Ambiguity sharing and the lack of relative performance evaluation

DOI10.1007/S00199-017-1056-XMaRDI QIDQ1616079zbMATH OpenOpenAlexFDO

Authors Yaoyao Wu, Jinqiang Yang, Zhentao Zou

Publication date 31 October 2018

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-017-1056-x

zbMATH Keywords

model uncertaintyrelative performance evaluationambiguity sharingreward for luck

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Recommendations

• Incentive contracting under ambiguity aversion
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Cites work

• A Continuous-Time Version of the Principal–Agent Problem
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• Ambiguity, learning, and asset returns
• Are CEOs rewarded for luck? The ones without principals are
• Dynamic corporate investment and liquidity management under model uncertainty
• Irreversible investment and Knightian uncertainty
• Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
• Optimal insurance design of ambiguous risks
• Risk, ambiguity and the Savage axioms
• Risk, uncertainty, and option exercise
• Robust Contracts in Continuous Time
• Robust control and model misspecification

Cited in

(9)

• Climate policy: how to deal with ambiguity?
• Robust risk-taking under a sustainable constraint
• Robust experimentation in the continuous time bandit problem
• Robust leverage dynamics without commitment
• Optimal contracting under mean-volatility joint ambiguity uncertainties
• Can ambiguity about rare disasters explain equity premium puzzle?
• Robust contracts with one-sided commitment
• Incentive contracting under ambiguity aversion
• Robust dynamic contracts with multiple agents

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