§ Research

Research

Working papers, publications, and the themes that organize my research program — at the intersection of economic theory, quantitative finance, and data science.

Working Papers

Drafts available on request. SSRN/arXiv links forthcoming.

Dynamic Contracting with Random Effort Adjustment

2026 · Working Paper · Theory · Single-authored

Effort-Induced Impatience and Optimal Compensation Design

January 2024 · 42 pages · Single-authored · SSRN

This paper develops a continuous-time principal-agent model in which the agent's impatience rises endogenously with effort. We derive explicit value functions and characterize optimal contracts. A central finding is that the payment threshold is non-monotonic in the agent's impatience level: when asset risk is low, the principal initially backloads payments to stretch incentives, but beyond a critical impatience level, the contract shifts toward frontloading, driven by two forces: stronger discounting of future payment and the rising cost of sustaining incentive under greater impatience. Implementing the contract with debt, credit lines, and inside equity yields closed-form valuations, showing that equity value shifts from concave to convex as asset risk increases. Temporary suspension efficiently realigns incentives without termination. Finally, we provide explicit conditions for renegotiation-proof contracts, revealing how effort-induced impatience reshapes incentive structures.

Diagram: regions of optimal contract behavior in the (R, L) plane, showing thresholds L = F_A(R), L = b(R, R Q_s^{-1}(A/rR)), and L = F_0(R) that separate Region II (Never shirking), Region III, Region IV, and the absorbing region D.
Optimal-contract regions in the (R, L) plane. Boundaries L = F_A(R) and L = F_0(R) separate the absorbing region from Region II (never shirking) and from the suspension region; the curve L = b(R, R Qs-1(A/rR)) further partitions the interior.

Dynamic Monitoring and Information Design

2025 · Working Paper · Theory

When the principal can design both the monitoring technology and the information disclosed to the agent, optimal contracts combine a state-dependent monitoring schedule with a strategically obfuscated signal. Bridges dynamic contracting and Bayesian persuasion: the optimal disclosure rule reduces required incentives by shaping the agent's beliefs about future enforcement.

Continuous-Time Contracting under Infrequent Adjustment

2026 · Working Paper · Theory
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Publications

  1. 2015
    Sung, J., and Wan, X. A general equilibrium model of a multi-firm moral-hazard economy with financial markets. Mathematical Finance, 25(4), 827–868.
  2. 2013
    Cvitanić, J., and Wan, X. Dynamics of contract design with screening. Management Science, 59(5), 1229–1244.
  3. 2012
    Ju, N., and Wan, X. Optimal compensation and pay-performance sensitivity in a continuous-time principal-agent model. Management Science, 58(3), 641–657.
  4. 2010
    Goukasian, L., and Wan, X. Optimal incentive contracts under relative income concerns. Mathematics and Financial Economics, 4(1), 57–86.
  5. 2009
    Cvitanić, J., Wan, X., and Zhang, J. Optimal compensation with hidden action and lump-sum payment in a continuous-time model. Applied Mathematics and Optimization, 59(1), 99–146.
  6. 2008
    Cvitanić, J., Wan, X., and Zhang, J. Principal-agent problems with exit options. B.E. Journal of Theoretical Economics, 8(1).
  7. 2006
    Cvitanić, J., Wan, X., and Zhang, J. Optimal contracts in continuous-time models. Journal of Applied Mathematics and Stochastic Analysis.
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External Profiles