Optimal long-term financing under ambiguous volatility
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2018
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| Online Access: | http://hdl.handle.net/1721.1/118011 |
| _version_ | 1826191422033756160 |
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| author | Hansen, Peter G. (Peter Giles) |
| author2 | Andrey Malenko. |
| author_facet | Andrey Malenko. Hansen, Peter G. (Peter Giles) |
| author_sort | Hansen, Peter G. (Peter Giles) |
| collection | MIT |
| description | Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018. |
| first_indexed | 2024-09-23T08:55:37Z |
| format | Thesis |
| id | mit-1721.1/118011 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T08:55:37Z |
| publishDate | 2018 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/1180112019-04-10T19:48:21Z Optimal long-term financing under ambiguous volatility Hansen, Peter G. (Peter Giles) Andrey Malenko. Sloan School of Management. Sloan School of Management. Sloan School of Management. 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 2018-09-17T15:53:43Z 2018-09-17T15:53:43Z 2018 2018 Thesis http://hdl.handle.net/1721.1/118011 1051454086 eng 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 45 pages application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Hansen, Peter G. (Peter Giles) Optimal long-term financing under ambiguous volatility |
| title | Optimal long-term financing under ambiguous volatility |
| title_full | Optimal long-term financing under ambiguous volatility |
| title_fullStr | Optimal long-term financing under ambiguous volatility |
| title_full_unstemmed | Optimal long-term financing under ambiguous volatility |
| title_short | Optimal long-term financing under ambiguous volatility |
| title_sort | optimal long term financing under ambiguous volatility |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/118011 |
| work_keys_str_mv | AT hansenpetergpetergiles optimallongtermfinancingunderambiguousvolatility |