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Optimal Contracts and Optimal Stopping

最优合约和最优停止

基本信息

批准号：
2206282
负责人：
Gu Wang
金额：
$ 26万
依托单位：
Worcester Polytechnic Institute
依托单位国家：
美国
项目类别：
Standard Grant
财政年份：
2022
资助国家：
美国
起止时间：
2022-08-01 至 2025-07-31
项目状态：
未结题

来源：
https://www.nsf.gov/awardsearch/showAward?AWD_ID=2206282&HistoricalAwards=false
关键词：
Optimal Contracts Stopping

项目摘要

The theory of optimal contracts has been central in economics literature over the past few decades, with applications in many areas, including asset management, insurance, sharing economy, taxation, and telemedicine. The optimal contract is supposed to incentivize the agents to reveal the true status of the ongoing projects, which is not always observable by the principal, and to maximize the welfare of the principal. At the same time, it also guarantees that the agents are satisfied with the compensation, either due to regulations or compared to alternative opportunities. The PI plans to analyze how contractual compensation are optimally designed and terminated in a principal-agent relationship, and the potential moral hazard due to the information asymmetry between the two parties. The expected results help us understand the agents' behavior under different contracts and have concrete applications in practice, for example, the risk exposure of portfolios chosen by asset managers for their investors, and the withdrawal behavior of insurance policy holders, both of which help regulate and design financial products, and improve welfare distribution among market participants.The research topics include (i) the optimal contracts which specify both the compensation and the terminating rule, and (ii) relational contracts with no specific rules on termination but can be stopped by either the principal or the agents. The goal is to develop new tools and strengthen existing ones in the optimal contract theory to incorporate optimal stopping, jump diffusions and agents who control the diffusion coefficient of the state variable, e.g. a dynamic programming approach which transform an optimal contract problem with stopping to a stochastic control/stopping problem, and a new definition for admissibility in the case of relational contracts that can only be terminated by the principal, which guarantees that the agent's response to each admissible contract is well-defined and robust to arbitrary stopping times adopted by the principal. Some of these results help justify and explain prevailing assumptions in the previous literature, for example the usual drawdown constraints for asset managers and make optimal contract theory closer to practice.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

在过去的几十年里，最优契约理论一直是经济学文献的核心，在许多领域都有应用，包括资产管理、保险、共享经济、税收和远程医疗。最优契约应该激励代理人披露正在进行的项目的真实状态，而这并不总是被委托人所能看到的，并使委托人的福利最大化。同时，它也保证了代理商对补偿满意，无论是由于法规还是与其他机会相比。PI计划分析在委托代理关系中如何优化设计和终止合同补偿，以及双方之间信息不对称所带来的潜在道德风险。预期结果有助于我们理解代理人在不同契约下的行为，并在实践中有具体的应用，如资产管理人为其投资者选择投资组合的风险敞口，以及保单持有人的退出行为，都有助于监管和设计金融产品，改善市场参与者之间的福利分配。研究课题包括(1)既规定了补偿又规定了终止规则的最优契约；(2)没有明确的终止规则，但可以由委托人或代理人终止的关系契约。目标是开发新工具并加强最优契约理论中的现有工具，以结合最优停止，跳跃扩散和控制状态变量扩散系数的代理，例如将具有停止的最优契约问题转换为随机控制/停止问题的动态规划方法，以及在只能由委托人终止的关系契约的情况下的可容许性的新定义。这保证了代理对每个可接受契约的响应是定义良好的，并且对委托人所采用的任意停止时间具有鲁棒性。其中一些结果有助于证明和解释以前文献中的普遍假设，例如资产管理公司通常的缩减约束，并使最优契约理论更接近实践。该奖项反映了美国国家科学基金会的法定使命，并通过使用基金会的知识价值和更广泛的影响审查标准进行评估，被认为值得支持。