Optimal Risk Sharing in the Presence of Moral Hazard under Market Risk and Jump Risk
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- Misumi Takashi
- Hitotsubashi University
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- Nakamura Hisashi
- Hitotsubashi University
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- Takaoka Koichiro
- Hitotsubashi University
説明
<p>This paper provides a tractable framework to study optimal risk sharing between an investor and a firm with general utility forms in the presence of moral hazard under market risk and jump risk. We show that, for a two-date discrete-time moral hazard model, there exists a continuous-time model that obtains the same optimal result. Moreover, we characterize the optimal risk sharing explicitly, in particular, the structural effect of jump risk on the optimal allocations.</p>
収録刊行物
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- Japanese Journal of Monetary and Financial Economics
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Japanese Journal of Monetary and Financial Economics 2 (1), 59-73, 2014
日本金融学会
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詳細情報 詳細情報について
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- CRID
- 1390282763128909952
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- NII論文ID
- 130007676189
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- ISSN
- 2187560X
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- 本文言語コード
- en
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- 資料種別
- journal article
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- データソース種別
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- JaLC
- CiNii Articles
- KAKEN
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- 抄録ライセンスフラグ
- 使用不可
