Dynamic programming approach to principal-agent problems

Abstract

We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon. Our approach is the following: we first find the contract that is optimal among those for which the agent’s value process allows a dynamic programming representation and for which the agent’s optimal effort is straightforward to find. We then show… (More)
DOI: 10.1007/s00780-017-0344-4

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