Narrow search
Showing 1 - 10 of 227
Cover Image
Optimal delegated search with adverse selection and moral hazard
Ulbricht, Robert - In: Theoretical economics : TE ; an open access journal in … 11 (2016) 1, pp. 253-278
The paper studies a model of delegated search. The distribution of search revenues is unknown to the principal and has to be elicited from the agent in order to design the optimal search policy. At the same time, the search process is unobservable, requiring search to be self-enforcing. The two...
Persistent link: https://www.econbiz.de/10011672191
Cover Image
Optimal insurance with adverse selection
Schlee, Edward E.; Chade, Hector - In: Theoretical economics : TE ; an open access journal in … 7 (2012) 3, pp. 571-607
We solve the principal-agent problem of a monopolist insurer selling to an agent whose riskiness (loss chance) is private information, a problem introduced in Stiglitz's (1977) seminal paper. For an \emph{arbitrary} type distribution, we prove several properties of optimal menus, such as...
Persistent link: https://www.econbiz.de/10011689103
Cover Image
Robust contracting under common value uncertainty
Auster, Sarah - In: Theoretical economics : TE ; an open access journal in … 13 (2018) 1, pp. 175-204
A buyer makes an offer to a privately informed seller for a good of uncertain quality. Quality determines both the seller's valuation and the buyer's valuation, and the buyer evaluates each contract according to its worst-case performance over a set of probability distributions. This paper...
Persistent link: https://www.econbiz.de/10011855861
Cover Image
Surprise and default in general equilibrium
Teeple, Keisuke - In: Theoretical economics : TE ; an open access journal in … 18 (2023) 4, pp. 1547-1583
I model an incomplete markets economy where unaware agents do not perceive all states of nature, so unintended default … can occur when asset returns differ from what was perceived. The presence of default plays a crucial role in the proof of … delivery-adjusted asset returns. The First Fundamental Welfare Theorem fails because of default and pecuniary inefficiencies …
Persistent link: https://www.econbiz.de/10014440081
Cover Image
Ergodic Markov equilibrium with incomplete markets and short sales
Braido, Luis H. B. - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 1, pp. 41-57
This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium...
Persistent link: https://www.econbiz.de/10011689003
Cover Image
Sustainable debt
Bloise, Gaetano; Polemarchakis, Heraklis M.; Vailakis, Y. - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 4, pp. 1513-1555
We show that debt is sustainable at a competitive equilibrium based solely on the reputation for repayment; that is, even without collateral or legal sanctions available to creditors. In an incomplete asset market, when the rate of interest falls recurrently below the rate of growth of the...
Persistent link: https://www.econbiz.de/10012806557
Cover Image
Incomplete markets with no Hart points
Anderson, Robert M.; Raimondo, Roberto C. - In: Theoretical economics : TE ; an open access journal in … 2 (2007) 2, pp. 115-133
We provide a geometric test of whether a general equilibrium incomplete markets (GEI) economy has Hart points---points at which the rank of the securities payoff matrix drops. Condition (H) says that, at each nonterminal node, there is an affine set (of appropriate dimension) that intersects all...
Persistent link: https://www.econbiz.de/10011702592
Cover Image
The no-upward-crossing condition, comparative statics, and the moral-hazard problem
Chade, Hector; Swinkels, Jeroen M. - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 2, pp. 445-476
We define and explore the No-Upward-Crossing NUC, a condition satisfied by every parameterized family of distributions commonly used in economic applications. Under smoothness assumptions, NUC is equivalent to log-supermodularity of the negative of the derivative of the distribution with respect...
Persistent link: https://www.econbiz.de/10012308408
Cover Image
A unifying approach to incentive compatibility in moral hazard problems
Kirkegaard, René - In: Theoretical economics : TE ; an open access journal in … 12 (2017) 1, pp. 25-51
A new approach to moral hazard is presented. Once local incentive compatibil- ity is satis?ed, the problem of verifying global incentive compatibility is shown to be isomorphic to the problem of comparing two classes of distribution functions. Thus, tools from choice under uncertainty can be...
Persistent link: https://www.econbiz.de/10011704635
Cover Image
A general solution method for moral hazard problems
Ke, Rongzhu; Ryan, Christopher Thomas - In: Theoretical economics : TE ; an open access journal in … 13 (2018) 3, pp. 1425-1481
Principal-agent models are pervasive in theoretical and applied economics, but their analysis has largely been limited to the ``first-order approach'' (FOA) where incentive compatibility is replaced by a first-order condition. This paper presents a new approach to solving a wide class of...
Persistent link: https://www.econbiz.de/10011937391