Dynamic contracting with many agents
Event details
| Date | 20.03.2026 |
| Hour | 11:00 › 12:15 |
| Speaker | Elu von Thadden - University of Mannheim |
| Location |
UNIL, Extranef, room 126
|
| Category | Conferences - Seminars |
| Event Language | English |
We extend Merton (1969)’s analysis of capital allocation and consumption-savings choices to the case in which asset management is delegated to several privately informed agents. With a continuum of agents, mean-field control techniques yield a simple and intuitive solution: capital reallocation is linear in relative performance, and managers’ fees are proportional to assets under-management. We show that these properties do not obtain in the single agent case. We also show that continuation utilities are exposed to idiosyncratic risk and increasingly unequal between managers. Finally, investment is lower than under symmetric information because incentive constraints reduce risk sharing.
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