A solvable continuous time dynamic principal-agent model
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Summary
A principal–agent model with linear production and exponential utility is considered, whose explicit solution allows me to show how allocations are distorted for incentive reasons, and how access to hidden savings further alters allocations.
- Type
- article
- Published
- 2015-09-01
- Cited by
- 72
- References
- 39
- Access
- Open access
- OpenAlex
- https://openalex.org/W1949726554
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:12555546
Keywords
Distortion (music), Moral hazard, Constant (computer programming), Incentive, Economics
References
- Optimal Unemployment Insurance with Unobservable Savings
- Contract Theory in Continuous-Time Models
- Forward-Backward Stochastic Differential Equations and their Applications
- Persistent Private Information
- Efficient Allocations with Moral Hazard and Hidden Borrowing and Lending
- Short-Term Contracts and Long-Term Agency Relationships
- Stochastic calculus and applications
- On Repeated Moral Hazard with Discounting
- Conjugate convex functions in optimal stochastic control
- Unemployment insurance with hidden savings
- Sufficient conditions of optimality for stochastic systems with controllable diffusions
- Repeated principal-agent relationships with lending and borrowing
- The First-Order Approach to the Continuous-Time Principal-Agent Problem with Exponential Utility
- Dynamic managerial compensation: A variational approach
- Duality Methods in the Control of Densities
- Justifying the First-Order Approach to Principal-Agent Problems
- THE FIRST-ORDER APPROACH TO PRINCIPAL-AGENT PROBLEMS
- A Continuous-Time Version of the Principal-Agent
- AGGREGATION AND LINEARITY IN THE PROVISION OF INTERTEMPORAL INCENTIVES
- Efficient Allocations with Hidden Income and Hidden Storage
Cited by
- Dynamic Agency and Endogenous Risk-Taking
- Dynamic costs and moral hazard: A duality-based approach
- Introduction to Symposium on Dynamic Contracts and Mechanism Design
- Conditional Analysis and a Principal-Agent Problem
- MARKET-BASED INCENTIVES: MARKET-BASED INCENTIVES
- On Moral Hazard and Persistent Private Information
- A Note on the Multi-Agent Contracts in Continuous Time
- The Study of the Two-Way Principal–Agent Model Based on Asymmetric Information
- A Solvable Dynamic Principal-Agent Model with Linear Marginal Productivity
- Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information
- A Solvable Time-Inconsistent Principal-Agent Problem
- Rare Disasters, Financial Development, and Sovereign Debt
- Disentangling Moral Hazard and Adverse Selection
- Dynamic optimal contract under parameter uncertainty with risk averse agent and principal
- Dynamic Contract Design for Systemic Cyber Risk Management of Interdependent Enterprise Networks
- Optimal Contracts for Agents with Adverse Selection
- The optimal solution to a principal-agent problem with unknown agent ability
- Optimal compensation and investment affected by firm size and time-varying external factors
- Accounting Information and Contracting Dynamics
- Relational Contracts: Public versus Private Savings
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