On the value of randomization
Article dans une revue: The paper identifies a necessary and sufficient condition for a deterministic local optimum to be locally improved upon by a stochastic deviation. When this condition is satisfied, a method to construct the stochastic allocations that increase the objective is provided. This technique is applied to a number of adverse selection and moral hazard problems.
Auteur(s)
Stéphane Gauthier, Guy Laroque
Revue
- Journal of Economic Theory
Date de publication
- 2014
Mots-clés JEL
Mots-clés
- Second order conditions
- Constrained optimization
- Incentive constraints
- Random contracts
Pages
- 493-507
URL de la notice HAL
Version
- 1
Volume
- 151