相关论文: Optimal contract design via relaxation: applicatio…

We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…

We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This…

This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features of this work are as follows: (i) the reservation values of…

In this paper we formulate a contract design problem where a primary license holder wishes to profit from its excess spectrum capacity by selling it to potential secondary users/buyers. It needs to determine how to optimally price the…

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…

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 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 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 study the fundamental problem of designing contracts in principal-agent problems under uncertainty. Previous works mostly addressed Bayesian settings in which principal's uncertainty is modeled as a probability distribution over agent's…

This paper proposes a method to design an optimal dynamic contract between a principal and an agent, who has the authority to control both the principal's revenue and an engineered system. The key characteristic of our problem setting is…

Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…

We consider a hidden-action principal-agent model, in which actions require different amounts of effort, and the agent privately knows his ability that determines his cost of effort. We show that linear contracts admit approximation…

This paper studies optimal contract design in private market investing, focusing on internal decision making in venture capital and private equity firms. A principal relies on an agent who privately exerts costly due diligence effort 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…

In a framework close to the one developed by Holmstr\"om and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each hired Agent is in charge of one project, and can make efforts towards managing…

We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal dealing strategy in closed form and use this to introduce an…

In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…

Large electricity customers (e.g., large data centers) can exhibit huge and variable electricity demands, which poses significant challenges for the electricity suppliers to plan for sufficient capacity. Thus, it is desirable to design…

This paper characterises optimal incentive schemes for ESG disclosure in a continuous-time principal-agent setting. We model a risk-averse principal (e.g., a platform or standard-setter) contracting with a team of heterogeneous agents whose…

This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which the broker, possessing exclusive information about the drift…