Ambiguity sharing and the lack of relative performance evaluation

DOI10.1007/s00199-017-1056-xzbMath1416.91091OpenAlexW2616184091MaRDI QIDQ1616079

Zhentao Zou, Jinqiang Yang, Yaoyao Wu

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

Related Items (8)

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

Cites Work

• Optimal insurance design of ambiguous risks
• Risk, uncertainty, and option exercise
• Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
• Dynamic corporate investment and liquidity management under model uncertainty
• Irreversible investment and Knightian uncertainty
• Robust control and model misspecification
• Are CEOs Rewarded for Luck? The Ones Without Principals Are
• Ambiguity, Learning, and Asset Returns
• Risk, Ambiguity, and the Savage Axioms
• A Continuous-Time Version of the Principal–Agent Problem
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• Robust Contracts in Continuous Time

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