scholarly journals Optimal Asset Management Contracts With Hidden Savings

Econometrica ◽  
2021 ◽  
Vol 89 (3) ◽  
pp. 1099-1139
Author(s):  
Sebastian Di Tella ◽  
Yuliy Sannikov
Keyword(s):  
Asset Management ◽  
Incentive Compatibility ◽  
Market Risk ◽  
Precautionary Saving ◽  
Sufficient Condition ◽  
Portfolio Investment ◽  
Optimal Contract ◽  
First Order ◽  
Management Contracts

We characterize optimal asset management contracts in a classic portfolio‐investment setting. When the agent has access to hidden savings, his incentives to misbehave depend on his precautionary saving motive. The contract dynamically distorts the agent's access to capital to manipulate his precautionary saving motive and reduce incentives for misbehavior. We provide a sufficient condition for the validity of the first‐order approach, which holds in the optimal contract: global incentive compatibility is ensured if the agent's precautionary saving motive weakens after bad outcomes. We extend our results to incorporate market risk, hidden investment, and renegotiation.

scholarly journals Optimal dynamic contracting: The first‐order approach and beyond

2019 ◽  
Vol 14 (4) ◽  
pp. 1435-1482 ◽  
Author(s):  
Marco Battaglini ◽  
Rohit Lamba
Keyword(s):  
Stochastic Process ◽  
Time Horizon ◽  
Incentive Compatibility ◽  
Discount Factor ◽  
Principal Agent ◽  
Optimal Contract ◽  
Dynamic Contracting ◽  
First Order ◽  
Incentive Compatible ◽  
Optimal Dynamic

We explore the conditions under which the “first‐order approach” (FO approach) can be used to characterize profit maximizing contracts in dynamic principal–agent models. The FO approach works when the resulting FO‐optimal contract satisfies a particularly strong form of monotonicity in types, a condition that is satisfied in most of the solved examples studied in the literature. The main result of our paper is to show that except for nongeneric choices of the stochastic process governing the types' evolution, monotonicity and, more generally, incentive compatibility are necessarily violated by the FO‐optimal contract if the frequency of interactions is sufficiently high (or, equivalently, if the discount factor, time horizon, and persistence in types are sufficiently large). This suggests that the applicability of the FO approach is problematic in environments in which expected continuation values are important relative to per period payoffs. We also present conditions under which a class of incentive compatible contracts that can be easily characterized is approximately optimal.

scholarly journals Existence of nonoscillatory solutions of first order nonlinear neutral equations

1990 ◽  
Vol 32 (2) ◽  
pp. 180-192 ◽  
Author(s):  
Lu Wudu
Keyword(s):  
Nonoscillatory Solution ◽  
Sufficient Condition ◽  
Neutral Equation ◽  
Necessary And Sufficient Condition ◽  
Nonoscillatory Solutions ◽  
Neutral Equations ◽  
First Order ◽  
Image Position ◽  
Necessary And Sufficient

AbstractConsider the nonlinear neutral equationwhere pi(t), hi(t), gj(t), Q(t) Є C[t0, ∞), limt→∞hi(t) = ∞, limt→∞gj(t) = ∞ i Є Im = {1, 2, …, m}, j Є In = {1, 2, …, n}. We obtain a necessary and sufficient condition (2) for this equation to have a nonoscillatory solution x(t) with limt→∞ inf|x(t)| > 0 (Theorems 5 and 6) or to have a bounded nonoscillatory solution x(t) with limt→∞ inf|x(t)| > 0 (Theorem 7).

scholarly journals Analisis Perbandingan Kinerja Keuangan Perbankan Syariah Bank Umum Syariah (BUS) dengan Unit Usaha Syariah (UUS) pada Bank Umum Konvensional

2015 ◽  
Vol 6 (1) ◽  
pp. 81
Author(s):  
Wiwin Kurniasari
Keyword(s):  
Interest Rate ◽  
Risk Ratio ◽  
Asset Management ◽  
Market Risk ◽  
Interest Rate Risk ◽  
Capital Adequacy ◽  
Business Unit ◽  
Capital Asset ◽  
Rate Risk ◽  
Capital Adequacy Ratio

This study aims to analyze the comparative financial performance of Islamic Banking with Conventional Banking (Shariah Business Unit) for each financial ratio and overall. The measurements of banking performance were used in this study are CAMELS ratios (Capital, Asset, Management, Earnings, Liquidity, and Sensitivity to Market Risk). This study uses 11 Shariah Banks and 12 Shariah Business Unit in 2012. This study shows that there are no differences between Shariah Banks and Shariah Business Unit in Capital Adequacy Ratio and Ratio Quality of Earning Asset, but there are differences in Management Ratio, Profitability Ratio, Liquidity Ratio, and Sensitivity Ratio in each and overall.Penelitian ini bertujuan untuk menganalisa perbandingan kinerja keuanganperbankan syariah yaitu Bank Umum Syari ah (BUS) dengan Bank Konvensional dari Unit Usaha Syariah (UUS) untuk masing-masing rasio keuangan dan secara keseluruhan. Ukuran kinerja bank yang digunakan dalam penelitian ini adalah rasio keuangan bank CAMELS (Capital, Asset, Management, Earnings, Liquidity, sensitivity to market risk), yang meliputi Capital Adequacy Ratio (mewakili rasio permodalan), pembentukan penyisihan penghapusan aktiva produktif (mewakili rasio kualitas aktiva produktif), Net Profit Margin/NPM(mewakili rasio manajemen), Return on Assets (ROA), Loan to Deposit Ratio (mewakili rasio likuiditas) dan Interest Rate Risk Ratio (mewakili rasio Sensitivitas terhadap Risiko Pasar).Teknik pengambilan sampel yang digunakan dalam penelitian ini adalah purposive sampling yang merupakan teknik pengambilan sampel dengan pertimbangan atau kriteria tertentu. Sampel yang dipergunakan peneliti adalah11 Bank Umum Syariah (BUS) dan 12 Unit Usaha Syariah (UUS) yang memiliki kelengkapan laporan keuangan tahun 2012 yang berupa neraca, laporan laba rugi, komitmen dan kontinjensi, kualitas aktiva produktif dan informasi lainnya, perhitungan kewajiban penyediaan modal minimum (KPMM). Berdasarkan hasil penelitian, analisis uji beda rata-rata t-Test memperlihatkan tidak ada perbedaan yang signifikan antara kinerja keuangan perbankan syariah pada Bank Umum Syariah (BUS) dengan perbankan konvensional yang mempunyai Unit Usaha Syariah (UUS) jika dilihat dari rasio permodalan (CAR) dan rasio kualitas aktiva produktif (PPAP). Ada perbedaan yang signifikan antara kinerja keuangan perbankan syariah (Bank Umum Syariah) dengan perbankan konvensional yang mempunyai Unit Usaha Syariah (UUS) jika dilihat dari rasio manajemen (NPM), rasio profitabilitas (ROA), rasio likuiditas (LDR), dan rasio sensitifitas terhadap reaksi pasar-Interest Rate Risk Ratio (IRRR), serta jika dilakukan analisis secara keseluruhan kinerja keuangan perbankan syariah.

scholarly journals On B- Covariant Derivative of First Order for Some Tensors in different Spaces

2021 ◽  
Vol 2 (2) ◽  
pp. 30-37
Author(s):  
Alaa A. Abdallah ◽  
A. A. Navlekar ◽  
Kirtiwant P. Ghadle
Keyword(s):  
Curvature Tensor ◽  
Covariant Derivative ◽  
Torsion Tensor ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
First Order ◽  
Recurrence Property ◽  
Necessary And Sufficient ◽  
The Relationship

In this paper, we study the relationship between Cartan's second curvature tensor $P_{jkh}^{i}$ and $(h) hv-$torsion tensor $C_{jk}^{i}$ in sense of Berwald. Moreover, we discuss the necessary and sufficient condition for some tensors which satisfy a recurrence property in $BC$-$RF_{n}$, $P2$-Like-$BC$-$RF_{n}$, $P^{\ast }$-$BC$-$RF_{n}$ and $P$-reducible-$BC-RF_{n}$.

A SUFFICIENT CONDITION FOR THE UNIQUENESS OF NORMAL FORMS AND UNIQUE NORMAL FORMS OF GENERALIZED HOPF SINGULARITIES

2004 ◽  
Vol 14 (09) ◽  
pp. 3337-3345 ◽  
Author(s):  
JIANPING PENG ◽  
DUO WANG
Keyword(s):  
Normal Form ◽  
Normal Forms ◽  
Sufficient Condition ◽  
First Order ◽  
Recursive Formulas ◽  
Unique Normal Forms

A sufficient condition for the uniqueness of the Nth order normal form is provided. A new grading function is proposed and used to prove the uniqueness of the first-order normal forms of generalized Hopf singularities. Recursive formulas for computation of coefficients of unique normal forms of generalized Hopf singularities are also presented.

scholarly journals Asset Management Contracts and Equilibrium Prices

2014 ◽  
Author(s):  
Andrea Buffa ◽  
Dimitri Vayanos ◽  
Paul Woolley
Keyword(s):  
Asset Management ◽  
Equilibrium Prices ◽  
Management Contracts

scholarly journals Viability analysis of the first-order mean field games

2020 ◽  
Vol 26 ◽  
pp. 33
Author(s):  
Yurii Averboukh
Keyword(s):  
Mean Field ◽  
Initial Distribution ◽  
Initial Time ◽  
Mean Field Games ◽  
Sufficient Condition ◽  
Mean Field Game ◽  
First Order ◽  
Viability Analysis ◽  
A Value ◽  
Object Of Study

In the paper, we examine the dependence of the solution of the deterministic mean field game on the initial distribution of players. The main object of study is the mapping which assigns to the initial time and the initial distribution of players the set of expected rewards of the representative player corresponding to solutions of mean field game. This mapping can be regarded as a value multifunction. We obtain the sufficient condition for a multifunction to be a value multifunction. It states that if a multifunction is viable with respect to the dynamics generated by the original mean field game, then it is a value multifunction. Furthermore, the infinitesimal variant of this condition is derived.

scholarly journals The implications of first-order risk aversion for asset market risk premiums

1997 ◽  
Vol 40 (1) ◽  
pp. 3-39 ◽  
Author(s):  
Geert Bekaert ◽  
Robert J. Hodrick ◽  
David A. Marshall
Keyword(s):  
Risk Aversion ◽  
Market Risk ◽  
Asset Market ◽  
Risk Premiums ◽  
First Order
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