IDEAS home Printed from https://ideas.repec.org/a/jns/jbstat/v214y1995i1p77-85.html
   My bibliography  Save this article

Principal-Agent-Theorie ohne Substitutionsaxiom / Principal-Agent-Theory Without the Independence Axiom

Author

Listed:
  • Rau-Bredow Hans

    (Knorrstraße 41, 80807 München)

Abstract

Almost all research in the field of principal-agent-theory is done in the expected utility framework. A more general approach to decision making under risk has been provided by Machina (1982), in which the crucial independence axiom is replaced by a much weaker differentiability assumption. Risk aversion can than be described by the characteristics of a “local” utility function. This paper provides a corresponding generalization of the approach of Holmström (1979) to principal-agent-problems. First it is shown that an optimal risk allocation implies that the marginal rates of substitution, now expressed in terms of the “local” utility function, are identical for both principal and agent. In the presence of Moral Hazard, a deviation from an optimal risk allocation is necessary in order to set better incentives. A solution to this problem is derived, which contains the result of Holmström as a special case.

Suggested Citation

  • Rau-Bredow Hans, 1995. "Principal-Agent-Theorie ohne Substitutionsaxiom / Principal-Agent-Theory Without the Independence Axiom," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 214(1), pages 77-85, February.
    • Handle: RePEc:jns:jbstat:v:214:y:1995:i:1:p:77-85
    DOI: 10.1515/jbnst-1995-0106
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/jbnst-1995-0106
    Download Restriction: no
    File URL: https://libkey.io/10.1515/jbnst-1995-0106?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:214:y:1995:i:1:p:77-85. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.