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Abstract

This note provides several generalizations of Mailath's (1987) result that incentive compatibility plus separation implies differentiability. The new results extend the theory to classic models in finance such as Leland and Pyle (1977), Glosten (1989), and De Marzo and Duffie (1999), that were not previously covered.

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File URL: http://economics.sas.upenn.edu/system/files/working-papers/10-032.pdf
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Bibliographic Info

Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 10-032.

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Length: 28 pages
Date of creation: 02 Oct 2010
Date of revision:
Handle: RePEc:pen:papers:10-032

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Related research

Keywords: Adverse selection; separation; differentiable strategies; incentive-compatibility;

Find related papers by JEL classification:

• C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
• C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
• D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
• D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
• G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

This paper has been announced in the following NEP Reports:

• NEP-ALL-2010-10-23 (All new papers)
• NEP-CTA-2010-10-23 (Contract Theory & Applications)

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