Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
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Agenda Overview |
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Track TH3-4: Corporate Finance and Contracts
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Dynamic Contracting with Many Agents HEC We take a mechanism design approach to dynamic capital allocation and risk-sharing between an investor (the principal) and asset managers (the agents). Incentive-compatibility implies that managers with better idiosyncratic performance get larger fees, capital, and continuation utilities. This generates an endogenous distribution of utilities across managers, which is a state variable of the optimal control problem of the principal. With a continuum of agents, this gives rise to a Bellman equation in an infinite-dimensional space, which we solve with mean-field techniques. With CRRA utilities, optimal compensation is proportional to assets-under-management and costly exposure to idiosyncratic risk lowers risky investment.
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