Related papers: Time-inconsistent contract theory
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…
I study a moral hazard problem between a principal and multiple agents who experience positive peer effects represented by a (weighted) network. Under the optimal linear contract, the principal provides high-powered incentives to central…
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Principal-Agent problem adapted to this framework. We address the…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
This paper studies social optimal control of mean field LQG (linear-quadratic-Gaussian) models with uncertainty. Specially, the uncertainty is represented by a uncertain drift which is common for all agents. A robust optimization approach…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
We initiate the study of computing (near-)optimal contracts in succinctly representable principal-agent settings. Here optimality means maximizing the principal's expected payoff over all incentive-compatible contracts---known in economics…
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…
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 investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
Real-world contracts are often ambiguous. While recent work by D\"utting, Feldman, Peretz, and Samuelson (EC 2023, Econometrica 2024) demonstrates that ambiguous contracts can yield large gains for the principal, their optimal solutions…
We study a principal-agent team production model. The principal hires a team of agents to participate in a common production task. The exact effort of each agent is unobservable and unverifiable, but the total production outcome (e.g. the…
We propose a methodology that exploits the contract formalism to characterize the continuous-time safety control problem, which is often difficult to address, in terms of a discrete-time one, for which numerous efficient solution scheme…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
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 a bilevel \emph{max-max} optimization framework for principal-agent contract design, in which a principal chooses incentives to maximize utility while anticipating the agent's best response. This problem, central to moral hazard…
We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to find a set of necessary conditions characterizing optimal…
In this work, we study sequential contracts under matroid constraints. In the sequential setting, an agent can take actions one by one. After each action, the agent observes the stochastic value of the action and then decides which action…
This work provides analysis of a variant of the Risk-Sharing Principal-Agent problem in a single period setting with additional constant lower and upper bounds on the wage paid to the Agent. First the effect of the extra constraints on…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…