In delegated portfolio management, we formulate a central-planned portfolio selection problem by multi-objective programming (utilities of the investor and the manager) to study the Pareto optimal portfolio and find Pareto improvement. First, we solve out two cases of the closed-form Pareto...

We study a principal-agent problem of two general S-shaped utilities without explicit expressions, where the two parties have different reference points. The problem typically stands in the context of asset management with motivation to safeguard the benefit of the principal. After a thorough...