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Erschienen in:
Introduction Kapitel lesen Erstes Kapitel lesen

2016 | OriginalPaper | Buchkapitel

2. Ambiguity, Robustness, and Contract Design

verfasst von : Suren Basov

Erschienen in: Social Norms, Bounded Rationality and Optimal Contracts

Verlag: Springer Singapore

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Abstract

In this chapter we consider the choice economic agents make under ambiguity, i.e. in a situation when they do not have well-defined probabilistic beliefs. The agents still have a well-defined objective they maximize, but even this minimal deviation from the standard model allows to explain some, otherwise puzzling, features of real life contracts.  

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Vorheriges Kapitel Introduction
Nächstes Kapitel Evolution of Preferences, Social Norms, and Decision Rules
Fußnoten
1
Space S is assumed to be a measure space and acts are assumed to be measurable functions from S into C.
 
2
The uniqueness of the probability in Savage’s theory is predicated on the convention that the utility function is state independent. Savage axioms guarantee state independence of preferences, but not of the utility and beliefs separately.
 
3
Technically, one should speak about the non-null events, but this is not important for the current discussion.
 
4
I describe briefly Ellsberg’s experiments in the next section.
 
5
In the decision-makers beliefs respect objective information then probability of drawing out green ball should be 1/3. The latter is, however, immaterial for our argument.
 
6
Note that the endowments are measurable with respect to their partitions.
 
7
Definition of private core is similar to that of core, but with crucial requirement that allocations are measurable with respect to private information partitions.
 
8
This logic assumes that both agents are expected utility maximizers.
 
9
Use of the maximin criterion in classical statistics dates back to Wald (1950), but the behaviorial foundations where first provided by Gilboa and Schmeidler (1982).
 
10
The conditions are rationality, monotonicity, and continuity.
 
11
As we will see later, hidden action and hidden information models often respond in different ways to deviations from Bayesian rationality. For example, the costs of boundedly rational behavior are usually borne by the principal in hidden action models, but can be borne by either the principal, or the agent, or both in hidden information models.
 
12
See papers by Krasa and Yannelis (1994), Koutsougeras and Yannelis (1993), Hahn and Yannelis (1997).
 
13
The latter is the limited liability constraint, which prevents the principal from selling the enterprise to the agent.
 
Literatur
Carroll, G. (2015). Robustness and linear contracts. American Economic Review, 105, 536–563.CrossRef
De Castro, L. I., & Yannelis, N. C. (2011). Ambiguity aversion solves the conflict between efficiency and incentive compatibility. University of Manchester Economic Discussion Papers Series, EDP-1106.
Ellsberg, D. (1961). Risk, ambiguity, and the savage axioms. Quarterly Journal of Economics, 75, 643–669.
Gilboa, I., & Schmeidler, I. D. (1989). Maximin expected utility with non-unique prior. Journal of Mathematical Economics, 18, 141–153.CrossRef
Gul, F., & Postlewaite, A. (1992). Asymptotic efficiency in large exchange economies with asymmetric information. Econometrica, 60, 1273–1292.CrossRef
Hahn, G., & Yannelis, N. C. (1997). Efficiency and incentive compatibility in differential information economies. Economic Theory, 10, 383–411.CrossRef
Hart, O., & Moore, J. (1999). Foundations of incomplete contracts. Review of Economic Studies, 66, 115–139.CrossRef
He, W., & Yannelis, N. C. (2015). Equilibrium theory under ambiguity. Journal of Mathematical Economics, 61, 86–95.CrossRef
Holmström, B., & Myerson, R. B. (1983). Efficient and durable decision rules with incomplete information. Econometrica, 51, 1799–1819.CrossRef
Knight, F. H. (1921). Risk, uncertainty, and profits. Boston, MA: Hart, Schaffner & Marx; Houghton Mifflin Co.
Koutsougeras, L., & Yannelis, N. C. (1993). Incentive compatibility and information superiority of the core of an economy with differential information. Economic Theory, 3, 195–216.CrossRef
Krasa, S., & Yannelis, N. C. (1994). The value allocation of an economy with differential information. Econometrica, 62, 881–900.CrossRef
McLean, R., & Postlewaite, A. (2002). Informational size and incentive compatibility. Econometrica, 70, 2421–2454.CrossRef
Mukerji, S. (1998). Ambiguity aversion and incompleteness of contractual form. American Economic Review, 88, 1207–1231.
Pulford, B. D. (2009). Is luck on my side: Optimism, pessimism, and ambiguity aversion. Quarterly Journal of Experimental Psychology, 62, 1079–1087.CrossRef
Radner, R. (1968). Competitive equilibrium under uncertainty. Econometrica, 36, 31–58.CrossRef
Radner, R. (1982). Equilibrium under uncertainty. In K. J. Arrow & M. D. Intriligator (Eds.), Handbook of mathematical economics, vol. II. Amsterdam: North Holland.
Savage, L. J. (1954). Foundations of statistics. New York, NY, USA: Wiley.
Segal, I. (1999). Complexity and renegotiation: A foundation for incomplete contracts. Review of Economic Studies, 66, 57–82.CrossRef
Simon, H. A. (1956). Reply: Surrogates for uncertain decision problems. Office of Naval Research.
Wald, A. (1950). Statistical decision functions. New York, NY, USA: John Wiley & Sons.
Yannelis, N. C. (1991). The core of an economy with differential information. Economic Theory, 1, 183–197.CrossRef
Metadaten
Titel
Ambiguity, Robustness, and Contract Design
verfasst von
Suren Basov
Copyright-Jahr
2016
Verlag
Springer Singapore
Buch
Social Norms, Bounded Rationality and Optimal Contracts

Print ISBN: 978-981-10-1039-2

Electronic ISBN: 978-981-10-1041-5

Copyright-Jahr: 2016

DOI
https://doi.org/10.1007/978-981-10-1041-5_2

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