防范经理事后隐藏信息的模型研究

首先,指出了经理隐匿信息的道德风险行为对所有者的危害性.其次,构造了一个防范经理在签约后隐匿信息的报酬契约.再次,在委托代理框架下给出了契约的最优解.最后,分析了最优契约的特征与性质.文章得到的一些结论对经理选任聘任机制和报酬激励机制的设计有一定的参考价值.     

声誉效应与经理报酬契约的关系研究

探讨了声誉对经理报酬契约的影响 .首先 ,分析了经理效用函数的组成 ,将声誉这个隐性激励约束因素引入经理的效用函数 .随后 ,建立了信息不对称下经理的报酬激励模型 .分析了声誉系数对契约中各要素的影响 ,说明了所有者可以利用经理的声誉效应来设计更加有利的报酬契约 .文章最后给出了主要结论 .     

一个可以揭示经理人私人信息的信息甄别模型

首先,分析了经理人隐匿信息的原因,其次,基于机制设计理论与显示原理建立了一个能够显示经理人私人信息的信息甄别模型,再次,运用优化分析工具在委托代理模型框架下给出了模型的最优解,最后,我们分析了最优报酬契约的性质.     

在有限执行假设下对最优契约的扩展模型研究

本文运用违约保证金条款改进了代理人事前报酬契约；在契约有限执行的假设下，扩展了代理人的逆向选择模型，并运用扩展逆向选择模型分析了改进后的最优报酬契约。文章指出，改进后的最优报酬契约严格优于委托人为防范代理人违约而被迫采用的非负参与性约束条件下的最优报酬契约。     

委托-代理关系下的企业筹资决策模型

本文建立了在委托代理关系下的企业筹资决策的数学模型 .模型分析表明 ,股东在设立经理激励合同时 ,将经理报酬与权益资本利润率联系起来 ,能够激励经理选择负债经营 ,但经理选择的最优资本结构可能会偏离股东效用最大化的资本结构 .     

基于利他偏好理论的创新顾客激励契约研究

从创新顾客参与企业价值共创的视角出发,将利他偏好理论引入创新顾客最优激励模型的构建,分析和求解可观察创新顾客类型和不可观察创新顾客类型时的激励契约设置问题,并探索对创新顾客进行筛选和放弃筛选时的最优激励契约特征.研究发现:当企业不对创新顾客进行筛选时,企业可以通过提供具有较弱的激励强度,但相对较高的基本报酬的激励契约彰显自身的利他主义精神;当企业不对创新顾客进行筛选时,只有当创新顾客报以超过平均水平的努力程度时,利他型企业才会比利己型企业支付更高的预期总报酬;当企业对有条件利他型创新顾客进行筛选时,所提供的激励契约具备以下特征:较强的激励强度、较低的基本报酬和较高的预期总报酬.是否对创新顾客进行筛选主要取决于有条件利他型创新顾客对企业的利他程度的高低.     

需求信息不对称下双渠道供应链的协调

基于报童模型,研究了由一个制造商与一个零售商组成的双渠道供应链在需求信息不对称条件下的契约协调问题,分别得到了离散和连续两种需求类型下的最优回购契约,并分析了最优回购契约对供应链的协调绩效.     

考虑互惠公平的创新顾客激励契约研究

基于公平偏好理论的互惠公平,从创新顾客的互惠偏好程度、激励契约类型与激励效果的关系入手,构建创新顾客参与企业创新活动的激励模型。通过模型求解和分析,探讨激励契约的外部性和互惠关系对于激励效果的影响;此外,进一步分析如何联合经济激励和心理激励,降低企业获得创新顾客高努力投入的成本;最后,通过仿真实验,验证模型分析结果。研究发现:当创新顾客之间出现互惠关系时,最优激励契约取决于创新顾客心理偏好与风险态度之间的相互作用:当创新顾客的风险规避程度较低时,最优激励契约为相对绩效契约;当创新顾客的风险规避程度较高时,最优激励契约为团队报酬契约。     

非对称信息下供应链批发价格契约应对突发事件

针对两个制造商与一个零售商组成的二级供应链,建立了制造商一方与零售商联盟,制造商另一方与之竞争、零售商类型为其私人信息下的博弈模型,从系统优化的角度研究了供应链系统批发价格如何应对突发事件.首先证明稳定条件下,零售商成本信息为非对称信息时,批发价格契约能实现集中控制与分散控制下-该供应链的协调.当突发事件造成零售商的成本分布变化时,通过求解突发事件下供应链系统最优利润的Karush-Kuhn-Tucker(KKT)条件,提出了供应链应对突发事件的最优策略,进一步证明了改进的批发价格契约可以协调突发事件下分散化决策的供应链系统.数值仿真表明,当零售商的成本在一个较小的范围内扰动时,原有契约机制具有一定的鲁棒性,而当扰动较大时,需要对原来的生产计划进行调整.     

基于提前期压缩的两阶段供应链的契约协调

研究了基于提前期压缩的信息对称和信息不对称两种情况下的供应链协调问题,重点解决了在信息不对称时采用线性转移支付策略解决供应链的不协调问题.当压缩提前期时,制造商的成本增加,成本的增加值信息对销售商有对称和不对称两种情况.在信息对称时采用收益共享契约可以实现供应链的协调;在信息不对称,采用收益共享契约时,为了激励制造商,销售商不得不对制造商生产成本的不确定性付出成本,导致利润下降,而制造商由于拥有私有信息而使得利润增加,所以整个供应链并没有达到集中决策时的水平,只得到了帕累托改善的次优结果.创新点在于采用线性转移支付策略实现了供应链的协调,达到了帕累托最优,解决了收益共享契约不能实现供应链协调的问题.最后通过算例进行了说明.     

The agency problem between the owner and the manager in real investment: The bonus-audit relationship

This paper derives the owner’s optimal contract with a bonus-incentive and audit when the owner delegates the investment timing decision to a manager with private information on an investment project. The optimal solution not only unifies the previous studies, but also accounts for actual auditing systems in firms.     

On managerial risk-taking incentives when compensation may be hedged against

We consider a continuous time principal-agent model where the principal/firm compensates an agent/manager who controls the output’s exposure to risk and its expected return. Both the firm and the manager have exponential utility and can trade in a frictionless market. When the firm observes the manager’s choice of effort and volatility, there is an optimal contract that induces the manager to not hedge. In a two factor specification of the model where an index and a bond are traded, the optimal contract is linear in output and the log return of the index. We also consider a manager who receives exogenous share or option compensation and illustrate how risk taking depends on the relative size of the systematic and firm-specific risk premia of the output and index. Whilst in most cases, options induce greater risk taking than shares, we find that there are also situations under which the hedging manager may take less risk than the non-hedging manager.     

私募基金规模、申购赎回机制与动态道德风险

运用动态合约理论与实物期权理论研究了私募基金最优激励相容合约的一般特征,考察了基金规模与申购赎回机制对缓解道德风险的作用。结论表明,私募基金最优激励相容合约由投资人的最大预期收益与管理者的最大预期回报共同决定,且购买私募基金类似于做多一种特殊期权,该期权标的资产价格由管理者后续值度量;投资人为激励管理者努力工作而付出的激励成本随基金初始规模或再申购比例递增,而最优基金规模由其边际激励成本与预期边际业绩决定;赎回成本影响投资人的最大预期收益,但对缓解道德风险不具显著作用;适当的业绩抽成可降低道德风险,且业绩抽成与私募基金初始规模或再申购比例在缓解道德风险方面存在一定的替代性。     

Security design and firm dynamics under long‐term moral hazard

This paper addresses a moral hazard problem in which the agent's actions affect the future profits of the firm. The optimal contract can be implemented through the issuance of variable coupon debt and purchase of fixed‐coupon debt. Consequently, the resulting capital structure acts as a hedge for the firm, reducing underinvestment costs in bad states of nature and controlling overinvestment incentives in good ones. However, owing to asymmetric information between the firm's manager and investors, this hedge is only partial. The firm's investments vary with cash flows, disclosing the agent's asymmetric information to the principal. Copyright © 2016 John Wiley & Sons, Ltd.     

Impacts of risk attitude and outside option on compensation contracts under different information structures

We consider an agency problem where a firm (she) hires a manager (he) who has related managerial expertise to implement a new project. The manager’s managerial expertise is his private information and characterized as an uncertain variable. The revenue brought about by the project in the future is also assumed to be uncertain. In light of these challenges, this paper investigates the impacts of the manager’s risk attitude and the type-and-effort dependent outside option on the optimal compensation contracts under different information structures. Through developing the manager’s decision criterion based on his risk attitude instead of the expected-utility-maximization criterion, we find that, if the manager is conservative and the outside option’s revenue uncertainty is sufficiently high, the optimal commission rate will be distorted upwards under asymmetric managerial expertise information compared with that under symmetric managerial expertise information. Our analysis also confirms that the existence of a type-and-effort dependent outside option distorts up the compensation structure tailored at a fixed outside option. We further show that, comparing with the setting of a fixed outside option when the manager is aggressive, the presence of a type-and-effort dependent outside option results in a surprising phenomenon that the manager’s private information makes no distortion of the firm’s profit.