Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on what they call gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds....

In common value models, it is possible that the full information efficiency and the incentive constraint require the quantity of full and asymmetric information to move in opposite directions with the type. This conflict is called non-responsiveness. Most of those models share the features that...

This paper develops a theoretical framework for analyzing incentive schemes under bounded rationality. It starts from a standard principal-agent model and then superimposes an assumption of boundedly rational behavior on the part of the agent. Boundedly rational behavior is modeled as an...

This paper considers the robustness of optimal decisions in a model of monopoly and a model of competitive equilibrium in a securities market. Robustness, defined as payoffs being continuous with respect to perturbations in the underlying model, fails to hold for either model. Decision rules are...

The bias of forward exchange rates as a predictor of future spot rates is typically explained or decomposed as (1) a risk premium and (2) a convexity term which accounts for the fact that, when there is stochastic inflation, nominal gains from forward currency speculation are higher than real...

This paper analyses the role of the managers' non-pecuniary private benefits in an incomplete contract approach to the regulation of utilities. Private benefits may take various forms: excessive job security, perks, overstaffing, feeling of power. The model describes the relationship between a...

Drawing insights from the literature and from the author's own survey work on contractual practices among manufacturers and traders in Africa, we study the transition from anonymous to personal to impersonal exchange. Using a dynamic game with heterogenous agents and information sharing, we...