基于跳风险的动态代理与托宾Q理论

发布时间：2018-02-28 22:08

本文关键词： 最优合同泊松跳风险管理者冒险行为托宾Q　出处：《系统工程理论与实践》2017年08期 　论文类型：期刊论文

【摘要】：引入刻画企业突发损失的泊松跳和管理者自利冒险行为,构建投资Q理论下的动态代理模型.首先基于管理者不可观测的努力和冒险行为进行最优合同设计,利用鞅方法给出了管理者价值函数的演变方程,得到了合同激励相容的充分必要条件.其次,运用随机控制方法,推导了股东价值满足的微分方程,同时给出了最优动态投资策略.数值分析表明,管理者的冒险行为会导致股东价值损失并使得动态投资降到更低水平,另外限制管理者冒险需要额外的管理成本,股东会在一定的程度上放任管理者的冒险.最后就相关参数与管理者冒险程度之间的关系进行了讨论.
[Abstract]:This paper introduces Poisson's jump and managers' self-interest risk-taking behavior to describe the sudden loss of enterprises, and constructs a dynamic agent model based on the investment Q theory. Firstly, the optimal contract design is based on the unobservable efforts and risk-taking behaviors of managers. The evolution equation of manager's value function is given by using martingale method, and the necessary and sufficient conditions for contract incentive compatibility are obtained. Secondly, the differential equation of shareholder value satisfaction is derived by using stochastic control method. At the same time, the optimal dynamic investment strategy is given. The numerical analysis shows that the manager's risk-taking behavior will lead to the loss of shareholder value and reduce the dynamic investment to a lower level. Finally, the relationship between the relevant parameters and the risk degree of the manager is discussed.
【作者单位】：湖南商学院财政金融学院;湖南大学金融与统计学院;南方科技大学金融系;
【基金】：国家自然科学基金(71371068,71503078) 湖南省社会科学成果评审委员会课题(XSP17YBZZ070) 区域金融创新研究基地~~
【分类号】：F224;F270

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