The Principal-Agent Problem With Time Inconsistent Utility Functions
arXiv:1503.05416
Abstract
In this paper we study a generalization of the continuous time Principal-Agent problem allowing for time inconsistent utility functions, for instance of mean-variance type. Using recent results on the Pontryagin maximum principle for FBSDEs we suggest a method of characterizing optimal contracts for such models. To illustrate this we consider a fully solved explicit example in the linear quadratic setting.
arXiv admin note: substantial text overlap with arXiv:1410.6392