Optimal contract for the principal-agent under Knightian uncertainty

DOI10.1007/S40305-020-00316-7MaRDI QIDQ2656889zbMATH OpenOpenAlexFDO

Authors Kunlun Wang, Chen Fei, Weiyin Fei

Publication date 17 March 2021

Published in Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40305-020-00316-7

zbMATH Keywords

HJB equationKnightian uncertaintyprincipal-agentsublinear expectationbehavioral economics

Mathematics Subject Classification ID

Contract theory (moral hazard, adverse selection) (91B41) Principal-agent models (91B43)

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Cites work

• A Continuous-Time Version of the Principal–Agent Problem
• A complete representation theorem for \(G\)-martingales
• Ambiguity, Risk, and Asset Returns in Continuous Time
• An optimal consumption-portfolio and retirement problem with disutility under Knightian uncertainty
• Dynamic contracting with persistent shocks
• Games with Imperfectly Observable Actions in Continuous Time
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• On Repeated Moral Hazard with Discounting
• Optimal Portfolio Choice Based on α-MEU Under Ambiguity
• Optimal contracting with effort and misvaluation
• Optimal insurance under adverse selection and ambiguity aversion
• Principal-agent problem with common agency without communication
• Termination of dynamic contracts in an equilibrium labor market model
• Theory, methods and meaning of nonlinear expectation theory

Cited in

(14)

• Knightian uncertainty and moral hazard
• Optimal and robust contracts for a risk-constrained principal
• Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal
• A no-trade theorem under Knightian uncertainty with general preferences
• Agent's optimal compensation under inflation risk by using dynamic contract model
• A Complementarity Framework for Forward Contracting Under Uncertainty
• Public private partnerships contract under moral hazard and ambiguous information
• Contract theory in a VUCA world
• Research on investment incorporating both environmental performance and long (short) term financial performance of firms
• On the existence of optimal contract mechanisms for incomplete information principal-agent models
• Principal-agent problem under mean-volatility joint fuzzy uncertainties
• scientific article; zbMATH DE number 7366626 (Why is no real title available?)
• An optimal insurance design problem under Knightian uncertainty
• Uncertainty, risk, and the efficiencies of the principal and the agent: a chance constrained data envelopment analysis approach

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