New formulations of ambiguous volatility with an application to optimal dynamic contracting
نویسندگان
چکیده
I introduce novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. compare these preferences with Gilboa Schmeidler's maxmin expected utility as well variational of aversion. The impact is illustrated in a simple static model portfolio choice, dynamic optimal contracting under repeated moral hazard. Implications for investor beliefs, design corporate securities, asset pricing are explored.
منابع مشابه
a new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot
abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...
15 صفحه اولOptimal Contracting with Costly State Verification, with an Application to Crowdsourcing
We study incentive design in an agency setting when monitoring is costly, and this cost is endogenously determined by the contract structure. A firm employs multiple workers to obtain costly unverifiable information about an unknown state (a task) and report it to the firm. The firm uses peer-monitoring to incentivize workers by hiring multiple workers and conditioning payment upon how a worker...
متن کاملan application of fuzzy logic for car insurance underwriting
در ایران بیمه خودرو سهم بزرگی در صنعت بیمه دارد. تعیین حق بیمه مناسب و عادلانه نیازمند طبقه بندی خریداران بیمه نامه براساس خطرات احتمالی آنها است. عوامل ریسکی فراوانی می تواند بر این قیمت گذاری تاثیر بگذارد. طبقه بندی و تعیین میزان تاثیر گذاری هر عامل ریسکی بر قیمت گذاری بیمه خودرو پیچیدگی خاصی دارد. در این پایان نامه سعی در ارائه راهی جدید برای طبقه بندی عوامل ریسکی با استفاده از اصول و روش ها...
Supplement to “ Dynamic contracting : An irrelevance theorem ”
Proof of Proposition 2 Since in a pure adverse selection model ũtat ≡ 0 for all t, throughout this section, we remove at from the arguments of ũt , that is, ũt : t ×Xt →R. We first inspect the consequences of Assumptions 1 and 2 on the orthogonalized model. Note that since θt does not depend on xt−1, the ψt inference functions do not depend on the decisions either, so ψt : E t → t . The time-se...
متن کاملOptimal Contracting Of New Experience Goods
We model new experience goods in the context of dynamic mechanism design. These are goods for which an agent is unsure of her valuation but can learn it through consumption experience. We consider a dynamic environment with a single buyer and seller in which contracting occurs over T periods, where each time the agent consumes the object, she receives a signal which allows her to revise her val...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2022
ISSN: ['1095-7235', '0022-0531']
DOI: https://doi.org/10.1016/j.jet.2021.105205