סמינר באסטרטגיה ויזמות

David Lagziel

Department of Statistics and Operations Research in Tel-Aviv University

Abstract:

An investor has some funds invested through investment firms. She also has additional funds to allocate among these investment firms according to the firms' performance. While the investor tries to maximize her total expected earnings, each investment firm tries to maximize the overall amount of funds it will be allocated to manage. A reward scheme is a rule that determines how funds are to be allocated among the investment firms based on their past performance. A reward scheme is optimal if it induces the (self-interested) firms to act in accordance with the interests of the investor. We show that an optimal reward scheme exists under quite general conditions.