Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment
From MaRDI portal
Publication:654513
DOI10.1016/j.jet.2011.10.007zbMath1229.91191OpenAlexW2041234198MaRDI QIDQ654513
Publication date: 28 December 2011
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/36539/1/MPRA_paper_36539.pdf
Stochastic models in economics (91B70) Utility theory (91B16) Optimality conditions for problems involving randomness (49K45)
Related Items
Optimal finite horizon contract with limited commitment, Optimal long-term contracts with disability insurance under limited commitment, Portfolio selection with consumption ratcheting, Robust contracts with one-sided commitment, A duality approach to continuous-time contracting problems with limited commitment, Optimal self-enforcement and termination
Cites Work
- Unnamed Item
- Unnamed Item
- Entrepreneurship and firm heterogeneity with limited enforcement
- Dynamic contracting with persistent shocks
- Communication, commitment, and growth
- Competitive equilibria with limited enforcement
- Controlled Markov processes and viscosity solutions
- A Continuous-Time Version of the Principal–Agent Problem
- Dynamic Optimal Taxation with Private Information
- Does Income Inequality Lead to Consumption Inequality? Evidence and Theory1
- Repeated Moral Hazard
- Self-Enforcing Wage Contracts
- A Theory of Wage Dynamics
- Debt Constrained Asset Markets
- Efficiency, Equilibrium, and Asset Pricing with Risk of Default
- Optimal Indirect and Capital Taxation
- Optimal Lending Contracts and Firm Dynamics
- Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications
- Implications of Efficient Risk Sharing without Commitment
