Related papers: Ambiguous Contracts
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
Preferences for mixing can reveal ambiguity perception and attitude on a single event. The validity of the approach is discussed for multiple preference classes including maxmin, maxmax, variational, and smooth second-order preferences. An…
A principal must decide between two options. Which one she prefers depends on the private information of two agents. One agent always prefers the first option; the other always prefers the second. Transfers are infeasible. One application…
We consider the principal-agent problem with heterogeneous agents. Previous works assume that the principal signs independent incentive contracts with every agent to make them invest more efforts on the tasks. However, in many…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
We study a moral hazard problem with adverse selection: a risk-neutral agent can directly control the output distribution and possess private information about the production environment. The principal designs a menu of contracts satisfying…
In a decision-making scenario, a principal could use conditional predictions from an expert agent to inform their choice. However, this approach would introduce a fundamental conflict of interest. An agent optimizing for predictive accuracy…
We study a dynamic contracting problem with multiple agents and limited commitment. A principal seeks to screen efficient agents using one-period contracts, but is tempted to revise contract terms upon knowing an agent's type. Alterations…
Complexity of the problem of choosing among uncertain acts is a salient feature of many of the environments in which departures from expected utility theory are observed. I propose and axiomatize a model of choice under uncertainty in which…
We study a two-period moral hazard problem; there are two agents, with action sets that are unknown to the principal. The principal contracts with each agent sequentially, and seeks to maximize the worst-case discounted sum of payoffs,…
This paper examines the optimal contracts in a two-dimensional screening model where one dimension(group identity) is verifiable by agents but not falsifiable. A principal offers contracts to agents who differ in cost types and group…
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…
This paper proposes a method to design an optimal dynamic contract between a principal and an agent, who has the authority to control both the principal's revenue and an engineered system. The key characteristic of our problem setting is…
We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…
Standard models of multi-agent modal logic do not capture the fact that information is often \emph{ambiguous}, and may be interpreted in different ways by different agents. We propose a framework that can model this, and consider different…
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the…
The hidden-action model captures a fundamental problem of principal-agent theory and provides an optimal sharing rule when only the outcome but not the effort can be observed. However, the hidden-action model builds on various explicit and…
In the conventional principal-agent problem, a principal delegates a task to an agent and formulates a contract to incentivize the agent's actions on behalf of the principal. However, this framework overlooks the information that is…
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…
Meta-training agents with memory has been shown to culminate in Bayes-optimal agents, which casts Bayes-optimality as the implicit solution to a numerical optimization problem rather than an explicit modeling assumption. Bayes-optimal…