Principal-agent problem with common agency without communication
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Publication:4579842
Abstract: In this paper, we consider a problem of contract theory in which several Principals hire a common Agent and we study the model in the continuous time setting. We show that optimal contracts should satisfy some equilibrium conditions and we reduce the optimisation problem of the Principals to a system of coupled Hamilton-Jacobi-Bellman (HJB) equations. We provide conditions ensuring that for risk-neutral Principals, the system of coupled HJB equations admits a solution. Further, we apply our study in a more specific linear-quadratic model where two interacting Principals hire one common Agent. In this continuous time model, we extend the result of Bernheim and Whinston (1986) in which the authors compare the optimal effort of the Agent in a non-cooperative Principals model and that in the aggregate model, by showing that these two optimisations coincide only in the first best case. We also study the sensibility of the optimal effort and the optimal remunerations with respect to appetence parameters and the correlation between the projects.
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Cited in
(18)- Analysis of various optimal contracts in the problem of stimulation of agents by a principal in a model with two agents
- Multiple-task and multiple-agent models: Incentive contracts and an application to point pollution control
- Serving many masters: an agent and his principals
- Optimal contract for the principal-agent under Knightian uncertainty
- A principal-agent problem in continuous time
- Multi-contracting mechanism design
- Strategies in the principal-agent model
- Common Agency
- Contractible contracts in common agency problems
- Contracting theory with competitive interacting agents
- Multiprincipals multiagents incentive design
- Optimal make–take fees for market making regulation
- Principal-agent problem with multiple principals
- An exit contract optimization problem
- Principal-multiagents problem under equivalent changes of measure: general study and an existence result
- Time-inconsistent contract theory
- Common shocks and relative compensation
- Randomisation with moral hazard: a path to existence of optimal contracts
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