Incentive Compatibility and Differentiability: New Results and Classic Applications
AbstractThis 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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Bibliographic InfoPaper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 10-032.
Length: 28 pages
Date of creation: 02 Oct 2010
Date of revision:
Adverse selection; separation; differentiable strategies; incentive-compatibility;
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