On the value of randomization

• 成果类型: Article
• 署名作者: Gauthier, Stephane; Laroque, Guy
• 署名单位: Paris School of Economics; heSam Universite; Universite Pantheon-Sorbonne; University of London; University College London; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.02.006
• 发表日期: 2014
• 页码: 493-507
• 关键词: Second order conditions; constrained optimization; Incentive constraints; Random contracts

摘要

The paper identifies a necessary and sufficient condition for a deterministic local optimum to be locally improved upon by a stochastic deviation. When this condition is satisfied, a method to construct the stochastic allocations that increase the objective is provided. This technique is applied to a number of adverse selection and moral hazard problems. (C) 2014 Elsevier Inc. All rights reserved.