This paper analyzes optimal contracts in an infinitely-repeated agency model in which both the principal and agent discount the future. The authors show that there is a stationary representation of the optimal contract when the agent's c onditional, discounted expected utility is used as a state...

The dependence structure in multivariate financial time series is of great importance in portfolio management. By studying daily return histories of 17 exchange-traded index funds, we identify important features of the data, and we propose two new models to capture these features. The first is...

We consider the portfolio delegation problem in a world with complete contingent claim markets. A principal hires an agent to manage a portfolio. When the agent has limited liability (that is, there is a lower bound on the compensation contract), she may have an incentive to take on excessive...