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On optimal sharing rules in discrete-and continuous-time principal-agent problems with exponential utility


  • Schattler, Heinz
  • Sung, Jaeyoung


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  • Schattler, Heinz & Sung, Jaeyoung, 1997. "On optimal sharing rules in discrete-and continuous-time principal-agent problems with exponential utility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 551-574.
  • Handle: RePEc:eee:dyncon:v:21:y:1997:i:2-3:p:551-574

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    References listed on IDEAS

    1. Rogerson, William P, 1985. "The First-Order Approach to Principal-Agent Problems," Econometrica, Econometric Society, vol. 53(6), pages 1357-1367, November.
    2. Jewitt, Ian, 1988. "Justifying the First-Order Approach to Principal-Agent Problems," Econometrica, Econometric Society, vol. 56(5), pages 1177-1190, September.
    3. Ross, Stephen A, 1973. "The Economic Theory of Agency: The Principal's Problem," American Economic Review, American Economic Association, vol. 63(2), pages 134-139, May.
    4. Holmstrom, Bengt & Milgrom, Paul, 1987. "Aggregation and Linearity in the Provision of Intertemporal Incentives," Econometrica, Econometric Society, vol. 55(2), pages 303-328, March.
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    Cited by:

    1. Li, Jingyuan & Liu, Yongming & Tian, Guoqiang, 2009. "A reputation strategic model of monetary policy in continuous-time," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 523-533, December.
    2. Muller, Holger M., 1998. "The First-Best Sharing Rule in the Continuous-Time Principal-Agent Problem with Exponential Utility," Journal of Economic Theory, Elsevier, vol. 79(2), pages 276-280, April.
    3. Romuald Elie & Dylan Possamai, 2016. "Contracting theory with competitive interacting agents," Papers 1605.08099,
    4. Jaeyoung Sung, 2005. "Optimal Contracts Under Adverse Selection and Moral Hazard: A Continuous-Time Approach," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 1021-1073.
    5. Ábrahám, Árpád & Koehne, Sebastian & Pavoni, Nicola, 2011. "On the first-order approach in principal-agent models with hidden borrowing and lending," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1331-1361, July.
    6. Thibaut Mastrolia & Dylan Possamai, 2015. "Moral hazard under ambiguity," Papers 1511.03616,, revised Oct 2016.
    7. Barlo, Mehmet & Özdog˜an, Ayça, 2014. "Optimality of linearity with collusion and renegotiation," Mathematical Social Sciences, Elsevier, vol. 71(C), pages 46-52.
    8. repec:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0344-4 is not listed on IDEAS
    9. Jakv{s}a Cvitani'c & Dylan Possamai & Nizar Touzi, 2015. "Dynamic programming approach to principal-agent problems," Papers 1510.07111,, revised Jan 2017.
    10. Dal Forno, Arianna & Merlone, Ugo, 2010. "Incentives and individual motivation in supervised work groups," European Journal of Operational Research, Elsevier, vol. 207(2), pages 878-885, December.

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