensitivity results in stochastic optimal control: A Lagrange multiplier point of view
Julio Backhoff, Francisco Silva
In this work we provide a first order sensitivity analysis of some parameterized stochastic optimal control problems. The parameters can be given by random processes. The main tool…