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20152024
most citedOptimal brokerage contracts in Almgren-Chriss model with multiple clients

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q-fin.PM2018

Optimal contract for a fund manager, with capital injections and endogenous trading constraints

Sergey Nadtochiy, Thaleia Zariphopoulou

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…