Multi-period principal-agent problems
There is a wealth of literature about principal-agent problems in single-period and continuous-time models, but investigation on such problems in a discrete-time, multi-period setting is relatively scarce. Hence, this report will examine principal-agent problems in a discrete-time, multi-period set...
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| Format: | Final Year Project |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/78851 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | There is a wealth of literature about principal-agent problems in single-period and continuous-time
models, but investigation on such problems in a discrete-time, multi-period setting is relatively scarce. Hence, this report will examine principal-agent problems in a discrete-time, multi-period setting. Specifically, it will focus on risk-sharing problems, where both parties share the same, symmetric information from a known filtration.
In Chapter 1, we will elaborate on the general idea of principal-agent problems and describe
the motivation behind the project. In Chapter 2, we provide an overview of the types of principal-agent problems that are frequently studied, describe an existing approach used to solve risk-sharing
problems, and explain the weaknesses in that particular approach. Subsequently, we will describe a different, more rigourous approach based on stochastic control theory in Chapter 3. We will then continue with an alternative approach based on a reverse Hölder inequality in Chapter 4, and show that the results obtained from the approaches in Chapters 3 and 4 are equivalent. Lastly, we will conclude the report and provide some directions for future work in Chapter 5. |
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