This paper analyzes optimal contracts in an infinitely-repeated agency model in which both the principal and agent discount the future. The authors show that there is a stationary representation of the optimal contract when the agent's c onditional, discounted expected utility is used as a state...

The authors study the performance of the rational expectations hypothesis in multiperiod experimental markets with multiple assets. They find that the markets are generally inefficient from the point of view of full information aggregation. However, arbitrage relationships hold and it is not...

This paper identifies several social-choice correspondences which are or are not fully implementable in economic environments when agents are incompletely informed about the environment. The authors show that in contrast to results in the case of complete information, neither efficient...

For some game theoretic solution concepts, such as dominant strategies, Nash equilibrium, and undominated strategies, only dictatorial social choice functions are implementable on a full domain of preferences with at least three alternatives. For other solution concepts, such as the iterative...

For some game theoretic solution concepts, such as dominant strategies, Nash equilibrium, and undominated strategies, only dictatorial social choice functions are implementable on a full domain of preferences with at lest three alternatives. For other solution concepts, such as the iterative...

The dependence structure in multivariate financial time series is of great importance in portfolio management. By studying daily return histories of 17 exchange-traded index funds, we identify important features of the data, and we propose two new models to capture these features. The first is...

The authors study the problem of implementing social choice correspondences via Nash equilibrium in which no one uses a weakly dominated strategy. The main result is that if there are at least three agents in society, then any correspondence that satisfies no veto power is implementable unless...