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A Continuous‐Time Version of the Principal–Agent Problem

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Y Sannikov - Review of Economic Studies, 2008 - Wiley Online Library
This paper describes a new continuous-time principal–agent model, in which the output is a
diffusion process with drift determined by the agent's unobserved effort. The risk-averse
agent receives consumption continuously. The optimal contract, based on the agent's ...
Cited by 174 - Related articles - BL Direct - All 32 versions

Optimal Security Design and Dynamic Capital Structure in a Continuous‐Time Agency Model

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PM DeMarzo… - The Journal of Finance, 2006 - Wiley Online Library
We derive the optimal dynamic contract in a continuous-time principal-agent setting, and
implement it with a capital structure (credit line, long-term debt, and equity) over which the
agent controls the payout policy. While the project's volatility and liquidation cost have little ...
Cited by 156 - Related articles - BL Direct - All 30 versions

[PDF] A macroeconomic model with a financial sector

[PDF] from princeton.edu
M Brunnermeier… - Unpublished manuscript, …, 2010 - scholar.princeton.edu
Abstract This paper studies the full equilibrium dynamics of an economy with financial
frictions. Due to highly non-linear amplification effects, the economy is prone to instability
and occasionally enters volatile episodes. Risk is endogenous and asset price ...
Cited by 123 - Related articles - View as HTML - All 44 versions

Games with imperfectly observable actions in continuous time

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Y Sannikov - Econometrica, 2007 - Wiley Online Library
This paper investigates a new class of two-player games in continuous time, in which the
players' observations of each other's actions are distorted by Brownian motions. These
games are analogous to repeated games with imperfect monitoring in which the players ...
Cited by 78 - Related articles - BL Direct - All 27 versions

A continuous-time agency model of optimal contracting and capital structure

[PDF] from caltech.edu
PM DeMarzo… - 2004 - nber.org
We consider a principal-agent model in which the agent needs to raise capital from the
principal to finance a project. Our model is based on DeMarzo and Fishman (2003), except
that the agent's cash flows are given by a Brownian motion with drift in continuous time. ...
Cited by 36 - Related articles - Library Search - BL Direct - All 25 versions

Dynamic incentive accounts

[PDF] from wustl.edu
A Edmans, X Gabaix, T Sadzik… - 2009 - nber.org
Contracts in a dynamic model must address a number of issues absent from static
frameworks. Shocks to firm value may weaken the incentive effects of securities (eg cause
options to fall out of the money), and the impact of some CEO actions may not be felt until ...
Cited by 35 - Related articles - Library Search - All 55 versions

[PDF] Agency problems, screening and increasing credit lines

[PDF] from princeton.edu
Y Sannikov - V Un% published Paper, 2007 - princeton.edu
ABSTRACT. We propose a model in which an optimal dynamic financing contract for a cash-
constrained entrepreneur is a credit line with a growing credit limit. This simple contract,
which resembles those used in practice, presents a good benchmark to understand ...
Cited by 36 - Related articles - View as HTML - All 30 versions

Impossibility of collusion under imperfect monitoring with flexible production

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Y Sannikov… - The American Economic Review, 2007 - ingentaconnect.com
Abstract: We show that it is impossible to achieve collusion in a duopoly when (a) goods are
homogenous and firms compete in quantities;(b) new, noisy information arrives
continuously, without sudden events; and (c) firms are able to respond to new information ...
Cited by 29 - Related articles - BL Direct - All 30 versions

The role of information in repeated games with frequent actions

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Y Sannikov… - Econometrica, 2010 - Wiley Online Library
We show that in repeated interactions the avenues for effective provision of incentives
depend crucially on the type of information players observe. We establish this conclusion for
general repeated two-player games in which information arrives via a continuous-time ...
Cited by 24 - Related articles - All 25 versions

[PDF] Learning in dynamic incentive contracts

[PDF] from 149.169.105.100
P DeMarzo… - Unpublished Manuscript, 2008 - 149.169.105.100
Abstract We study a principal-agent setting in which output carries information about both
effort and future profitability. In this setting, the agent may manipulate investors' expectations
by affecting current output through effort. In the optimal contract the agent holds a ...
Cited by 18 - Related articles - View as HTML - All 19 versions

Real options in a dynamic agency model, with applications to financial development, IPOs, and business risk

[TXT] from nyu.edu
T Philippon… - 2007 - nber.org
The research activities of the NBER are funded by grants from federal research agencies, by
private foundations, and by generous donations from our corporate associates and from
private individuals. The NBER is a non-profit, 501 (c)(3) organization. For information on ...
Cited by 17 - Related articles - Library Search - BL Direct - All 17 versions

Reputation Effects and Equilibrium Degeneracy in Continuous-Time Games

[PDF] from yale.edu
E Faingold… - Cowles Foundation Discussion Papers, 2007 - papers.ssrn.com
Abstract: We study a class of continuous-time reputation games between a large player and
a population of small players in which the actions of the large player are imperfectly
observable. The large player is either a normal type, who behaves strategically, or a ...
Cited by 15 - Related articles - All 24 versions

[PDF] Efficiency in a Repeated Prisoners' Dilemma with Imperfect Private Monitoring

[PDF] from escholarship.org
K Fong… - 2007 - escholarship.org
Abstract: We study the repeated two-player Prisoners' Dilemma with imperfect private
monitoring and no communication. Letting the discount factor go to one and holding the
monitoring structure fixed, we achieve asymptotic efficiency. Unlike previous works on ...
Cited by 11 - Related articles - View as HTML - All 19 versions

Reputation in Continuous‐Time Games

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E Faingold… - Econometrica, 2011 - Wiley Online Library
We study reputation dynamics in continuous-time games in which a large player (eg,
government) faces a population of small players (eg, households) and the large player's
actions are imperfectly observable. The major part of our analysis examines the case in ...
Cited by 8 - Related articles - All 12 versions

[PDF] Competitive contracting and employment dynamics

[PDF] from berkeley.edu
D Manoli… - 2005 - emlab.berkeley.edu
Abstract How are contracts written in competitive settings? What effects does competition
have on efficiency and the movement of agents between firms? To address these questions,
we study optimal contracts and employment dynamics in a setting where multiple firms ...
Cited by 7 - Related articles - View as HTML - Get it from MIT Libraries - All 4 versions

[PDF] Equilibrium degeneracy and reputation effects in continuous time games

[PDF] from dklevine.com
E Faingold… - 2005 - dklevine.com
Abstract We study a continuous-time dynamic game between a large player and a
population of small players in which the actions of the large player are imperfectly
observable. We explore two versions of the game. In the complete information game, in ...
Cited by 7 - Related articles - View as HTML - All 15 versions

[PDF] Macroeconomics with financial frictions: A survey

[PDF] from dklevine.com
MK Brunnermeier, T Eisenbach… - Unpublished, Princeton …, 2011 - dklevine.com
Abstract This article surveys the macroeconomic implications of financial frictions. Financial
frictions lead to persistence and when combined with illiquidity to nonlinear amplification
effects. Risk is endogenous and liquidity spirals cause financial instability. Increasing ...
Cited by 9 - Related articles - View as HTML - All 12 versions

[CITATION] Financial development, IPOs, and business risk

T Philippon… - Unpublished working paper. Stern School of Business, …, 2007
Cited by 6 - Related articles

Dynamic CEO compensation

[PDF] from nyu.edu
A Edmans, X Gabaix, T Sadzik… - 2009 - papers.ssrn.com
Abstract: We study optimal compensation in a fully dynamic framework where the CEO
consumes in multiple periods, can undo the contract by privately saving, and can temporarily
inflate earnings. We obtain a simple closed-form contract that yields clear predictions for ...
Cited by 6 - Related articles - All 3 versions

[PDF] Learning, termination, and payout policy in dynamic incentive contracts

[PDF] from princeton.edu
P DeMarzo… - 2011 - princeton.edu
Abstract We study a principal-agent setting in which output carries information about both
effort and future profitability. In this setting, the agent may manipulate investors' expectations
by affecting current output through effort. In the optimal contract the agent holds a ...
Cited by 5 - View as HTML

Games with Imperfectly Observable Actions in Continuous Time

Y Sannikov - University of California: Berkeley, 2004 - en.scientificcommons.org
Abstract This paper investigates a new class of two-player games in continuous time, in
which the players' observations of each other's actions are distorted by Brownian motions.
These games are analogous to repeated games with imperfect monitoring in which the ...
Cited by 4 - Related articles - Cached - All 6 versions

[PDF] A learning model of dividend smoothing

[PDF] from chicagobooth.edu
PM DEMARZO… - Preliminary Draft, 2007 - faculty.chicagobooth.edu
Abstract We derive the optimal dynamic contract in a continuous-time principal-agent setting,
in which both investors and the agent learn about the firm's profitability over time. We show
that the optimal contract can be implemented through the firm's payout policy. The firm ...
Cited by 4 - Related articles - View as HTML - All 25 versions

[CITATION] forthcoming, A continuous-time version of the principal-agent problem

Y Sannikov - Review of Economic Studies
Cited by 3 - Related articles - Get it from MIT Libraries

[CITATION] 2oo7, Real Options in a Dynamic Agency Model, with Applications to Financial Development, IPOs, and business risk

T Philippon… - Working paper, New York University
Cited by 3 - Related articles

[PDF] The I Theory of Money

[PDF] from nyu.edu
MK Brunnermeier… - work in progress, 2010 - econ.nyu.edu
Abstract This paper provides a theory of money, whose value depends on the functioning of
the intermediary sector, and a unified framework for analyzing the interaction between price
and financial stability. Households that happen to be productive in this period finance their ...
Cited by 3 - Related articles - View as HTML - Get it from MIT Libraries - All 11 versions

[CITATION] 2oo7, The role of information in repeated games with frequent actions

Y Sannikov… - working paper, Princeton University
Cited by 3 - Related articles

[CITATION] 2oo7, Agency problems, screening and increasing credit lines

Y Sannikov - working paper, University of …
Cited by 3 - Related articles

[CITATION] 2oo6, A Continuous Time Agency Model of Op timal Contracting and Capital Structure

Full text - MIT Libraries
PM DeMarzo… - Journal of Finance
Cited by 2 - Related articles

[PDF] Efficiency in a Repeated Prisoners' Dilemma with Imperfect Private Monitoring

[PDF] from upf.edu
K Fong, O Gossner, J Horner… - 2008 - econ.upf.edu
Abstract We prove that there exists equilibrium payoffs arbitrarily close to the efficient payoff
in the two-player prisoner's dilemma with low discounting under imperfect private
monitoring, provided that the monitoring structure satisfies two restrictions. We assume no ...
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[CITATION] tA Dynamic Model of Scale (Invariant Incentives under Private Saving. uWorking Paper

A Edmans, X Gabaix… - University of Pennsylvania, 2008
Cited by 2 - Related articles

An Algorithm for Two Player Repeated Games with Perfect Monitoring

[PDF] from princeton.edu
D Abreu… - 2011 - papers.ssrn.com
Abstract: Consider repeated two-player games with perfect information and discounting. We
provide an algorithm that computes the set of payoff pairs V* of all pure strategy subgame
perfect equilibria with public randomization. The algorithm provides significant efficiency ...
Cited by 2 - Related articles - All 3 versions

[CITATION] Financial Frictions and the Macroeconomy

MK Brunnermeier… - 2009 - Working Paper
Cited by 2 - Related articles - Get it from MIT Libraries

[PDF] Reputation in continuous-time games, supplementary material: public randomization

[PDF] from yale.edu
E Faingold… - 2010 - aida.econ.yale.edu
Abstract We show that, in the reputation games of Faingold and Sannikov (2010, Section 7),
if a continuous-time public randomization device is avaliable, then a Markov perfect
equilibrium in publicly randomized strategies exists under Conditions 1 and 4.
Cited by 1 - Related articles - View as HTML - All 2 versions

[CITATION] kOptimal Security Design and Dynamic Capital Structure in a Continuous $ Time Agency Modell

DM Peter… - Journal of Finance, 2006 - 万方数据资源系统
... lng, 西方文化. ga, 文明化. Optimal Security Design and Dynamic Capital Structure in a
Continuous-Time Agency Model. DOI:, 10.1111/j.1540-6261.2006.01002.x. 作者 :, PETER M.
DEMARZO;YULIY SANNIKOV. 期刊 :, Journal of Finance. 年,卷(期) :, 2006, 61(6). 分类号 :, ...
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[PDF] The I-Theory of Money Preliminary and Incomplete

[PDF] from lse.ac.uk
MK Brunnermeier… - 2011 - cep.lse.ac.uk
Abstract This paper provides a theory of money, whose value depends on the functioning of
the intermediary sector. Households receive productive opportunities, which they can
finance by receiving credit from intermediaries or by saving through outside money or ...
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We encourage you to register at your earliest convenience. Partial subsidy is available for travel and local expenses of young economists submitting a paper for a …

Full text - MIT Libraries
D Abreu, A Banerjee, MK Brunnermeier… - …, 2009 - Wiley Online Library
The Annual Meetings of these two academic associations will be run in parallel, under a
single local organization. By registering for LAMES 2009, participants will be welcome to
attend to all sessions of both meetings. Andrés Neumeyer (UTDT) is the conference ...

[PDF] Dynamic Security Design and Corporate Financing

[PDF] from princeton.edu
Y Sannikov - Handbook of, 2012 - princeton.edu
Abstract. This essay considers dynamic security design and corporate financing, with
particular emphasis on informational micro-foundations. The central idea is that firm insiders
must retain an appropriate share of firm risk, either to align their incentives with those of ...
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[CITATION] Financial Development and Firm Dynamics

T Philippon… - 2007
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[CITATION] Job Market Paper

Y Sannikov - 2003
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[PDF] Agency Problems, Screening and Increasing Credit Lines. Preliminary and Incomplete

[PDF] from stanford.edu
Y Sannikov - 2005 - gsb.stanford.edu
Abstract We consider a setting in which an agent seeks financing for a project with uncertain
cash flows. There is both a moral hazard problem: the agent can divert cash for personal
consumption, and an adverse selection problem: the investors are initially uncertain about ...
Related articles - View as HTML - All 10 versions

[PDF] Contracts: The Theory of Dynamic Principal, Agent Relationships and the Continuous, Time Approach

[PDF] from princeton.edu
Y Sannikov - 2012 - princeton.edu
Agency conflicts arise in many situations: between shareholders and firm management,
between customers and service providers, between the electorate and politicians, etc. Early
groundbreaking work on agency problems, such as Mirrlees (1976), Holmstrom (1979) ...
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Martin J. Osborne, Department of Economics, University of Toronto, martin. osborne@ utoronto. ca

JC Ely, EJ Green, BL Lipman, D Ray, S Athey… - Wiley Online Library
Skip to Main Content. ...

[CITATION] Dynamic incentive problems with imperfect information: a continuous-time approach

Y Sannikov - 2004 - en.scientificcommons.org
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[PDF] Department of Economics, UCB

[PDF] from harvard.edu
K Fong… - 2007 - isites.harvard.edu
Abstract We study the repeated two-player Prisoners' Dilemma with imperfect private
monitoring and no communication. Letting the discount factor go to one and holding the
monitoring structure fixed, we achieve asymptotic efficiency. Unlike previous works on ...
Related articles - View as HTML

[CITATION] Convergence of Discrete-Time Games with Imperfect Information to a Continuous-Time Limit. Preliminary and Incomplete.

Y Sannikov - 2006
Related articles

[PDF] An Algorithm for Two Player Repeated Games with Perfect Monitoring Preliminary and Incomplete

[PDF] from nyu.edu
D Abreu… - 2011 - econ.as.nyu.edu
Abstract Consider repeated two-player games with perfect information and discounting. We
provide an algorithm that computes the set of payoff pairs V∗ of all pure strategy subgame
perfect equilibria with public randomization. The algorithm provides significant efficiency ...
Related articles - View as HTML - All 4 versions

DP7497 Dynamic Incentive Accounts

A Edmans, X Gabaix, T Sadzik… - 2009 - cepr.org
Contracts in a dynamic model must address a number of issues absent from static
frameworks. Shocks to firm value may weaken the incentive effects of securities (eg cause
options to fall out of the money), and the impact of some CEO actions may not be felt until ...
Cached - All 3 versions

[PDF] Degenerate Equilibria and Reputation Effects in Continuous-Time Games

[PDF] from upenn.edu
E Faingold… - 2005 - econ.upenn.edu
Abstract We study a continuous-time dynamic game between a large player and a
population of small players in which the actions of the large player are imperfectly
observable. We explore two versions of the game. In the complete information game, in ...
Related articles - View as HTML - All 2 versions

[PDF] Reputation Games in Continuous Time

[PDF] from stanford.edu
E Faingold… - 2005 - stanford.edu
Abstract In this paper we study a continuous-time reputation game between a large player
and a population of small players, in which the actions of the large player are imperfectly
observable. We explore two versions of the game. We find that in a complete information ...
Related articles - View as HTML - All 2 versions

[PDF] A Continuous-Time Principal-Agent Model with Privately Observable Cash Flows. Preliminary and Incomplete

[PDF] from chicagobooth.edu
PM DeMarzo… - 2004 - chicagobooth.edu
Abstract We consider a principal-agent model, in which the agent needs to borrow from the
principal to finance a project. Our model is based on DeMarzo and Fishman (2003), except
that the agent's cash flows are given by a Brownian motion with drift in continuous time. ...
Related articles - View as HTML - All 8 versions

A Continuous-Time Version of the Principal-Agent

Y Sannikov - Computing in Economics and Finance 2005, 2005 - ideas.repec.org
This paper describes a new continuous-time principal-agent model, in which the output is a
diffusion process with drift determined by the agent’ s unobserved effort. The risk-averse
agent receives consumption continuously. An optimal contract, based on the agent’ s ...
Cached - All 4 versions

Martin J. Osborne, Department of Economics, University of Toronto, martin. osborne@ utoronto. ca

J Hörner, BL Lipman, D Ray, S Athey, T Bergstrom… - Wiley Online Library
Skip to Main Content. Wiley Online Library will be disrupted 3
Dec from 10-12 GMT for monthly maintenance. ...

[CITATION] kLearning in Dynamic Incentive Con $ tracts. lStanford University

PM DeMarzo… - Unpublished manuscript, 2008
Cited by 2 - Related articles

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