Banca de QUALIFICAÇÃO: PEDRO DE SOUTO MAIOR SALGADO

Uma banca de QUALIFICAÇÃO de MESTRADO foi cadastrada pelo programa.
STUDENT : PEDRO DE SOUTO MAIOR SALGADO
DATE: 12/03/2026
TIME: 10:00
LOCAL: a definir
TITLE:

Optimal Contracts under Moral Hazard and Ambiguity

KEY WORDS:

Principal-Agent Model; Moral Hazard; Knightian Uncertainty, Ambiguity

PAGES: 30
BIG AREA: Ciências Sociais Aplicadas
AREA: Economia
SUMMARY:

This paper studies optimal contracts in a principal-agent moral hazard problem when the agent faces Knightian uncertainty and the principal does not. The principal is risk-neutral and maximizes expected profit under additive probabilities, whereas the agent evaluates contracts through Choquet expected utility associated with a simple capacity, thereby capturing ambiguity aversion. In an environment with two effort levels and two output levels, we solve the problem and compare optimal contracts across different configurations, including observable effort and asymmetric information, and we also explore settings in which the agent is not only ambiguity-averse but also risk-averse, contrasting them with the risk-neutral case. The non-additivity introduced in the agent’s evaluation generates a combination of the standard expected value and the worst-case scenario, with the weighting parameter interpreted as the degree of aversion to uncertainty/ambiguity. We show how this ambiguity parameter shifts payments across states of nature and makes the contract more costly for the principal in terms of expected profit. Finally, we compare our results with traditional models, that is, those without ambiguity, and derive the main economic implications

COMMITTEE MEMBERS:
Interno - 1550794 - JOSE GUILHERME DE LARA RESENDE
Presidente - 1122890 - RODRIGO ANDRES DE SOUZA PENALOZA