Xia, Jianming - In: Finance and Stochastics 7 (2003) 2, pp. 219-230
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...