Dynamic Agency and Endogenous Risk-Taking
研究了一个连续时间委托代理模型，其中多任务代理人从事未被观察到的风险承担行为，分析了最优契约如何激励过度风险承担，并指出风险管理应考虑代理问题。
I study a continuous-time principal–agent model in which a multitasking agent engages in unobserved risk-taking. Risk-taking creates short-term profits but also increases the chance of large losses. The optimal contract incentivizes excessive risk-taking when the agent has insufficient skin in the game. Moreover, if the low effort is not too value-destroying and the private benefit of shirking is low enough, the principal can eliminate risk-taking by implementing the low effort. However, with variable project scale, addressing the risk-taking incentives by downsizing projects is not optimal. The implementation of the optimal contract shows that risk management should take agency problems into account. Complete hedging against downside risks provides incentives for the agent to gamble. This paper was accepted by Gustavo Manso, finance.