Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
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2026 2verdicts
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Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.
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The Value of Information: A Puzzle
Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.