2026-09-19T20:46:07Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/1180112022-01-13T07:54:52Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
Andrey Malenko.
Hansen, Peter G. (Peter Giles)
Sloan School of Management.
Sloan School of Management
2018-09-17T15:53:43Z
2018-09-17T15:53:43Z
2018
2018
http://hdl.handle.net/1721.1/118011
1051454086
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 43-45).
I study a continuous-time principal-agent model with hidden action in which the principal and the agent have ambiguous beliefs about the volatility of the project cash flows. I describe a novel formulation that captures uncertainty about the underlying volatility process show how it affects the optimal contract. Ambiguity aversion generates endogenous belief heterogeneity between the principal and the agent. Under the optimal contract, the agent always trusts the benchmark probability model, while the principal forms expectations as if volatility is strictly higher and state-dependent. Additionally, I show ambiguity aversion generates asset pricing implications for the implied financial securities.
by Peter G. Hansen.
S.M. in Management Research
45 pages
eng
Massachusetts Institute of Technology
MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.
http://dspace.mit.edu/handle/1721.1/7582
Sloan School of Management.
Optimal long-term financing under ambiguous volatility
Thesis
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