Publication: Risk minimization and optimal derivative design in a principal agent game
Risk minimization and optimal derivative design in a principal agent game
Date
Date
Date
Citations
Horst, U., & Moreno, S. (2008). Risk minimization and optimal derivative design in a principal agent game. Mathematics and Financial Economics, 2(1), 1–27. https://doi.org/10.1007/s11579-008-0012-8
Abstract
Abstract
Abstract
We consider the problem of Adverse Selection and optimal derivative design within a Principal–Agent framework. The principal’s income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She evaluates her risk using a coherent and law invariant risk measure and tries minimize her exposure by selling derivative securities on her income to individual agents. The agents have mean–variance preferences with heterogeneous risk aversion coefficients. An agent’s degree of risk aversion is private
Additional indexing
Creators (Authors)
- Horst, Ulrich
Volume
Volume
Volume
Number
Number
Number
Page Range
Page Range
Page Range
Page end
Page end
Page end
Item Type
Item Type
Item Type
In collections
Scope
Scope
Scope
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
Citations
Horst, U., & Moreno, S. (2008). Risk minimization and optimal derivative design in a principal agent game. Mathematics and Financial Economics, 2(1), 1–27. https://doi.org/10.1007/s11579-008-0012-8
