We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanisms under minimal assumptions on the contract space and prove that centralized contracting implemented via mechanisms...

Recent empirical studies suggest a downward sloping term structure of Sharpe ratios. We present a theoretical framework in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an arbitrage-free and incomplete market setting when different...

We propose a sequential topology on the collection of sub-sigma-algebras included in a separable probability space. We prove compactness of the conditional expectations with respect to L2-bounded random variables along sequences of sub-sigma-algebras. The varying index of measurability is...

The analysis of optimal risk sharing has been thus far largely restricted to nonexpected utility models with concave utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the analysis to α-maxmin expected utility, Choquet expected...

We study a general class of utility processes V(c)=(V_{t}(c)), where V_{t}(c), a dynamic utility operator, is a decision criterion that quantifies a decision maker's evaluation of uncertain consumption streams c. We call this dynamic utility operator robust and its distinctiveness is that it...

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first...