Optimal finite horizon contract with limited commitment

DOI10.1007/S11579-021-00309-XMaRDI QIDQ2120602zbMATH OpenOpenAlexFDO

Authors Junkee Jeon, Hyeng Keun Koo, Kyunghyun Park

Publication date 1 April 2022

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

Full work available at URL https://doi.org/10.1007/s11579-021-00309-x

zbMATH Keywords

limited commitmentoptimal contractoptimal stopping problemprincipal-agent problemsingular control problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Contract theory (moral hazard, adverse selection) (91B41) Principal-agent models (91B43)

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Cited in

(8)

• Optimal long-term contracts with disability insurance under limited commitment
• Optimal equilibrium contracts in the infinite horizon with no commitment across periods
• scientific article; zbMATH DE number 7366626 (Why is no real title available?)
• Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment
• Time-inconsistent contract theory
• Optimal portfolio and labor-leisure decisions with intolerance for declining standards of living
• Irreversible consumption habit under ambiguity: singular control and optimal G-stopping time
• A duality approach to continuous-time contracting problems with limited commitment

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