We survey literature on ambiguity with an emphasis on recent applications in
macroeconomics and finance. Like risk, ambiguity leads to cautious behavior and …

This review summarizes a nascent body of theoretical research on design of incentives
when the environment is not fully known to the designer and offers some general lessons …

This study presents a continuous-time macro-finance model with Knightian uncertainty to
solve the full equilibrium dynamics of the economy and examine the impacts of Knightian …

Security design, which broadly speaking deals with the issue of designing optimal
contractual mechanisms for overcoming various frictions between agents, is the subject of …

We build a dynamic agency model in which the agent controls both current earnings via
short-term investment and firm growth via long-term investment. Under the optimal contract …

This paper develops a dynamic contracting (multitasking) model of a levered firm. In
particular, the manager selects long-term and short-term efforts, and shareholders choose …

This paper investigates a class of robust non-zero-sum reinsurance–investment stochastic
differential games between two competing insurers under the time-consistent mean …

This study extends the theoretical model of dynamic investment, dividend payout, costly
external financing, and liquidation for financially constrained firms by incorporating …

A privately informed issuer raises project financing from an uninformed investor through a
security sale. The investor faces Knightian uncertainty and evaluates each security by the …

This paper investigates a non-zero-sum stochastic differential game between two
competitive CARA insurers, who are concerned about the potential model ambiguity and …