基于逆H {<$}lder不等式的风险分担委托代理问题分析
Analysis of the Risk-Sharing Principal-Agent problem through the Reverse-H{ö}lder inequality
摘要：
在本文中，我们提供了一个替代框架，以解决CARA公用事业下的第一个最好的委托代理问题。这个框架导致的存在性和唯一性的解决方案的风险分担问题的基础上的合同空间非常一般的假设下的证明。我们的分析依赖于一个最佳的分解的期望效用的主要方面的保留效用的代理和工程都在离散时间和连续时间设置。作为一个副产品，这种方法提供了一种新的方式来表征在CARA设置的最优合同，这是作为一种替代广泛使用的拉格朗日方法，和一些分析的最优。
英文摘要：
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very general assumptions on the underlying contract space. Our analysis relies on an optimal decomposition of the expected utility of the Principal in terms of the reservation utility of the Agent and works both in a discrete time and continuous time setting. As a by-product this approach provides a novel way of characterizing the optimal contract in the CARA setting, which is as an alternative to the widely used Lagrangian method, and some analysis of the optimum.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
