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Linearity with Project Selection and Controllable Diffusion Rate in Continuous-Time Principal-Agent Problems


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Cited by:

  1. Alex Edmans & Xavier Gabaix, 2011. "Tractability in Incentive Contracting," Review of Financial Studies, Society for Financial Studies, vol. 24(9), pages 2865-2894.
  2. Müller, Holger M., 1996. "The First-Best Sharing Rule in the Continuous-Time Principal-Agent Model with Exponential Utility," SSE/EFI Working Paper Series in Economics and Finance 145, Stockholm School of Economics.
  3. 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.
  4. García, Diego, 2014. "Optimal contracts with privately informed agents and active principals," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 695-709.
  5. Thibaut Mastrolia & Dylan Possamaï, 2018. "Moral Hazard Under Ambiguity," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 452-500, November.
  6. Romuald Elie & Dylan Possamai, 2016. "Contracting theory with competitive interacting agents," Papers 1605.08099,
  7. Nian Yang & Jun Yang & Yu Chen, 2018. "Contracting in a Continuous-Time Model with Three-Sided Moral Hazard and Cost Synergies," Graz Economics Papers 2018-06, University of Graz, Department of Economics.
  8. Martin F. Hellwig & Klaus M. Schmidt, 2002. "Discrete-Time Approximations of the Holmstrom-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision," Econometrica, Econometric Society, vol. 70(6), pages 2225-2264, November.
  9. Qi Liu & Lei Lu & Bo Sun, 2017. "Incentive Contracting Under Ambiguity Aversion," International Finance Discussion Papers 1195, Board of Governors of the Federal Reserve System (U.S.).
  10. Hyeng Keun Koo & Gyoocheol Shim & Jaeyoung Sung, 2008. "Optimal Multi‐Agent Performance Measures For Team Contracts," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 649-667, October.
  11. 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.
  12. Philip H. Dybvig & Heber K. Farnsworth & Jennifer N. Carpenter, 2010. "Portfolio Performance and Agency," Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 1-23, January.
  13. Muller, Holger M., 2000. "Asymptotic Efficiency in Dynamic Principal-Agent Problems," Journal of Economic Theory, Elsevier, vol. 91(2), pages 292-301, April.
  14. Barlo, Mehmet & Ayca, Ozdogan, 2012. "Team beats collusion," MPRA Paper 37449, University Library of Munich, Germany.
  15. Qi Luo & Romesh Saigal, 2020. "Dynamic Multiagent Incentive Contracts: Existence, Uniqueness, and Implementation," Mathematics, MDPI, vol. 9(1), pages 1-17, December.
  16. Cvitanic Jaksa & Wan Xuhu & Zhang Jianfeng, 2008. "Principal-Agent Problems with Exit Options," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-43, October.
  17. Sylvain Chassang, 2013. "Calibrated Incentive Contracts," Econometrica, Econometric Society, vol. 81(5), pages 1935-1971, September.
  18. Thibaut Mastrolia & Dylan Possamai, 2015. "Moral hazard under ambiguity," Papers 1511.03616,, revised Oct 2016.
  19. Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G., 2002. "Incentives for effective risk management," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1407-1425, July.
  20. Li, Fei & Ueda, Masako, 2005. "CEO-Firm Match and Principal-Agent Problem," CEPR Discussion Papers 5119, C.E.P.R. Discussion Papers.
  21. Barlo, Mehmet & Özdog˜an, Ayça, 2014. "Optimality of linearity with collusion and renegotiation," Mathematical Social Sciences, Elsevier, vol. 71(C), pages 46-52.
  22. Edmans, Alex & Gabaix, Xavier, 2010. "Risk and the CEO Market: Why Do Some Large Firms Hire Highly-Paid, Low-Talent CEOs?," CEPR Discussion Papers 7836, C.E.P.R. Discussion Papers.
  23. Araujo, Aloisio & Moreira, Humberto & Tsuchida, Marcos, 2007. "The Trade-Off Between Incentives and Endogenous Risk," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(2), November.
  24. Duncan Simester & Juanjuan Zhang, 2010. "Why Are Bad Products So Hard to Kill?," Management Science, INFORMS, vol. 56(7), pages 1161-1179, July.
  25. Mason, Robin & Weeds, Helen, 2010. "The Timing of Takeovers in Growing and Declining Markets," CEPR Discussion Papers 7678, C.E.P.R. Discussion Papers.
  26. Jakša Cvitanić & Xuhu Wan & Huali Yang, 2013. "Dynamics of Contract Design with Screening," Management Science, INFORMS, vol. 59(5), pages 1229-1244, May.
  27. Eduardo Abi Jaber & Stéphane Villeneuve, 2022. "Gaussian Agency problems with memory and Linear Contracts," Post-Print hal-03783062, HAL.
  28. Kerem Ugurlu, 2018. "Dynamic optimal contract under parameter uncertainty with risk averse agent and principal," Papers 1806.01495,
  29. Mehmet Barlo & Ayça Özdoğan, 2013. "The Optimality of Team Contracts," Games, MDPI, vol. 4(4), pages 1-20, November.
  30. Egil Matsen, 2005. "Portfolio choice when managers control returns," Working Paper 2005/15, Norges Bank.
  31. Jaeyoung Sung, 2022. "Optimal contracting under mean-volatility joint ambiguity uncertainties," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 593-642, September.
  32. Nadide Banu Olcay, 2016. "Dynamic incentive contracts with termination threats," Review of Economic Design, Springer;Society for Economic Design, vol. 20(4), pages 255-288, December.
  33. Villeneuve, Stéphane & Abi Jaber, Eduardo, 2022. "Gaussian Agency problems with memory and Linear Contracts," TSE Working Papers 22-1363, Toulouse School of Economics (TSE).
  34. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2004. "Leverage decision and manager compensation with choice of effort and volatility," Journal of Financial Economics, Elsevier, vol. 73(1), pages 71-92, July.
  35. Pierre Jinghong Liang & Lin Nan, 2014. "Endogenous Precision of Performance Measures and Limited Managerial Attention," European Accounting Review, Taylor & Francis Journals, vol. 23(4), pages 693-727, December.
  36. Eduardo Abi Jaber & Stéphane Villeneuve, 2022. "Gaussian Agency problems with memory and Linear Contracts," Working Papers hal-03783062, HAL.
  37. Palomino, Frederic & Prat, Andrea, 2003. "Risk Taking and Optimal Contracts for Money Managers," RAND Journal of Economics, The RAND Corporation, vol. 34(1), pages 113-137, Spring.
  38. Robert Edelstein & Branko Urošević & Nicholas Wonder, 2005. "Ownership Dynamics of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 30(4), pages 447-466, June.
  39. Norvald Instefjord & Kouji Sasaki, 2007. "Proprietary trading losses in banks: do banks invest sufficiently in control?," Annals of Finance, Springer, vol. 3(3), pages 329-350, July.
  40. Eduardo Abi Jaber & St'ephane Villeneuve, 2022. "Gaussian Agency problems with memory and Linear Contracts," Papers 2209.10878,
  41. Arup Bose & Debashis Pal & David E. M. Sappington, 2011. "On the Performance of Linear Contracts," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 20(1), pages 159-193, March.
  42. Han, Jinhui & Ma, Guiyuan & Yam, Sheung Chi Phillip, 2022. "Relative performance evaluation for dynamic contracts in a large competitive market," European Journal of Operational Research, Elsevier, vol. 302(2), pages 768-780.
  43. Jakv{s}a Cvitani'c & Dylan Possamai & Nizar Touzi, 2014. "Moral Hazard in Dynamic Risk Management," Papers 1406.5852,, revised Mar 2015.
  44. Jakša Cvitanić & Dylan Possamaï & Nizar Touzi, 2017. "Moral Hazard in Dynamic Risk Management," Management Science, INFORMS, vol. 63(10), pages 3328-3346, October.
  45. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  46. Ingolf Dittmann & Ko-Chia Yu & Dan Zhang, 2017. "How Important Are Risk-Taking Incentives in Executive Compensation?," Review of Finance, European Finance Association, vol. 21(5), pages 1805-1846.
  47. Jakša Cvitanić & Dylan Possamaï & Nizar Touzi, 2018. "Dynamic programming approach to principal–agent problems," Finance and Stochastics, Springer, vol. 22(1), pages 1-37, January.
  48. Tak-Yuen Wong, 2019. "Dynamic Agency and Endogenous Risk-Taking," Management Science, INFORMS, vol. 65(9), pages 4032-4048, September.
  49. Ngo Long & Gerhard Sorger, 2010. "A dynamic principal-agent problem as a feedback Stackelberg differential game," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 18(4), pages 491-509, December.
  50. Gifford, Sharon, 1999. "Efficient moral hazard," Journal of Economic Behavior & Organization, Elsevier, vol. 40(4), pages 427-442, December.
  51. Emma Hubert, 2020. "Continuous-time incentives in hierarchies," Papers 2007.10758,
  52. Gutiérrez Arnaiz, Óscar & Salas-Fumás, Vicente, 2008. "Performance standards and optimal incentives," Journal of Accounting and Economics, Elsevier, vol. 45(1), pages 139-152, March.
  53. Bastien Baldacci & Dylan Possamai, 2021. "Governmental incentives for green bonds investment," Papers 2101.00648,
  54. Jakv{s}a Cvitani'c & Dylan Possamai & Nizar Touzi, 2015. "Dynamic programming approach to principal-agent problems," Papers 1510.07111,, revised Jan 2017.
  55. Friedman, Henry L., 2014. "Implications of power: When the CEO can pressure the CFO to bias reports," Journal of Accounting and Economics, Elsevier, vol. 58(1), pages 117-141.
  56. Bastien Baldacci & Dylan Possamaï, 2022. "Governmental incentives for green bonds investment," Mathematics and Financial Economics, Springer, volume 16, number 5, December.
  57. Jun Yang, 2010. "Timing of Effort and Reward: Three-Sided Moral Hazard in a Continuous-Time Model," Management Science, INFORMS, vol. 56(9), pages 1568-1583, September.
  58. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2007. "Optimal risk-sharing with effort and project choice," Journal of Economic Theory, Elsevier, vol. 133(1), pages 403-440, March.
  59. Kumar Muthuraman & Tarik Aouam & Ronald Rardin, 2008. "Regulation of Natural Gas Distribution Using Policy Benchmarks," Operations Research, INFORMS, vol. 56(5), pages 1131-1145, October.
  60. Thibaut Mastrolia & Zhenjie Ren, 2017. "Principal-Agent Problem with Common Agency without Communication," Papers 1706.02936,, revised Jan 2018.
  61. Romuald Elie & Thibaut Mastrolia & Dylan Possamaï, 2019. "A Tale of a Principal and Many, Many Agents," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 440-467, May.
  62. repec:oup:rfinst:v:21:y:2017:i:5:p:1805-1846. is not listed on IDEAS
  63. Thibaut Mastrolia & Zhenjie Ren, 2018. "Principal-Agent Problem with Common Agency without Communication," Working Papers hal-01534611, HAL.
  64. Dylan Possamai & Nizar Touzi, 2020. "Is there a Golden Parachute in Sannikov's principal-agent problem?," Papers 2007.05529,, revised Oct 2022.
  65. Qi Liu & Lei Lu & Bo Sun, 2018. "Incentive contracting under ambiguity aversion," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(4), pages 929-950, December.
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