Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230744
Authors: 
Packham, Natalie
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-033
Abstract: 
In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and under stronger assumptions adverse selection. We show that this result continues to hold when in addition reser- vation utilities are type-dependent. This type of problem occurs in the study of optimal compensation problems involving competing principals.
Subjects: 
Principal-agent modelling
contract design
stochastic process
stochastic control
JEL: 
C00
Document Type: 
Working Paper

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