Research Seminars

X-HEC Seminar in Economic Theory "Calibrated Incentive Contracts"

Speaker: Sylvain Chassang
Princeton University

1 June 2011 - Polytechnique, Economics Department - Library (Ground Floor) - From 14:30 pm to 16:00 pm

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This paper studies a dynamic agency problem which includes limited liability, moral hazard and adverse selection. The paper develops a robust approach to dynamic contracting based on calibrating the payoffs that would have been delivered by simple benchmark contracts that are attractive but infeasible, due to limited liability constraints. The resulting dynamic contracts are detail-free and satisfy robust performance bounds independently of the underlying process for returns, which need not be i.i.d. or even ergodic.

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