A reformulation of the maxmin expected utility model with application to agency theory
AbstractInvoking the parameterized distribution formulation of agency theory, the paper develops axiomatic foundations of the principal's and agent's choice behaviors that are representable by the maximization of the minimum expected utility over action-dependent sets of priors. In the context of this model, the paper also discusses some implications of ambiguity aversion for the design of optimal incentive schemes.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 45 (2009)
Issue (Month): 1-2 (January)
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Web page: http://www.elsevier.com/locate/jmateco
Maxmin expected utility Principal-agent theory Moral hazard;
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