Related papers: Risk Minimization and Optimal Derivative Design in…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
A principal hires an agent to acquire soft information about an unknown state. Even though neither how the agent learns nor what the agent discovers are contractible, we show the principal is unconstrained as to what information the agent…
We examine the evolutionary basis for risk aversion with respect to aggregate risk. We study populations in which agents face choices between alternatives with different levels of aggregate risk. We show that the choices that maximize the…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
Principal-agent problems model scenarios where a principal incentivizes an agent to take costly, unobservable actions through the provision of payments. Such problems are ubiquitous in several real-world applications, ranging from…
We study a variant of the principal-agent problem in which the principal does not directly observe the agent's effort outcome; rather, she gets a signal about the agent's action according to a variable information structure designed by a…
In dynamic mechanism design literature, one critical aspect has been typically ignored-the agents' periodic participation, which they can adapt and plan strategically. We propose a framework for dynamic principal-multiagent problems,…
We study a continuous time contracting model in which a principal hires a risk averse agent to manage a project over a finite horizon and provides sequential payments whose timing is endogenously determined. The resulting nonzero-sum…
A principal uses payments conditioned on stochastic outcomes of a team project to elicit costly effort from the team members. We develop a multi-agent generalization of a classic first-order approach to contract optimization by leveraging…
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types. Instead of using the classical expected utility framework,…
We study hidden-action principal-agent problems in which a principal commits to an outcome-dependent payment scheme (called contract) so as to incentivize the agent to take a costly, unobservable action leading to favorable outcomes. In…
We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…
An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…
We show in a simulation when economic agents are subject to evolution (random change and selection based on the success in the estimation of the result of the gamble) they acquire risk aversive behavior. This behavior appears in the form of…
We prove an existence result for the principal-agent problem with adverse selection under general assumptions on preferences and allocation spaces. Instead of assuming that the allocation space is finite-dimensional or compact, we consider…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
We develop a model to study the role of rationality in economics and biology. The model's agents differ continuously in their ability to make rational choices. The agents' objective is to ensure their individual survival over time or,…
A principal wishes to transact business with a multidimensional distribution of agents whose preferences are known only in the aggregate. Assuming a twist (= generalized Spence-Mirrlees single-crossing) hypothesis and that agents can choose…
We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…