Optimal contracting with effort and misvaluation

DOI10.1007/S11579-012-0088-ZzbMath1275.91088OpenAlexW2069985124MaRDI QIDQ1938959

Türkay Yolcu, Jakša Cvitanić, Agostino Capponi

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0088-z

zbMATH Keywords

variational calculusmoral hazardprincipal-agent problemoptimal contractsstochastic filtering

Mathematics Subject Classification ID

Economics of information (91B44)

Related Items (2)

Optimal contract for the principal-agent under Knightian uncertainty ⋮ Optimal contracts and asset prices in a continuous-time delegated portfolio management problem

Uses Software

• Sbvp

Cites Work

• On optimal sharing rules in discrete- and continuous-time principal-agent problems with exponential utility
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• Corporate insurance and managerial incentives
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• Optimal compensation with hidden action and lump-sum payment in a continuous-time model
• Optimal compensation with adverse selection and dynamic actions
• CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• Term Structures of Credit Spreads with Incomplete Accounting Information
• A Variational Approach to Contracting under Imperfect Observations
• Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications

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