Contract Theory : Discrete- and Continuous-Time Models

• Autore: Sung Jaeyoung
• Pubblicazione: Singapore : , : Springer, , 2023; ©2023
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (348 pages)
• Disciplina: 330.0151
• Nota di contenuto: Intro -- Introduction -- References -- Contents -- Part I General Elements in Modelling Contracting Problems -- 1 Incentive Problems -- 1.1 Main Issues in Contracting -- 1.2 Principal's Problem -- 1.3 Agency Problems in Corporate Finance -- 1.4 Empirical Evidences on Managerial Compensation -- References -- 2 Basic Structures of Contracting Problems -- 2.1 First Best -- 2.1.1 Certainty Case -- 2.1.2 Uncertainty Case -- 2.2 Second Best -- 2.3 Exercises -- References -- 3 Discrete-Time Formulation I -- 3.1 First Best -- 3.1.1 Positive Effort -- 3.1.2 Zero Effort -- 3.1.3 Condition for Positive Effort -- 3.2 Second Best with a Risk-Neutral Agent -- 3.2.1 Positive Effort -- 3.2.2 Zero Effort -- 3.2.3 Condition for Positive Effort -- 3.3 Second Best with a Risk-Averse Agent -- 3.3.1 Positive Effort -- 3.3.2 Condition for Positive Effort -- 3.4 Remarks on the Discrete-Time Binomial-Outcome Model -- 3.5 Notes -- 3.6 Exercises -- References -- 4 Discrete-Time Formulation II -- 4.1 First Best -- 4.2 Second Best -- 4.2.1 The First-Order Approach -- 4.2.2 Shape of Second-Best Contract -- 4.2.3 Value of Informative Signal in Contracting -- 4.2.4 Summary -- 4.3 Validity of First-Order Approach -- 4.3.1 First-Order Approach with a Normally Distributed Outcome -- 4.3.2 Normally Distributed Outcome -- 4.4 Notes -- 4.5 Exercises -- References -- Part II Contracting Under Risk Uncertainties: Continuous-Time Models -- 5 Contracting in Continuous Time: Time-Multiplicative Preferences -- 5.1 The Model -- 5.2 Representation of Admissible Contracts -- 5.3 First Best -- 5.3.1 First Best with a General Outcome Process -- 5.4 Second Best -- 5.4.1 Agent's Problem -- 5.4.2 Principal's Problem -- 5.4.3 Second Best with a General Non-Markovian Outcome Process -- 5.5 Application to Managerial Compensation -- 5.6 Notes -- 5.7 Exercises -- References. ; 6 Optimal Performance Metrics -- 6.1 Structure of the Optimal Performance Metric -- 6.2 Value of a Signal -- 6.3 Relative Performance Evaluation (RPE) -- 6.3.1 RPE in the Presence of Financial Markets -- 6.4 Notes -- 6.5 Exercises -- References -- 7 Contracting Under Incomplete Information -- 7.1 Case I: dθt = 0 -- 7.2 Case II: a(t) = a and b(t) = b -- 7.3 Notes -- 7.4 Exercises -- References -- 8 Career Concerns in Competitive Executive Job Markets -- 8.1 The Model -- 8.2 Agent's Problem and Market Expectation -- 8.3 Principal's Problem -- 8.4 Notes -- 8.5 Exercises -- References -- 9 Agency Problem in Weak Formulation -- 9.1 Agent's Problem -- 9.2 Principal's Problem -- 9.2.1 Markovian Outcome -- 9.3 Notes -- References -- 10 Contracting with a Mean-Volatility Controlled Outcome -- 10.1 Agent's Mean-Volatility Control Problem -- 10.2 Principal's Problem: Observable Volatility -- 10.2.1 Markovian Outcome -- 10.2.2 Observable Project Selection -- 10.3 Principal's Problem: Unobservable Volatility -- 10.3.1 Unobservable-Project Selection -- 10.4 Comparing Observable- and Unobservable-Project Decisions -- 10.5 Unobservable-Volatility Case II -- 10.6 Notes -- 10.7 Exercises -- References -- 11 Hierarchical Contracting: A Mean-Volatility Control Problem -- 11.1 The Model -- 11.2 Contracting on Individual Effort Outcomes -- 11.3 Contracting on Optimal Performance Metrics -- 11.3.1 Middle Managerial Contracts -- 11.3.2 Top Managerial Contract -- 11.3.3 A Numerical Example -- 11.4 Notes -- 11.5 Exercises -- References -- 12 Contracting in Continuous Time: Time-Additive Preferences -- 12.1 The Model -- 12.2 First Best -- 12.3 Second Best -- 12.4 Notes -- 12.5 Exercises -- References -- Part III Contracting Under Ambiguity Uncertainties -- 13 Contracting Under Ambiguity: Introduction -- 13.1 Additional Remarks on Risk and Ambiguity. ; 13.1.1 True Versus Perceived Distributions -- 13.1.2 A Submartingale Property -- 13.1.3 Learning from Each Other -- 13.2 A Discrete-Time Model -- 13.3 Structure of Optimal Contracts -- 13.4 First Best -- 13.5 Second Best -- 13.6 Notes -- 13.7 Exercises -- References -- 14 Contracting Under Ambiguity in Continuous Time -- 14.1 The Principal-Agent Problems -- 14.2 Representation of Admissible Contracts -- 14.2.1 Why the K Process and the Submartingale Property?: A Digression -- 14.3 First-Best Contracting -- 14.4 Second-Best Contracting -- 14.4.1 Incentive Compatibility -- 14.4.2 Principal's Problem -- 14.5 The Linear-Quadratic Case -- 14.6 Notes -- 14.7 Exercises -- References -- Part IV Contracting in the Presence of Information Asymmetry -- 15 Information Asymmetry: Hidden Information -- 15.1 The Model -- 15.2 Hidden Effort and Project Decisions Under Hidden Information -- 15.2.1 The Principal's Problem -- 15.2.2 Numerical Simulation -- 15.3 Notes -- 15.4 Exercises -- References -- 16 Information Asymmetry: Adverse Selection -- 16.1 The Model: Pure Adverse Selection -- 16.2 The Two-Type Case -- 16.2.1 First Best -- 16.2.2 Second Best -- 16.2.3 Intuition -- 16.3 Continuum of Types -- 16.4 Notes -- References -- 17 Information Asymmetry: Adverse Selection and Moral Hazard -- 17.1 A Discrete-Time Model -- 17.1.1 Project Selection -- 17.2 A Continuous-Time Model -- 17.3 Principal's Problem -- 17.4 Notes -- References -- Appendix A Review on Some Stochastic Control Methods -- A.1 A Brief Review on Stochastic Calculus -- A.2 Dynamic Programming Equation with Exponential Utility -- A.3 Martingale Method -- A.3.1 Integral Objective -- A.3.2 Exponential Objective -- A.3.2.1 Volatility Control Under Strong Formulation -- A.4 Mean-Volatility Control Problem in Weak Formulation -- A.4.1 Admissible Probability Measures. ; A.4.2 The Mean-Volatility Control Problem -- References -- Author Index -- Subject Index.
• Titolo autorizzato: Contract Theory
• ISBN: 981-9954-87-8
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910770265303321
• Lo trovi qui: Univ. Federico II