skip to main content
US FlagAn official website of the United States government
dot gov icon
Official websites use .gov
A .gov website belongs to an official government organization in the United States.
https lock icon
Secure .gov websites use HTTPS
A lock ( lock ) or https:// means you've safely connected to the .gov website. Share sensitive information only on official, secure websites.

Explore Research Products in the PAR
It may take a few hours for recently added research products to appear in PAR search results.


  • Home
  • Search Results
  • Page 1 of 1

Search for: All records

Creators/Authors contains: "Alvarez, Guillermo Alonso"

Note: When clicking on a Digital Object Identifier (DOI) number, you will be taken to an external site maintained by the publisher. Some full text articles may not yet be available without a charge during the embargo (administrative interval).
What is a DOI Number?

Some links on this page may take you to non-federal websites. Their policies may differ from this site.

  1. ; ; ; (, Frontiers of Mathematical Finance)
    This paper studies a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero-sum Stackelberg game between the principal and agent to a standard stochastic optimal control problem. We apply our result to a benchmark model to investigate how different inputs (payment frequencies, payment distribution, discounting factors, agent's reservation utility) affect the principal's value and agent's optimal compensations. 
    more » « less
    Free, publicly-accessible full text available January 1, 2026
  2. ; ; (, SIAM Journal on Financial Mathematics)
    This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features of this work are as follows: (i) the reservation values of the clients are determined endogenously, and (ii) the broker is allowed to not offer a contract to some of the potential clients, thus choosing her portfolio of clients strategically. We find a computationally tractable characterization of the optimal portfolios of clients (up to a digital optimization problem, which can be solved efficiently if the number of potential clients is small) and conduct numerical experiments which illustrate how these portfolios, as well as the equilibrium profits of all market participants, depend on the price impact coefficients. 
    more » « less
    Full Text Available