Based on the principal-agent model, the continuous-time optimal contract with asymmetric information is studied in the case of competition, cooperation, and neutrality between agents. According to stochastic optimal control theory, the optimal contract is given to solve the generalized dynamic...

This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma approximation is employed to overcome it. Thus, the optimization...