基于过度自信和努力水平的委托代理模型研究

发布时间：2018-03-09 11:39

本文选题：委托代理关系　切入点：过度自信　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：在市场需求不确定或结果产出不确定时，风险厌恶和过度自信的共存已被心理学家和经济学家所认同，他们在决策者选择最终努力的投入的过程中发挥着重要的作用。一方面，面对不确定时，风险决策者为了防止风险导致的收益损失可能会选择规避风险行为，另一方面，，决策者在分析不确定的信息时总是表现高估私人信息的准确性和自己成功的几率，过度相信自己的判断。本文以由一个委托人和代理人组成的委托代理关系为研究框架，研究风险厌恶态度和过度自信对委托代理双方利益的分配和委托代理机制的设计的影响，希望能为委托人和代理人在解决与风险厌恶和过度自信有关的一些问题提供一个理论上的指导。论文首先从实践和理论层面分析了选题的依据和意义，指出与产出不确定性相关的人的行为特征（过度自信和风险态度）与委托代理模型结合的合理性和创新性，并综述了委托代理的理论框架、努力水平和过度自信等方面的理论成果，为论文奠定了理论基础；然后，从经典的委托代理的框架出发，假设供应链的收益是关于决策者投入的努力水平的随机函数，决策者以最大化各自的期望利润为决策目标（即存在道德风险），研究了在仅考虑决策者风险厌恶时，探讨了不同的风险厌恶程度对决策者最优的努力投入和收入分享系数的影响，为后续章节的研究奠定一个分析基础；紧接着，考虑决策者风险厌恶和过度自信共存，从仅代理人投入努力和代理人与委托人共同努力两个角度出发，分析委托人和代理人不同的风险厌恶态度和对产出方差不同的过度自信水平对他们投入的努力水平和收入分享系数的影响，最后，研究了在不存在道德风险时，即假设委托人能对代理人的努力行为进行完全监督，委托人和代理人最优的努力水平，并按照仅风险厌恶和风险厌恶与过度自信共存，仅代理人努力和委托人和代理人同时努力，有无道德风险进行分类，对比了在各种情形下，决策者投入的努力水平和混合报酬合同中收入分享系数的变化，据此提出本文的理论意义和管理学意义。
[Abstract]:When market demand is uncertain or results are uncertain, the coexistence of risk aversion and overconfidence has been recognized by psychologists and economists as playing an important role in the decision makers' choice of final effort inputs. In the face of uncertainty, risk decision makers may choose to avoid risk behavior in order to prevent the loss of income caused by risk, on the other hand, When analyzing uncertain information, decision makers always overestimate the accuracy of private information and their chances of success, and over-trust their own judgment. This paper takes the principal-agent relationship composed of a principal and an agent as the research framework. To study the effects of risk aversion and overconfidence on the distribution of the interests of both parties and the design of the principal-agent mechanism. This paper hopes to provide a theoretical guidance to the principal and agent in solving some problems related to risk aversion and overconfidence. Firstly, the paper analyzes the basis and significance of choosing the topic from the practical and theoretical aspects, and points out the rationality and innovation of the combination of the behavior characteristics (overconfidence and risk attitude) and the principal-agent model related to the uncertainty of output. The theoretical framework of principal-agent, the level of effort and overconfidence are summarized, which lays a theoretical foundation for the thesis. Then, from the classical principal-agent framework, Assuming that the benefit of the supply chain is a stochastic function of the level of effort invested by the decision makers, the decision makers aim at maximizing their respective expected profits (i.e., the existence of moral hazard). The influence of different degree of risk aversion on the optimal effort input and income sharing coefficient of decision makers is discussed, which lays an analytical foundation for the subsequent chapters. Then, considering the coexistence of risk aversion and overconfidence among decision makers, From the perspective of only the agent putting in effort and the agent and the principal working together, This paper analyzes the influence of different risk aversion attitude of principal and agent and overconfidence level of different variance of output on their effort level and income sharing coefficient. Finally, the paper studies the influence of different risk aversion on the level of effort and income sharing coefficient when there is no moral hazard. That is, assuming that the principal can completely supervise the agent's hard work, the principal and the agent have the optimal level of effort and coexist with overconfidence according to only risk aversion and risk aversion. Only the efforts of the agent and the principal and the agent at the same time are classified as moral hazard, and the level of effort invested by the decision maker and the change of the income sharing coefficient in the mixed reward contract are compared under various circumstances. Based on this, the theoretical significance and management significance of this paper are put forward.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F274;F224

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