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Computing Moral Hazard Programs With Lotteries Using Matlab

  • Alexander Karaivanov

    (University of Chicago)

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.

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Paper provided by EconWPA in its series Computational Economics with number 0201001.

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Length: 19 pages
Date of creation: 10 Jan 2002
Date of revision:
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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  1. Christopher Phelan & Robert M Townsend, 2010. "Computing Multi-Period, Information Constrained Optima," Levine's Working Paper Archive 117, David K. Levine.
  2. Rogerson, William P, 1985. "The First-Order Approach to Principal-Agent Problems," Econometrica, Econometric Society, vol. 53(6), pages 1357-67, November.
  3. Edward S. Prescott & Robert M. Townsend, 2000. "Firms as clubs in Walrasian markets with private information," Working Paper 00-08, Federal Reserve Bank of Richmond.
  4. 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.
  5. Townsend, Robert M, 1987. "Economic Organization with Limited Communication," American Economic Review, American Economic Association, vol. 77(5), pages 954-71, December.
  6. Edward S. Prescott, 1998. "Computing moral-hazard problems using the Dantzig-Wolfe decomposition algorithm," Working Paper 98-06, Federal Reserve Bank of Richmond.
  7. 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.
  8. Edward S. Prescott, 1999. "A primer on moral-hazard models," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 47-78.
  9. 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.).
  10. Townsend, Robert M., 1988. "Information constrained insurance : The revelation principle extended," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 411-450.
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