# Dividing gains between a client and her agent

## Author Info

• Jianming Xia

()
(Institute of Applied Mathematics, Academy of Mathematics and System Sciences Chinese Academy of Sciences, P.O. Box 2734, Beijing 100080, China Manuscript)

Registered author(s):

## Abstract

A client(she) contracts with an agent(him), who has limited liability, as follows: she lends him one dollar at time 0 and he uses the money to trade in a security market. As return, he promises to give her a fixed amount $e^{r_0T}$ at the final time T; in addition, if the real return rate of the strategy is larger than $r_0$, she can also get a fixed proportion $(1-\alpha)$ of the "excess profit" and he will take the rest. Assume that the market is complete and the agent aims to maximize the risk-neutral value of his profit subject to some expected shortfall constraint. The reasonable benchmark return rate $r_0$ and the proportion $\alpha$ are explicitly worked out.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

## Bibliographic Info

Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 7 (2003)
Issue (Month): 2 ()
Pages: 219-230

as in new window
Handle: RePEc:spr:finsto:v:7:y:2003:i:2:p:219-230

Contact details of provider:

Order Information:

## Related research

Keywords: Agency; investment; Neyman-Pearson lemma; complete market;

Find related papers by JEL classification:

• D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
• G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
• G20 - Financial Economics - - Financial Institutions and Services - - - General

## References

No references listed on IDEAS
You can help add them by filling out this form.

## Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

## Corrections

When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:7:y:2003:i:2:p:219-230. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.