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Computing Moral Hazard Programs With Lotteries Using Matlab

Author

Listed:
  • Alexander Karaivanov

    (University of Chicago)

Abstract

This paper provides a step-by-step hands on introduction to the techniques used in setting up and solving moral hazard problems with lotteries using Matlab. It uses a linear programming approach due to its relative simplicity and the high reliability of the available optimization algorithms.

Suggested Citation

  • Alexander Karaivanov, 2002. "Computing Moral Hazard Programs With Lotteries Using Matlab," Computational Economics 0201001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpco:0201001
    Note: Type of Document - pdf; prepared on PC; to print on HP; pages: 19; figures: none
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/comp/papers/0201/0201001.pdf
    Download Restriction: no
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    References listed on IDEAS

    as
    1. Christopher Phelan & Robert M. Townsend, 1991. "Computing Multi-Period, Information-Constrained Optima," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(5), pages 853-881.
    2. Rogerson, William P, 1985. "The First-Order Approach to Principal-Agent Problems," Econometrica, Econometric Society, vol. 53(6), pages 1357-1367, November.
    3. Edward Simpson Prescott & Robert M. Townsend, 2006. "Firms as Clubs in Walrasian Markets with Private Information," Journal of Political Economy, University of Chicago Press, vol. 114(4), pages 644-671, August.
    4. Townsend, Robert M, 1987. "Economic Organization with Limited Communication," American Economic Review, American Economic Association, vol. 77(5), pages 954-971, December.
    5. Prescott, Edward C & Townsend, Robert M, 1984. "General Competitive Analysis in an Economy with Private Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 1-20, February.
    6. Prescott, Edward C & Townsend, Robert M, 1984. "Pareto Optima and Competitive Equilibria with Adverse Selection and Moral Hazard," Econometrica, Econometric Society, vol. 52(1), pages 21-45, January.
    7. Edward Simpson Prescott, 1998. "Computing moral-hazard problems using the Dantzig-Wolfe decomposition algorithm," Working Paper 98-06, Federal Reserve Bank of Richmond.
    8. Andreas Lehnert, 1998. "Asset pooling, credit rationing, and growth," Finance and Economics Discussion Series 1998-52, Board of Governors of the Federal Reserve System (U.S.).
    9. Townsend, Robert M., 1988. "Information constrained insurance : The revelation principle extended," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 411-450.
    10. Edward Simpson Prescott, 1999. "A primer on moral-hazard models," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 47-78.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Alexander Karaivanov, 2003. "Financial Contracts and Occupational Choice," Computing in Economics and Finance 2003 25, Society for Computational Economics.

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    More about this item

    Keywords

    moral hazard; linear programming; matlab;
    All these keywords.

    JEL classification:

    • O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development

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