A continuous-time version of the principal-agent problem

Review of Economic Studies

Volumn 75, Issue 3, 2008, Pages 957-984

  Sannikov, Yuliy ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EMPLOYMENT; INCENTIVE; METHODOLOGY; NUMERICAL MODEL; OPTIMIZATION; STOCHASTICITY; WAGE;

EID: 45249101176     PISSN: 00346527     EISSN: 1467937X     Source Type: Journal    
DOI: 10.1111/j.1467-937X.2008.00486.x     Document Type: Article

References (44)

1. ABREU, D., PEARCE, D. and STACCHETTI, E. (1986), "Optimal Cartel Equilibria With Imperfect Monitoring", Journal of Economic Theory, 39, 251-269.
2. ABREU, D., PEARCE, D. and STACCHETTI, E. (1990), "Toward a Theory of Discounted Repeated Games With Imperfect Monitoring", Econometrica, 58, 1041-1063.
3. AGHION, P., CAROLI, E. and GARCIA-PENALOSA, C. (1999), "Inequality and Economic Growth: The Perspective of the New Growth Theories", Journal of Economic Literature, 37, 1615-1660.
4. ALESINA, A. and RODRIK, D. (1994), "Distributive Politics and Economic Growth", Quarterly Journal of Economics, 109 (2), 465-490.
5. ATKESON, A. and LUCAS, R. E., Jr. (1992), "On Efficient Distribution with Private Information", The Review of Economic Studies, 59 (3), 427-453.
6. BIAIS, B., MARIOTTI, T., PLANTIN, G. and ROCHET, J.-C. (2007), "Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications", Review of Economic Studies, 74 (2), 345-390.
7. BOLTON, P. and HARRIS, C. (2001), "The Continuous-Time Principal-Agent Problem: Frequent-Monitoring Contracts"(Working Paper, Princeton University).
8. CVITANIC, J., WAN, X. and ZHANG, J. (2006), "Continuous-Time Principal-Agent Problems with Hidden Action and Lump-Sum Payment"(Working Paper, Caltech).
9. DEMARZO, P. and SANNIKOV, Y. (2006), "Optimal Security Design and Dynamic Capital Structure in a Continuous-Time Agency Model", Journal of Finance, 61, 2681-2724.
10. DETEMPLE, J., GOVINDARAJ, S. and LOEWENSTEIN, M. (2001), "Optimal Contracts and Intertemporal Incentives with Hidden Actions"(Working Paper, Boston University).
11. FARHI E. and WERNING, I. (2006 a), "Inequality, Social Discounting and Progressive Estate Taxation"(Working Paper, MIT).
12. FARHI E. and WERNING, I. (2006 b), "Capital Taxation: Quantitative Explorations of the Inverse Euler Equation"(Working Paper, MIT).
13. FUDENBERG, D., HOLMSTROM, B. and MILGROM, P. (1990), "Short-Term Contracts and Long-Term Agency Relationships", Journal of Economic Theory, 51 (1), 1-31.
14. FUDENBERG, D., LEVINE, D. and MASKIN, E. (1994), "The Folk Theorem with Imperfect Public Information", Econometrica, 62, 997-1039.
15. GOLOSOV, M., KOCHERLAKOTA, N. and TSYVINSKI, A. (2003), "Optimal Indirect Capital Taxation", Review of Economic Studies, 70, 569-587.
16. HELLWIG, M. and SCHMIDT, K. M. (2002), "Discrete-Time Approximations of the Holmstrom-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision", Econometrica, 70, 2225-2264.
17. HOLMSTROM, B. and MILGROM, P. (1987), "Aggregation and Linearity in the Provision of Intertemporal Incentives", Econometrica, 55, 303-328.
18. HOLMSTROM, B. and MILGROM, P. (1991), "Multitask Principal-Agent Analyses: Incentive Contracts, Asset Ownership, and Job Design", Journal of Law, Economics, and Organization, 7, 24-52.
19. JACOD, J. and YOR, M. (1977), "Étude des solutions extrémales, et représentation intégrale des solutions pour certains problèmes de martingales", Z. für Wahr, 38, 83-125.
20. KARATZAS, I. and SHREVE, S. (1991), Brownian Motion and Stochastic Calculus (Springer-Verlag: New York).
21. KOCHERLAKOTA, N. R. (2004), "Figuring Out the Impact of Hidden Savings on Optimal Unemployment Insurance", Review of Economic Dynamics, 7, 541-554.
22. LAZEAR, E. P. (1979), "Why Is There Mandatory Retirement?", Journal of Political Economy, 87 (6), 1261-1284.
23. LAZEAR, E. P. (1999), "Personnel Economics: Past Lessons and Future Directions", Journal of Labor Economics, 17, 199-236.
24. LAZEAR, E. P. (2000), "Performance Pay and Productivity", American Economic Review, 90 (5), 1346-1361.
25. LAZEAR, E. P. and ROSEN, S. (1981), "Rank-Order Tournaments as Optimum Labor Contracts", Journal of Political Economy, 89, 841-864.
26. LEVIN, J. D. (2003), "Relational Incentive Contracts", American Economic Review, 93 (3), 835-847.
27. MEYERSSON-MILGROM, E., PETERSEN, T. and ASPLUND, R. (2002), "Pay, Risk and Productivity", Finnish Economic Papers, 15 (1), 3-23.
28. OU-YANG, H. (2003), "Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem", Review of Financial Studies, 16, 173-208.
29. PERROTTI, R. (1996), "Growth, Income Distribution, and Democracy: What the Data Say", Journal of Economic Growth, 1 (2), 149-187.
30. PERSSON, T. and TABELLINI, G. (1994), "Is Inequality Harmful for Growth?", American Economic Review, 84 (3), 600-621.
31. PHELAN, C. and TOWNSEND, R. (1991), "Computing Multi-Period, Information-Constrained Optima", Review of Economic Studies, 58, 853-881.
32. RADNER, R. (1985), "Repeated Principal-Agent Games with Discounting", Econometrica, 53, 1173-1198.
33. ROGERSON, W. P. (1985), "Repeated Moral Hazard", Econometrica, 53, 69-76.
34. SCHATTLER, H. and SUNG, J. (1993), "The First-Order Approach to the Continuous-Time Principal-Agent Problem with Exponential Utility", Journal of Economic Theory, 61, 331-371.
35. SLEET, C. and YELTEKIN, S. (2007), "Credibility and Endogenous Societal Discounting", Review of Economic Dynamics (forthcoming).
36. SPEAR, S. E. and SRIVASTAVA, S. (1987), "On Repeated Moral Hazard With Discounting", Review of Economic Studies, 54, 599-617.
37. SPEAR, S. and WANG, C. (2005), "When to Fire a CEO: Optimal Termination in Dynamic Contracts", Journal of Economic Theory, 120, 239-256.
38. SPITZ, J. (1991), "Productivity and Wage Relations in Economic Theory and Labor Markets"(Ph.D. Dissertation, Stanford University Graduate School of Business).
39. SUNG, J. (1995), "Linearity with Project Selection and Controllable Diffusion Rate in Continuous-Time Principal-Agent Problems", Rand J. Economics, 26, 720-743.
40. WANG, C. (2006), "Termination of Dynamic Contracts in an Equilibrium Labor Market Model"(Working Paper, Iowa State University).
41. WERNING, I. (2002), "Repeated Moral-Hazard with Unmonitored Wealth: A Recursive First-Order Approach"(Working Paper, MIT).
42. WESTERFIELD, M. (2006), "Optimal Dynamic Contracts with Hidden Actions in Continuous Time"(Working Paper, USC).
43. WILLIAMS, N. (2003), "On Dynamic Principal-Agent Problems in Continuous Time"(Working Paper, Princeton University).
44. WILLIAMS, N. (2005), "Efficient Allocations in a Dynamic Moral Hazard Economy"(Working Paper, Princeton University).