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1.
罗琰  刘晓星 《经济数学》2013,(3):107-110
研究了委托人与代理人双边风险厌恶及存在监督情形下的委托-代理问题.结论表明非对称信息下最优风险分担系数是委托人风险厌恶程度的递增函数,是代理人风险厌恶程度的递减函数,代理人努力水平是其风险厌恶程度的递减函数.监督措施的存在提高了对代理人的激励强度.  相似文献   

2.
在委托代理理论框架下,本文考虑更符合实际的市场环境,研究生产状态转换和重大损失风险两大不稳定因素对代理人贴现价值,公司价值及投资量的影响.文章根据最优合约理论和随机控制原理,在代理人与投资者之间建立一个动态最优合约模型,该模型一方面对代理人具有足够的激励作用,另一方面最大化投资者的价值函数.此外,延缓支付,清算风险和由生产状态转移引起的代理人报酬的补偿报酬等因素也都包含其中·文章发现:重大事故风险对高生产状态下投资量的影响大于对代低生产状态下投资量的影响.这一结果有效解释了行为经济学中当经理人面临清算时,在市场低迷状态下往往选择奋力一搏增加投资量,而在市场繁荣状态下的选择却更保守这一现象.其次,当不受代理人控制的生产状态转换发生时,代理人所得到的补偿价值对代理人具有重要的激励作用,但随着代理人价值函数的增加,激励作用逐渐减弱.该结论打破了代理人所得报酬应只与自身的表现有关,而不应受其他外界因素的影响这-传统认知;最后,投资决策依赖于公司效益,生产状态转换和清算风险也间接影响公司的投资决策.当生产状态好转时,且贴现价值的激励作用使代理人问题得到缓解,投资也变得更加有利,投资量会增加;反之亦然.  相似文献   

3.
假设委托人的目标函数有两个,且两个目标函数不全是线性函数,代理人从事两项工作,建立了基于多目标规划的委托代理模型.运用多目标规划的求解方法,对代理人激励合同的制定进行了分析,重点分析了两个目标的重要性和两项工作的相对重要性对激励工资制定的影响.发现:一项工作比较难时和比较容易但不重要时,都不宜将经理工资同该项工作挂钩.但是,当一项工作很简单,但该项工作很重要时,可以将经理工资同该工作挂钩.  相似文献   

4.
主要基于二层规划问题研究非对称信息条件下的委托代理问题,分析委托人如何设计最优激励契约来与代理人达到双赢决策策略.具体思路如下:考虑到代理人对自身利益的追求,将代理人的效益函数与委托人的效益函数放置同一层构成双目标上层问题进行讨论,然后从不同权重条件下的弱有效解序列中寻找使得委托人和代理人都可接受的满意契约,实现双方共赢的目的.  相似文献   

5.
非对称信息条件下建立了具有过度自信代理人的委托代理模型.基于模型讨论了代理人过度自信行为对其自身努力水平及委托人利润的影响,得出:与对称信息情形相比,信息不对称条件下,代理人的努力程度更低,委托人利润也会减少.代理人的过度自信特征能降低信息不对称对委托人的不利影响,因而后者更愿意选择过度自信程度高的代理人合作.  相似文献   

6.
C-V模型中Heaviside函数和Dirac函数正则化逼近影响对目标图像的分割,根据Heaviside函数和Dirac函数的性质,提出了新的正则化Heaviside函数和Dirac函数.首先分析了C-V模型中正则化的Heaviside函数和Dirac函数在图像分割中所起的作用,在此基础上提出了新的正则化的Heaviside函数和Dirac函数,改进了C-V模型.实验结果表明,运用正则化的Heaviside函数和Dirac函数的图像分割效果较好.  相似文献   

7.
聂霞  常佳佳    胡支军 《经济数学》2017,34(2):104-110
考虑委托人和代理人都是风险厌恶的,代理人可私下选择或控制输出现金流的漂移和波动,现金流的整个波动由外生因素和代理人的内生控制因素组成,委托人只能观察到现金流过程,然后采用一阶方法,讨论连续时间框架下的委托投资组合管理问题.研究发现:最优波动控制要求代理人根据外生因子来进行调整,最优报酬函数的形式由市场决定的保留效用,努力成本,激励代理人工作的风险补偿以及利用风险补偿支付给代理人的的风险溢价四部分构成.最后对模型进行实例分析,得到最优努力是一个常数,并得到最优合约的显示解.  相似文献   

8.
基于Holmstrom和Milgrom(HM)模型,建立了一个委托人为理性而代理人在行为上表现为有限理性的HM模型,借以分析有限理性代理人的行为模式.研究结果表明:有限理性代理人表现为损己利他、损己损他、利己损他和利己利他四种行为模式,在一定条件下代理人的四种行为模式可相互转化,且代理人为某种行为所付出的成本越小,其利他或损他行为就越强烈.研究结果更切合实际地刻画了有限理性代理人的行为模式,不仅利于对代理人行为的理解,对经济管理实践也具有较强的解释和预测力.  相似文献   

9.
基于MM算法的LAD回归的影响分析   总被引:5,自引:0,他引:5  
基于Hunter and Lange(2000)提出的MM迭代算法,构造了一个代替L1目标函数的新的目标函数Qε(ββk);在此基础上研究了非线性LAD回归影响分析的若干问题.基于新的目标函数和MM迭代算法,证明了LAD回归模型中数据删除模型和均值漂移模型参数估计的等价性定理,并提出了一种新的影响度量.最后,几个数据实例说明了方法的有效性.  相似文献   

10.
本文提出了一个新的部分线性函数多项式回归模型,该模型中响应变量依赖于一个p阶函数多项式和一些非函数型数据的协变量.函数多项式模型、函数线性模型和部分函数线性模型是该模型的特殊情形.本文提出了一个模型探测方法,它能同时探测部分线性函数多项式回归模型中哪些阶是重要的以及哪些非函数型变量是重要的.提出的方法能相合地识别真实的模型并有好的预测表现.数值模拟能清晰地证实我们的理论结果.  相似文献   

11.
The traditional triadic 'Teaching System' (the teacher, the student and mathematics) and the new quaternary version (the teacher, the student, mathematics and new technologies), are studied according to Systems Theory. Systems Theory is described and the model of the traditional 'Teaching System' and that of the new system are analysed with the aid of this theory; that is the structure of each system (elements, interactions) and its function are described. Finally, comments are made about the application of the new system on didactic, on the one hand, and the philosophical background of the incorporation of the fourth element (new technologies) in the traditional system, on the other.  相似文献   

12.
This paper investigates a model of decision making under uncertainty comprising opposite epistemic states of complete ignorance and probability. In the first part, a new utility theory under complete ignorance is developed that combines Hurwicz–Arrow's theory of decision under ignorance with Anscombe–Aumann's idea of reversibility and monotonicity used to characterize subjective probability. The main result is a representation theorem for preference under ignorance by a particular one-parameter function – the τ-anchor utility function. In the second part, we study decision making under uncertainty comprising an ignorant variable and a probabilistic variable. We show that even if the variables are independent, they are not reversible in Anscombe–Aumann's sense. This insight leads to the development of a new proposal for decision under uncertainty represented by a preference relation that satisfies the weak order and monotonicity assumptions but rejects the reversibility assumption. A distinctive feature of the new proposal is that the certainty equivalent of a mapping from the state space of uncertain variables to the prize space depends on the order in which the variables are revealed. Explicit modeling of the order of variables explains some of the puzzles in multiple-prior model and the models for decision making with Dempster–Shafer belief function.  相似文献   

13.
In this paper, we show that circularly polarized transverse stress waves, standing shear stress waves, and oscillatory shear stress waves can propagate in a new class of viscoelastic solid bodies which are a subclass of bodies described by implicit constitutive theories. The class of models that is being considered includes as sub-classes, the classical Kelvin–Voigt model, the new models introduced by Rajagopal wherein the Cauchy–Green tensor is a non-linear function of the stress, and the Navier–Stokes fluid model. The solutions established in this paper are generalizations of solutions that have been established within the context of nonlinear elasticity by Carroll, and Destrade and Saccomandi, to the new class of elastic and viscoelastic bodies that are being considered.  相似文献   

14.
How to choose the optimization criterion of the objective function is an important issue for uncertain optimal control. The Hurwicz criterion is a flexible optimization criterion attempting to find the intermediate area between the extremes posed by the optimistic and pessimistic criteria. Based on uncertainty theory, in this paper, we establish a new uncertain optimal control model with jump by making use of Hurwicz criterion to optimize an uncertain objective function. By applying Bellman's principle of optimality, the principle of optimality for the proposed model is presented and then the equation of optimality is derived. Finally, an example is given to show the the effectiveness of the results obtained.  相似文献   

15.
本文提出了一种全新复合$(\frac{G''}{G})$展开方法,运用这种新方法并借助符号计算软件构造了非线性耦合Klein-Gordon方程组和耦合Schr\"{o}dinger-Boussinesq方程组的多种双行波解,包括双双曲正切函数解,双正切函数解,双有理函数解以及它们的混合解. 复合$(\frac{G''}{G})$展开方法不但直接有效地求出了两类非线性偏微分方程的双行波解,而且扩大了解的范围.这种新方法对于研究非线性偏微分方程具有广泛的应用意义.  相似文献   

16.
Linking end-customer preferences with variables controlled at a manufacturing plant is a main idea behind popular Design for Six Sigma management techniques. Multiple criteria decision making (MCDM) approaches can be used for such purposes, but in these techniques the decision-maker's (DM) utility function, if modelled explicitly, is considered known with certainty once assessed. Here, a new algorithm is proposed to solve a MCDM problem with applications to Design for Six Sigma based on a Bayesian methodology. At a first stage, it is assumed that there are process responses that are functions of certain controllable factors or regressors. This relation is modelled based on experimental data. At a second stage, the utility function of one or more DMs or customers is described in a statistical model as a function of the process responses, based on surveys. This step considers the uncertainty in the utility function(s) explicitly. The methodology presented then maximizes the probability that the DM's or customer's utility is greater than some given lower bound with respect to the controllable factors of the first stage. Both stages are modelled with Bayesian regression techniques. The advantages of using the Bayesian approach as opposed to traditional methods are highlighted.  相似文献   

17.
A new stochastic model for the point kinetics equations with I-delayed neutron precursor groups is presented. In this stochastic model, the point kinetics equations are separated into three terms: prompt neutrons, delayed neutrons and external neutrons source. The matrix form of the efficient stochastic model is solved by a semi-analytical method. The semi-analytical method is based on the exponential function of the coefficient matrix. The eigenvalues of the coefficient matrix and Gaussian elimination are used to calculate this exponential function. The mean and standard deviation of neutron and precursor populations of the efficient stochastic model with step, ramp, and sinusoidal reactivities are computed. The results of the efficient stochastic model are compared with the results of Allen's stochastic model for the point kinetics equations. This comparison confirms that the efficient stochastic model is an accurate model compared with the deterministic point kinetics equations. This stochastic model is efficient to study the natural behavior of neutron and precursor populations in the nuclear reactor dynamics.  相似文献   

18.
In this paper, we will present a new finite horizon repair/replacement decision model and derive the structure of the optimal policy for components that have a failure intensity that is a non-decreasing function of the number of times the component has been repaired, and independent of the component's age. Furthermore, the component has physical restrictions on the number of times it can be repaired, after which the only feasible decision is to replace the component. The fundamentals of this new decision model are based on the outcomes of several case studies done by the authors. Besides presenting the model and showing the structure of the optimal policy, the model will be applied to a real industry data set, and its results discussed.  相似文献   

19.
This paper is devoted to a new method which allows to compute the convex envelope of a given function, by an evolution equation and techniques of curve evolution. We study the problem in the context of viscosity solutions and we propose numerical algorithms, to convexify a function, in one and two dimensions. In the end, we validate the model by presenting various numerical results. Key words: convex envelope, curve evolution, viscosity solutions, nonlinear second order elliptic and parabolic PDE's, finite differences scheme.  相似文献   

20.
This paper is concerned with a delayed Nicholson's blowflies model with discontinuous harvesting, which is described by an almost periodic nonsmooth dynamical system. Under some reasonable assumptions on the discontinuous harvesting function, by using the Filippov regulation techniques and the theory of dichotomy, together with the Halanay inequality, we establish some new criteria on the existence of positive almost periodic solution and its convergence. An example with numerical simulation is also presented to support the theoretical results.  相似文献   

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