Narrow search
Showing 1 - 10 of 13,536
Cover Image
A Parametric Curve Analysis for the Risk-Return Tradeoff in an Agency Problem
Huang, Ke-Wei - 2011
the standard approach, the target firm's expected return and risk are modeled as a parametric curve in terms of a critical … business decision. A general condition is derived for characterizing how a risk-averse or risk-seeking agent may behave … differently from a risk-neutral decision maker. This general theorem is applied to solve several examples that demonstrate the …
Persistent link: https://www.econbiz.de/10013131545
Cover Image
Optimal contracting under mean-volatility joint ambiguity uncertainties
Sung, Jaeyoung - In: Economic theory 74 (2022) 2, pp. 593-642
Persistent link: https://www.econbiz.de/10013442066
Cover Image
Managerial Compensation and Outcome Volatility
Chen, Xiaoyan - 2018
We present a simple discrete-time version of the continuous-time agency model under mean-volatility joint ambiguity uncertainties, which conveniently captures a number of important properties of optimal contracts without having to rely on complex continuous-time mathematical issues. The...
Persistent link: https://www.econbiz.de/10012924934
Cover Image
Uncertainty, investment, and managerial incentives
Glover, Brent; Levine, Oliver - In: Journal of monetary economics 69 (2015), pp. 121-137
Persistent link: https://www.econbiz.de/10011326673
Cover Image
Continuous-Time Principal-Agent Problem with Drift and Stochastic Volatility Control
Leung, Raymond C. W. - 2020
and exogenous macro risks determine total project cash flow risk. We find: (i) as long as the stochastic volatility cannot …
Persistent link: https://www.econbiz.de/10012856567
Cover Image
New formulations of ambiguous volatility with an application to optimal dynamic contracting
Hansen, Peter G. - In: Journal of economic theory 199 (2022), pp. 1-31
Persistent link: https://www.econbiz.de/10013193348
Cover Image
Dynamic Resource Allocation with Hidden Volatility
Feng, Felix Zhiyu - 2020
, decentralized, linear mechanism) giving the agent control over the resource quantities, project risk, and agent's equity share. The … showing that hurdle rates or transfer prices may not vary with the agent's risk choice.[The SSRN version includes the Internet …
Persistent link: https://www.econbiz.de/10012854931
Cover Image
Executive Pay-for-Performance Sensitivity and Stochastic Volatility
Chen, Shuaiyu; Liu, Ping; Liu, Yan - 2022
This paper studies, both theoretically and empirically, the optimal executive compensation when firm performance is a noisy signal of executive’s hidden effort and the volatility of firm performance is stochastic. We build a tractable dynamic principal-agent model and show analytically that...
Persistent link: https://www.econbiz.de/10013403621
Cover Image
Liquidity Squeeze, Abundant Funding and Macroeconomic Volatility
Kharroubi, Enisse - 2015
This paper studies the choice between building liquidity buffers and raising funding ex post, to deal with liquidity shocks. We uncover the possibility of an inefficient liquidity squeeze equilibrium. Agents typically choose to build smaller liquidity buffers when they expect cheap funding....
Persistent link: https://www.econbiz.de/10013025599
Cover Image
New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting
Hansen, Peter - 2021
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...
Persistent link: https://www.econbiz.de/10013212448