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Job design and randomization in principal agent models
Köhler, Wolfgang R. - Institut für Volkswirtschaftslehre, … - 2008
We analyze task allocation and randomization in Principal Agent models. We identify a new rationale that determines the allocation of tasks and show that it can be optimal to assign tasks that are very different to one agent. Similar to randomization, the reason to assign several tasks to one...
Persistent link: https://www.econbiz.de/10005040816
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Multiple Losses, Ex-Ante Moral Hazard, and the Non-Optimality of the Standard Insurance Contract
Breuer, Michael - Institut für Volkswirtschaftslehre, … - 2003
Under certain conditions the optimal insurance policy will offer full coverage above a deductible, as Arrow and others have shown long time ago. Interestingly, the same design of insurance policies applies in case of a single loss and ex-ante moral hazard. However, many insurance policies...
Persistent link: https://www.econbiz.de/10005756584
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Competitive Markets without Commitment
Netzer, Nick; Scheuer, Florian - Institut für Volkswirtschaftslehre, … - 2008
In the presence of a time-inconsistency problem with optimal agency contracts, we show that competitive markets implement allocations that Pareto dominate those achieved by a benevolent planner, they induce strictly more effort, and they sometimes make the commitment problem disappear entirely....
Persistent link: https://www.econbiz.de/10005756642
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Wealth inequality and the optimal level of government debt
Röhrs, Sigrid; Winter, Christoph - Institut für Volkswirtschaftslehre, … - 2011
In this paper, we quantitatively analyze to what extent a benevolent government should issue debt in a model where households are subject to idiosyncratic productivity shocks, insurance markets are missing and borrowing is restricted. In this environment, issuing government bonds facilitates...
Persistent link: https://www.econbiz.de/10009386339
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Prospect Theory and the CAPM: A contradiction or coexistence?
Levy, Haim; Giorgi, Enrico De; Hens, Thorsten - Institut für Volkswirtschaftslehre, …
Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds. However, under the...
Persistent link: https://www.econbiz.de/10005585616
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Market Selection and Survival of Investment Strategies
Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - Institut für Volkswirtschaftslehre, …
The paper analyzes the process of market selection of investment strategies in an incomplete asset market. The payoffs … dynamic investment de-cisions based on their observations and time. We show that a trader distributing wealth across available … the assumption that the trader's strategy is asymptotically distinct from the CAPM strategy (prescribing in-vestment in …
Persistent link: https://www.econbiz.de/10005585627
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An Extension of Mantel (1976) to Incomplete Markets
Hens, Thorsten - Institut für Volkswirtschaftslehre, …
In the incomplete markets model with numeraire asset and a single con- sumption good we show that, even with homothetic preferences, on compact sets of prices Continuity, Walras' identity and Homogeneity characterize the properties of market excess demand.This result is proved by an extension of...
Persistent link: https://www.econbiz.de/10005627787
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Excess Demand Functions with Incomplete Markets - A Global Result
Momi, Takeshi - Institut für Volkswirtschaftslehre, …
The purpose of this paper is to give a global characterization of excess demand functions in a two period exchange economy with incomplete real asset markets. We show that continuity, homogeneity and Walras’ law characterize the aggregate excess demand functions on any compact price set which...
Persistent link: https://www.econbiz.de/10005627790
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Evolution of Portfolio Rules in Incomplete Markets
Hens, Thorsten; Schenk-Hoppé, Klaus - Institut für Volkswirtschaftslehre, …
The paper considers the evolution of portfolio rules in markets with stationary returns and endogenous prices. The ultimate success of a portfolio rule is measured by the wealth share the rule is eventually able to conquer in competition with other portfolio rules. We give nec-essary and...
Persistent link: https://www.econbiz.de/10005627816
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Evolutionary Stable Stock Markets
Evstigneev, Igor; Hens, Thorsten; Schenk-Hoppé, Klaus … - Institut für Volkswirtschaftslehre, …
This paper shows that a stock market is evolutionary stable if and only if stocks are evaluated by expected relative dividends. Any other market can be invaded by portfolio rules that will gain market wealth and hence change the valuation. In the model the valuation of assets is given by the...
Persistent link: https://www.econbiz.de/10005627823