CALIBRATED INCENTIVE CONTRACTS

• 成果类型: Article
• 署名作者: Chassang, Sylvain
• 署名单位: Princeton University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA9987
• 发表日期: 2013
• 页码: 1935-1971
• 关键词: HIGH-WATER MARKS; continuous-time; security design; COMPENSATION; performance; management; games

摘要

This paper studies a dynamic agency problem which includes limited liability, moral hazard, and adverse selection. The paper develops a robust approach to dynamic contracting based on calibrating the incentive properties of simple benchmark contracts that are attractive but infeasible, due to limited liability constraints. The resulting dynamic contracts are detail-free and satisfy robust performance bounds independently of the underlying process for returns, which need not be i.i.d. or even ergodic.