Buch, Englisch, 345 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 711 g
ISBN: 978-981-99-5486-5
Verlag: Springer
This book provides a self-contained introduction to discrete-time and continuous-time models in contracting theory to advanced undergraduate and graduate students in economics and finance and researchers focusing on closed-form solutions and their economic implications. Discrete-time models are introduced to highlight important elements in both economics and mathematics of contracting problems and to serve as a bridge for continuous-time models and their applications. The book serves as a bridge between the currently two almost separate strands of textbooks on discrete- and continuous-time contracting models
This book is written in a manner that makes complex mathematical concepts more accessible to economists. However, it would also be an invaluable tool for applied mathematicians who are looking to learn about possible economic applications of various control methods.
Zielgruppe
Graduate
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Introduction
1 Incentive Problems
1.1 Main Issues in Contracting
1.2 The principal’s problem
1.3 Agency Problems in Corporate Finance
1.4 Empirical evidences on managerial compensation
2 Basic Structures of Contracting Problems
2.1 The First Best Problem
2.1.1 Certainty case
2.1.2 Uncertainty case
2.2 The second-best problem
2.2.1 Social planner’s problem
2.3 Exercises
3 Discrete-Time Formulation I 33
3.1 The First-Best Contract
3.2 The Second Best Contract
3.2.1 Risk-neutral Agent
3.2.2 Risk-Averse Agent
3.3 Remarks on the discrete-time and binomial-outcome model
3.4 Notes
3.5 Exercises
4 Discrete-Time Formulation II
4.1 The First Best
4.2 The Second Best
4.2.1 The First-Order Approach
4.2.2 The Shape of the Second-Best Contract
4.2.3 The Value of Informative Signal in Contracting
4.2.4 Summary
4.3 The Validity of the First-order Approach
4.3.1 The First-Order Approach with a Normally-Distributed Outcome
4.3.2 Normally Distributed Outcome
4.4 Notes
4.5 Exercises
5 Contracting in Continuous Time: Time-Multiplicative Pref-
erences
5.1 The Model
5.2 The representation of admissible contracts
5.3 The First Best
5.3.1 The First-Best Solution with a General Outcome Process
5.4 Second-best Contracting
5.4.1 The Agent’s Problem
5.4.2 The Principal’s Problem
5.4.3 The Second-best Solution with a General Non-Markovian
Outcome Process
5.5 Application to Managerial Compensation
5.6 Notes
5.7 Exercises
6 Optimal Performance Metrics
6.1 Relative Performance Evaluation (RPE)
6.1.1 RPE in the Presence of Financial Markets
6.2 Notes
6.3 Exercises
7 Contracting under Incomplete Information
7.1 Case I: d?t = 0
7.2 Case II: a(t) = a and b(t) = b
7.3 Notes
7.4 Exercises
8 Career Concerns in Competitive Labor Markets
8.1 The Model
8.2 Agent’s Problem and Market Expectation
8.3 Principal’s Problem
8.4 Notes
8.5 Exercises
9 Agency Problem in Weak Formulation
9.1 The Agent’s Problem
9.2 The Principal’s Problem
9.2.1 Markovian Outcome
9.3 Notes
10 Contracting with a Mean-Volatility Controlled Outcome
10.1 The Agent’s Mean-Volatility Control Problem
10.2 Principal’s Problem: Observable Volatility
10.2.1 Markovian Outcome
10.3 Unobservable Volatility
10.4 Comparing Observable and Unobservable Project Decisions
10.4.1 Unobservable volatility case II
10.5 Notes
10.6 Exercises
11 Hierarchical Contracting: A Mean-Volatility Control Problem
11.1 The Model
11.2 Optimal Performance-Based Contracts
11.3 Profit Sharing under Hierarchical Contracting
11.3.1 Middle Managerial Contracts
11.3.2 Top Managerial Contract
11.4 Notes
11.5 Exercises
12 Contracting in Continuous Time: Time-Additive Preferences
12.1 The Model
12.2 The First Best
12.3 The Second Best
12.4 Notes
12.5 Exercises
13 Contracting under Ambiguity: Introduction
13.1 Additional remarks on risk and ambiguity
13.1.1 True vs. Perceived Distributions
13.1.2 A submartingle property
13.1.3 Learning from each other
13.2 A discrete-time model
13.3 The Structure of Optimal Contracts
13.4 The First-Best Contract
13.5 The Second-Best Contract
13.6 Notes
13.7 Exercises
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?: 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 A Linear-Quadratic Case
14.6 Notes
14.7 Exercises
15 Information Asymmetry: Adverse Selection
15.1 The Model: Pure Adverse Selection
15.2 The Two-Type Case
15.2.1 The first best
15.2.2 Asymmetric information: The second best
15.2.3 Intuition
15.3 Continuum of Types
15.4 Notes
16 Adverse Selection and Moral Hazard
16.1 Continuous-Time Contracting
16.2 The Principal’s Problem
16.3 Notes
A
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.4 Mean-Volatility Control in Weak Formulation
A.4.1 Admissible Probability Measures
A.4.2 The mean-volatility control problem
