Mathematical Finance and Stochastic Seminar by Guillermo Alonso Alvaerz: Contracting a Crowd of Heterogeneous Agents
Speaker: , postdoctoral assistant professor, University of Michigan)
Title: Contracting a Crowd of Heterogeneous Agents
Abstract:
We study a principal-agent model involving a large population of heterogeneously interacting agents. By extending the existing methods, we find the optimal contracts assuming a continuum of agents and show that, when the number of agents is sufficiently large, the optimal contracts for the problem with a continuum of agents are near-optimal for the finite agents problem. We make comparative statics and provide numerical simulations to analyze how the agents' connectivity affects the principal's value, the effort of the agents, and the optimal contracts. Joint work with Erhan Bayraktar and Ibrahim Ekren.
Stochastic Analysis