We consider the problem of finding equilibrium asset prices in a financial market in which a portfolio manager (Agent) invests on behalf of an investor (Principal), who compensates the manager with an optimal contract. We extend a model from Buffa, Vayanos and Woolley (2014) by allowing general...

Previous literature documents that mutual funds' flows increase more than linearly with realized performance. I show this convex flow-performance relationship is consistent with a dynamic contracting model in which investors learn about the fund manager's skill. My model predicts that flows...

We examine optimal dynamic contracts when the firm's production generates harmful pollution undermining its productivity. The optimal contract rewards for financial performance and penalizes pollution. The combination of both contract sensitivities incentivizes the agent's effort and...

This paper considers a long-term relationship between two agents who undertake costly actions or investments which produce a joint benefit. Agents have an opportunity to expropriate some of the joint benefit for their own use. The question asked is how to structure the investments and division...

We explore buyback contracts in a supplier-retailer supply chain where the retailer faces a price-dependent downward-sloping demand curve subject to uncertainty. We formulate the problem as a supplier-led Stackelberg game and derive explicitly the equilibrium contract parameters along with the...

We present a continuous-time agency model under mean-volatility joint ambiguity uncertainties, where both the principal and agent exhibit Gilboa-Schmeidler's extreme ambiguity aversion. For this, we extend the martingale method well known in the agency literature, by allowing not only the mean...

Consider a setting in which a principal induces effort from an agent to reduce the arrival rate of a Poisson process of adverse events. The effort is costly to the agent, and unobservable to the principal, unless the principal is monitoring the agent. Monitoring ensures effort but is costly to...

This paper characterizes the contractual relationship between an external auditor and a manager of a client firm when the incentives for both agents are implicit as in the career concerns framework. The main result is that the earning management and the audit effort are decreasing over time...

We examine a model of long-term contracting in which the buyer is privately informed about the stochastic process by which her value for a good evolves. In addition, the realized values are also private information. We characterize a class of environments in which the profit-maximizing long-term...

In this paper, we examine a supply chain in which a single supplier sells to a downstream newsvendor-type retailer. We make two assumptions that enrich this simple and well-understood model. First, we consider a multi-period model, in which the sequence of events is as follows. In a period, t,...