Séminaire Modélisation, Optimisation, Dynamique

On the existence of signalling-equilibria in a two-player portfolio delegation problem with hidden information

Name: On the existence of signalling-equilibria in a two-player portfolio delegation problem with hidden information
Start: 2015-02-20T10:30:00+01:00
End: 2015-02-20T11:30:00+01:00
Location: XLIM Salle X.203

par Julio Backhoff (Université de Vienne (Autriche))

vendredi 20 févr. 2015, 10:30 → 11:30 Europe/Paris

XLIM Salle X.203

FST-Université de Limoges, 123, Av. Albert Thomas.

Description

We model in a continuous-time, probabilistic, frictionless setting the problem of one agent (the investor) delegating her portfolio selection to another one (the manager), whereby the latter has access to market information hidden to the former, such as volatility or trends. In this talk we shall discuss the issue of existence of equilibrium strategies under signalling, which we prove following arguments by S. Sorin and recent results by J. Backhoff and J. Fontbona. This is ongoing research with U. Horst and O. Janke.