Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal

no code implementations • 13 Jul 2023 • Guillermo Alonso Alvarez, Sergey Nadtochiy

In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry.

Optimal brokerage contracts in Almgren-Chriss model with multiple clients

no code implementations • 11 Apr 2022 • Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster

This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model.