Optimal contracting with moral hazard and behavioral preferences

DOI10.1016/j.jmaa.2015.03.027zbMath1321.91063OpenAlexW2078524131MaRDI QIDQ2348510

Yanyan Li

Publication date: 12 June 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2015.03.027

zbMATH Keywords

controlbackward stochastic differential equationmoral hazardcontractsprincipal-agent problemcumulative prospect theory

Mathematics Subject Classification ID

Related Items (3)

Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ PROFIT SHARING IN HEDGE FUNDS

Cites Work

• On optimal sharing rules in discrete- and continuous-time principal-agent problems with exponential utility
• Advances in prospect theory: cumulative representation of uncertainty
• The first-best sharing rule in the continuous-time principal-agent problem with exponential utility
• The first-order approach to the continuous-time principal-agent problem with exponential utility
• Corporate insurance and managerial incentives
• Asymptotic efficiency in dynamic principal-agent problems
• Optimal compensation with hidden action and lump-sum payment in a continuous-time model
• Optimal compensation with adverse selection and dynamic actions
• Optimal derivatives design for mean-variance agents under adverse selection
• A Continuous-Time Version of the Principal–Agent Problem
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• Prospect Theory: An Analysis of Decision under Risk
• Discrete-Time Approximations of the Holmstrom-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision

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