884期 4月24日 :Optimal Contracting under Mean-Volatility Ambiguity Uncertainties(Jaeyoung Sung, 教授,Ajou University)
上海财经大学经济学院
科学研究
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884期 4月24日 :Optimal Contracting under Mean-Volatility Ambiguity Uncertainties(Jaeyoung Sung, 教授,Ajou University)

【主讲】Jaeyoung Sung (教授,Ajou University)

【主题】Optimal Contracting under Mean-Volatility Ambiguity Uncertainties

【时间】2018年4月24日 (周二) 15:30-17:00

【地点】上海财经大学经济学院楼701室

【语言】英文

【摘要】We present a continuous-time agency model under mean-volatility joint ambiguity uncertainties, where both the principal and agent exhibit Gilboa-Schmeidler’s extreme ambiguity aversion. For this, we extend the martingale method well known in the agency literature, by allowing not only the mean but the volatility of the outcome process to be controlled in weak formulation. Unlike the existing literature, we distinguish between ex-post realized and ex-ante perceived volatilities. Then we argue that the second-best contract in general consists of two sharing rules: one for realized outcome and the other for realized volatility. The outcome sharing is for both uncertainty sharing and work incentives, and the volatility sharing is to align the agent’s worst prior over ambiguity uncertainties with that of the principal. The optimal volatility sharing occurs when their worst priors become symmetrized. We show that the realized compensation is positively associated with the realized volatility, and that the sensitivity to the outcome is negatively related to the perceived volatility.

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上海财经大学经济学院