Dynamic Principal Agent Models:
A Continuous Time Approach
A mini-course with
Sebastian Pfeil and Florian Hoffmann
University of Frankfurt
April 23-26, 2012
The mini course will count as 4 ECTS points and plans to cover the fundamental methods developed in:
- Biais, Mariotti, Plantin, and Rochet, 2007, "Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications," Review of Economic Studies.
- Demarzo and Sannikov, 2006, "Optimal Securitiy Design and Dynamic Capital Structure in a Continuous-Time Agency Model," Journal of Finance.
- Sannikov, 2008, "A Continuous-Time Version of the Principal Agent-Problem," Review of Economic Studies.
and some papers that extend these methods:
- DeMarzo, Fishman, He, and Wang, 2011, "Dynamic Agency and the q Theory of Investment," Journal of Finance, forthcoming.
- He, 2009, "Optimal Executive Compensation when Firm Size follows a Geometric Brownian Motion," Review of Financial Studies.
- Hoffmann and Pfeil, 2010, "Reward for Luck in a Dynamic Agency Model," Review of Financial Studies.
Schedule
12-04-23: 10.15-12 room 528
14.15-17 room 538
12-04-24: 10.15-12 room 528
14.15-17 room 138
12-04-25: 10.15-12 room 528
14.15-17 room 538
12-04-26: 10.15-12 room 328
14.15-17 room 138
Lecture notes
Lecture notes are available by e-mail from Lisa Klein
Travel Stipend
There will be the possibility for doctoral students from Sweden to apply for funding of travelling expenses. Please send a brief motivation and budget as well as a note showing your supervisor's approval to Lisa Klein.
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