We consider a game between several principals and a common agent, where principals know only a subset of the agent's available actions. Principals demand robustness and evaluate contracts on a worst-case basis. This robust approach allows for a crisp characterization of the equilibrium contracts...

Most financial signals show time dependency that, combined with noisy and extreme events, poses serious problems in the parameter estimations of statistical models. Moreover, when addressing asset pricing, portfolio selection, and investment strategies, accurate estimates of the relationship...

We develop a framework for difference-in-differences designs with staggered treatment adoption and heterogeneous causal effects. We show that conventional regression-based estimators fail to provide unbiased estimates of relevant estimands absent strong restrictions on treatment-effect...

This paper studies the optimal insurance problem within the risk minimization framework and from a decision maker (DM)’s perspective. We assume that the DM is uncertain about the underlying distribution of her loss and would consider all the distributions that closely surround a given...