基于时间不一致性偏好与扩散模型的最优分红策略

发布时间：2018-05-07 23:01

本文选题：时间不一致性 + 分红　；参考：《系统工程理论与实践》2015年07期

【摘要】：本文考虑具有时间不一致性偏好的企业管理者的最优分红策略.假定企业盈余资金由一般扩散模型描述,管理者的偏好由准双曲贴现函数刻画,目标是最大化破产前的累积红利现值.基于管理者对自己未来偏好的认识,分别考虑幼稚型和成熟型管理者的最优分红策略.首先利用随机最优控制方法,得到了两类管理者优化问题的HJB方程及验证定理.然后以常系数扩散模型为例,得到幼稚型与成熟型管理者的最优分红策略及最优值函数的解析式,并对分红策略进行了敏感性分析.结果表明常系数扩散模型下具有时间不一致性偏好的管理者倾向于提前分红,其中成熟型管理者比幼稚型管理者更倾向于发放红利;此外,通过对幼稚型与成熟型管理者施加合适的破产惩罚,可使得幼稚型与成熟型管理者的最优策略与无破产惩罚的时间一致性偏好管理者的最优策略相同.
[Abstract]:In this paper, we consider the optimal dividend policy of enterprise managers with time inconsistency preference. Assuming that the enterprise surplus funds are described by the general diffusion model and the managers' preferences are described by the quasi-hyperbolic discount function, the goal is to maximize the present value of accumulated dividends before bankruptcy. Based on managers' understanding of their future preferences, the optimal dividend allocation strategies of immature and mature managers are considered respectively. Firstly, by using stochastic optimal control method, the HJB equation and verification theorem of two kinds of manager optimization problems are obtained. Then, taking the constant coefficient diffusion model as an example, the optimal dividend policy and the optimal value function of the immature and mature managers are obtained, and the sensitivity of the dividend strategy is analyzed. The results show that managers with time inconsistency preference in constant coefficient diffusion model tend to pay dividends in advance, and mature managers tend to pay dividends more than immature managers. By applying appropriate bankruptcy punishment to the immature and mature managers, the optimal strategy of the immature and mature managers is the same as that of the time-consistent managers without bankruptcy punishment.
【作者单位】：中山大学管理学院;广东工业大学管理学院;中山大学岭南学院;
【基金】：国家自然科学基金(71231008,71301031) 中国博士后科学基金(2014T70796) 广东省自然科学基金(S2013010011959)
【分类号】：F275;F224

【共引文献】