Related papers: Risk Minimization and Optimal Derivative Design in…

Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…

We study the mechanism design problem of selling a public good to a group of agents by a principal in the correlated private value environment. We assume the principal only knows the expectations of the agents' values, but does not know the…

Agents' learning from feedback shapes economic outcomes, and many economic decision-makers today employ learning algorithms to make consequential choices. This note shows that a widely used learning algorithm, $\varepsilon$-Greedy, exhibits…

Adverse selection is a version of the principal-agent problem that includes monopolist nonlinear pricing, where a monopolist with known costs seeks a profit-maximizing price menu facing a population of potential consumers whose preferences…

We study the role of regulatory inspections in a contract design problem in which a principal interacts separately with multiple agents. Each agent's hidden action includes a dimension that determines whether they undertake an extra costly…

We introduce a stochastic principal-agent model. A principal and an agent interact in a stochastic environment, each privy to observations about the state not available to the other. The principal has the power of commitment, both to elicit…

In behavioral finance, aversion affects investors' judgment of future uncertainty when profit and loss occur. Considering investors' aversion to loss and risk, and the ambiguous uncertainty characterizing asset returns, we construct a…

In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…

The hidden-action model captures a fundamental problem of principal-agent theory and provides an optimal sharing rule when only the outcome but not the effort can be observed. However, the hidden-action model builds on various explicit and…

In this paper, we consider a general distributed system with multiple agents who select and then implement actions in the system. The system has an operator with a centralized objective. The agents, on the other hand, are selfinterested and…

We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme (a.k.a. contract) so as to induce an agent to take a costly, unobservable action. We relax the assumption that the principal perfectly…

We consider the classic principal-agent model of contract theory, in which a principal designs an outcome-dependent compensation scheme to incentivize an agent to take a costly and unobservable action. When all of the model…

We propose a distributionally robust principal agent formulation, which generalizes some common variants of worst-case and Bayesian principal agent problems. We construct a theoretical framework to certify whether any surjective contract…

We consider a dynamic moral hazard problem between a principal and an agent, where the sole instrument the principal has to incentivize the agent is the disclosure of information. The principal aims at maximizing the (discounted) number of…

We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme -- called contract -- in order to induce an agent to take a costly, unobservable action leading to favorable outcomes. We consider a…

We explore the deliberate infusion of ambiguity into the design of contracts. We show that when the agent is ambiguity-averse and hence chooses an action that maximizes their minimum utility, the principal can strictly gain from using an…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…

Recently, Frazier et al. proposed a natural model for crowdsourced exploration of different a priori unknown options: a principal is interested in the long-term welfare of a population of agents who arrive one by one in a multi-armed bandit…

This brief note considers the problem of learning with dynamic-optimizing principal-agent setting, in which the agents are allowed to have global perspectives about the learning process, i.e., the ability to view things according to their…