Related papers: The (No) Value of Commitment
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…
In this paper, we address three Principal--Agent problems in a moral hazard context and show that they are connected. We start by studying the problem of Principal with multiple Agents in cooperation. The term cooperation is manifested here…
In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and…
We study a two-period moral hazard problem; there are two agents, with action sets that are unknown to the principal. The principal contracts with each agent sequentially, and seeks to maximize the worst-case discounted sum of payoffs,…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
In a multi-party machine learning system, different parties cooperate on optimizing towards better models by sharing data in a privacy-preserving way. A major challenge in learning is the incentive issue. For example, if there is…
We study a Bayesian persuasion problem with externalities. In this model, a principal sends signals to inform multiple agents about the state of the world. Simultaneously, due to the existence of externalities in the agents' utilities, the…
As a schematic model of the complexity economic agents are confronted with, we introduce the ``SK-game'', a discrete time binary choice model inspired from mean-field spin-glasses. We show that even in a completely static environment,…
We study a general contracting problem between the principal and a finite set of competitive agents, who perform equivalent changes of measure by controlling the drift of the output process and the compensator of its associated jump…
A principal funds a multistage project and retains the right to cut the funding if it stagnates at some point. An agent wants to convince the principal to fund the project as long as possible, and can design the flow of information about…
The Peter Principle posits that organizations promoting their best performers risk elevating employees to roles where their competence no longer translates, thereby degrading overall efficiency. We investigate when this dynamic emerges and…
Game theory serves as a powerful tool for distributed optimization in multi-agent systems in different applications. In this paper we consider multi-agent systems that can be modeled by means of potential games whose potential function…
We study whether zero-sum decision rules, maximin and minimax, harm agents' interests in positive-sum strategic environments relative to Nash equilibrium behavior or, more generally, than best response behaviour. Contrary to an influential…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…
We study optimal contract design for large populations of heterogeneous agents whose actions generate network spillovers represented by an interaction function. In a linear-quadratic framework, we solve the finite-agent problem and its…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
We study the problem of designing an optimal sequence of incentives that a principal should offer to an agent so that the agent's optimal behavior under the incentives realizes the principal's objective expressed as a temporal logic…
Traditional approaches to the design of multi-agent navigation algorithms consider the environment as a fixed constraint, despite the influence of spatial constraints on agents' performance. Yet hand-designing conducive environment layouts…
In constructing an econometric or statistical model, we pick relevant features or variables from many candidates. A coalitional game is set up to study the selection problem where the players are the candidates and the payoff function is a…
Some of the most relevant future applications of multi-agent systems like autonomous driving or factories as a service display mixed-motive scenarios, where agents might have conflicting goals. In these settings agents are likely to learn…