Related papers: Risk Minimization and Optimal Derivative Design in…
We study the classic principal-agent model when the signal observed by the principal is chosen by the agent. We fully characterize the optimal information structure from an agent's perspective in a general moral hazard setting with limited…
When multiple informative equilibria are possible in a general cheap talk game, how much information can a principal guarantee herself? To answer this question, I define the notion of worst-case implementation-implementation via the worst…
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
We consider the robust contract design problem when the principal only has limited information about the actions the agent can take. The principal evaluates a contract according to its worst-case performance caused by the uncertain action…
An agent observes the set of available projects and proposes some, but not necessarily all, of them. A principal chooses one or none from the proposed set. We solve for a mechanism that minimizes the principal's worst-case regret. We…
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal…
We analyze a two-period principal-agent model in which the principal faces a budget constraint, and the agent's private costs of performing tasks across the two periods may be correlated. We examine the optimal design of the reward scheme…
We study the incentivized information acquisition problem, where a principal hires an agent to gather information on her behalf. Such a problem is modeled as a Stackelberg game between the principal and the agent, where the principal…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
We consider the life-cycle optimal portfolio choice problem faced by an agent receiving labor income and allocating her wealth to risky assets and a riskless bond subject to a borrowing constraint. In this paper, to reflect a realistic…
This paper considers the hidden-action model of the principal-agent problem, in which a principal incentivizes an agent to work on a project using a contract. We investigate whether contracts with bounded payments are learnable and…
I study the optimal design of ratings to motivate agent investment in quality when transfers are unavailable. The principal designs a rating scheme that maps the agent's quality to a (possibly stochastic) score. The agent has private…
We initiate the study of a repeated principal-agent problem over a finite horizon $T$, where a principal sequentially interacts with $K\geq 2$ types of agents arriving in an adversarial order. At each round, the principal strategically…
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamic g-expectations which are slight different from conditional g-expectations. In this framework, inspired by [1] and…
We study the optimal allocation of prizes in rank-order tournaments with loss averse agents. Prize sharing becomes increasingly optimal with loss aversion because more equitable prizes reduce the marginal psychological cost of anticipated…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…
In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…