Reward Design in Risk-Taking Contests

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Tác giả: Marcel Nutz, Yuchong Zhang

Ngôn ngữ: eng

Ký hiệu phân loại: 610.79 Medicine and health

Thông tin xuất bản: 2021

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 166171

Comment: To appear in SIAM Journal on Financial MathematicsFollowing the risk-taking model of Seel and Strack, $n$ players decide when to stop privately observed Brownian motions with drift and absorption at zero. They are then ranked according to their level of stopping and paid a rank-dependent reward. We study the problem of a principal who aims to induce a desirable equilibrium performance of the players by choosing how much reward is attributed to each rank. Specifically, we determine optimal reward schemes for principals interested in the average performance and the performance at a given rank. While the former can be related to reward inequality in the Lorenz sense, the latter can have a surprising shape.
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