New formulations of ambiguous volatility with an application to optimal dynamic contracting

• 成果类型: Article
• 署名作者: Hansen, Peter G.
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2021.105205
• 发表日期: 2022
• 关键词: Ambiguity; stochastic volatility; moral hazard; capital structure; asset pricing

摘要

I introduce novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. I compare these preferences with Gilboa and Schmeidler's maxmin expected utility as well as variational formulations of ambiguity aversion. The impact of ambiguity aversion is illustrated in a simple static model of portfolio choice, as well as a dynamic model of optimal contracting under repeated moral hazard. Implications for investor beliefs, optimal design of corporate securities, and asset pricing are explored. (C) 2021 The Author(s). Published by Elsevier Inc.