Robust Contracting in General Contract Spaces
Optimization and Control
2021-03-18 v2 Mathematical Finance
Portfolio Management
Abstract
We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanisms under minimal assumptions on the contract space and prove that centralized contracting implemented via mechanisms is equivalent to delegated contracting implemented via a contract menu under these assumptions. Our abstract existence results are applied to a series of applications that include models of optimal risk sharing and of optimal portfolio delegation.
Keywords
Cite
@article{arxiv.1910.12516,
title = {Robust Contracting in General Contract Spaces},
author = {Julio Backhoff-Veraguas and Patrick Beissner and Ulrich Horst},
journal= {arXiv preprint arXiv:1910.12516},
year = {2021}
}
Comments
Literature review has been updated and expanded