1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2023
Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal
Guillermo Alonso Alvarez, Sergey Nadtochiy
In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was…
q-fin.TR2022★ 1 cited
Optimal brokerage contracts in Almgren-Chriss model with multiple clients
Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features…