BENSAÏD, Bernard; BANDT, Olivier DE - In: Annales d'Economie et de Statistique (2000) 58, pp. 21-56
To explain the existence of "stop-loss" rules in financial institutions, we develop a principal/agent model, where an investment firm relies on a trader to invest in a risky asset like a future contract. When the trader faces a limited liability constraint, the investment firm may increase its...