Optimal transfer pricing schemes for work averse division managers with private information

This paper models a decentralized firm under information asymmetry and effort disutility on the part of managers. We assume that managers choose efforts before observing some private information. However, after the effort choice managers receive private information on their cost parameters which they report to the headquarters. There exist many situations in which managers need to take efforts before obtaining private information; for example, the regular maintenance effort on the machine, the effort on R&D for reducing costs and the effort taken to build relationships with the supplier. Two models are considered in this paper based on the timing of acquisition of private information by the managers. We derive optimal coordination mechanisms to facilitate internal transactions for the models. The equilibrium outcome of this paper suggests that: 1) regardless of the timing of managers' information acquisition, the optimal output level under asymmetric information can have overproduction or underproduction when compared with the full information optimal output; 2) under certain demand conditions managers cannot receive any information rent benefit for their private information even if they have the option to renege on the contract after obtaining their private information.     

委托代理冲突下的企业投融资决策

采用实物期权与均衡定价理论,研究委托-代理冲突下的企业投融资决策问题.考虑管理者拥有企业投融资决策权时,其如何同时选择投资时机、投资规模及资本结构.分析了管理者持股与项目风险(不确定性)对企业非效率投融资的影响.数值分析表明:给定资本结构下,杠杆企业管理者决策的投资时机与投资规模变化呈现出负相关;对比于纯股权融资企业,杠杆企业管理者加速了投资期权的执行并增大了投资规模;财务杠杆率是管理者持股比例的U形函数,且管理者持股比例的增大,会加速投资期权的执行、增大投资规模与债务融资规模,并降低代理成本;项目风险的增大会导致企业投资时机、投资规模、债务融资规模和代理成本增大及财务杠杆率降低.     

CREATION OF MARINE RESERVES AND INCENTIVES FOR BIODIVERSITY CONSERVATION

Abstract Despite a number of benefits, marine reserves provide neither incentives for fishermen to protect biodiversity nor compensation for financial loss due to the designation of the reserves. To obtain fishermen's support for marine reserves, some politicians have suggested that managers of new marine reserves should consider subsidizing or compensating those fishermen affected by the new operations. The objective of this paper is to apply principal–agent theory, which is still infrequently applied to fisheries, to define the optimal reserve area, fishing effort, and transfer payments in the context of symmetric and asymmetric information between managers and fishermen. The expected optimal reserve size under asymmetric information is smaller than that under symmetric information. Fishing efforts encouraged with a transfer payment are always less compared to those without payment. This reflects the fact that as the manager induces the fishermen to participate in the conservation program, the fishermen will take into account their effects on fish stock by decreasing their effort. Examples are also supplied to demonstrate these concepts.     

博弈论在企业管理中的应用

本文把博弈论应用于企业管理 ,利用博弈论的委托 -代理理论构造了一个委托 -代理激励模型 ,针对信息对称与信息不对称情况进行了分析。在设计企业的委托代理机制时 ,若考虑了对经理的激励 ,则委托人的风险成本、代理成本都比没有考虑对经理的激励时要小。从理论上证明了对企业经理激励的必要性。     

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.     

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.     

COMPARING PROACTIVE AND REACTIVE MANAGEMENT: MANAGING A TRANSBOUNDARY FISH STOCK UNDER CHANGING ENVIRONMENT

Environmental change in general, and climate change in particular, can lead to changes in distribution of fish stocks. When such changes involve transboundary fish stocks, the countries sharing the stock need to reconsider their harvesting policies. We investigate the effects of changing stock distribution on the optimal fishing policies in a two players’ noncooperative game. We compare reactive management, under which the manager ignores future distributional shifts (knowingly or unknowingly), with proactive management where the manager considers such shifts in his decisions. A dynamic programming model is developed to identify closed‐loop Nash strategies. We show that the role of two players is symmetric under reactive management but asymmetric under proactive management where managers anticipate future changes in stock ownership. The player losing the stock tends to harvest more aggressively compared to the player gaining the stock who acts more conservatively. Strategic interactions show tendency for complementary actions that can change abruptly during the ownership transition. The differences between management regimes vary from quantitative to qualitative; differences are minimal for stocks with little or no schooling, whereas highly schooling stocks may avoid collapse only under proactive management.     

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 .     

促销努力成本信息不对称下供应链回购契约

在由一个供应商和一个销售商构成的二级供应链,假设市场需求受到销售商的促销努力水平的影响,销售季节到来之前,销售商根据促销成本和收益决定最优促销努力水平和订货量。在促销成本不可观测时,利用委托代理理论研究信息不对称时如何通过回购契约揭示真实的促销努力成本。研究结果表明销售商有动机将努力促销成本报高,为了吸引销售商显示真实的促销努力成本,供应商必须付出额外的信息租金,随促销成本增大,销售商通过虚报高成本获得的利润减小,故需要揭示真实成本信息所付出的信息租金随之减小。由于信息租金的付出,导致了非效率现象的产生,使得销售商的最优订货量和促销努力水平均小于完全信息下系统的最优水平,只能得到帕累托改进的次优结果。     

The coordinating contracts for a fuzzy supply chain with effort and price dependent demand

This paper investigates the coordination of a two-echelon supply chain with fuzzy demand that is dependent on both retail price and sales effort. In contrast with the centralized and decentralized decision models, two coordinating models based on symmetric information and asymmetric information about retailer’s scale parameter are developed by game theory, and the corresponding analytical solutions are obtained. Theoretical analysis and numerical examples yield the maximal supply chain profits in two coordination situations are equal to that in the centralized situation and greater than that in the decentralized situation. Furthermore, under asymmetric information contract, the maximal expected profit obtained by the low-scale-level retailer is higher than that under symmetric information contract.     

Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information

We consider a class of regular–singular stochastic differential games arising in the optimal investment and dividend problem of an insurer under model uncertainty. The information available to the two players is asymmetric partial information and the control variable of each player consists of two components: regular control and singular control. We establish the necessary and sufficient optimality conditions for the saddle point of the zero-sum game. Then, as an application, these conditions are applied to an optimal investment and dividend problem of an insurer under model uncertainty. Furthermore, we generalize our results to the nonzero-sum regular–singular game with asymmetric information, and then the Nash equilibrium point is characterized.     

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.     

Designing contracts for a closed-loop supply chain under information asymmetry

This paper studies the problem of designing contracts in a closed-loop supply chain when the cost of collection effort is the retailer’s private information. We investigate four cases: two contracts (a two-part nonlinear contract and a collection effort requirement contract), each under complete information and asymmetric information. We derive the manufacturer’s optimal contracts for all four cases and analyze the impact of information on the equilibrium results of supply chain members.     

Misrepresentation-proof strategies in poly-agent systems

False representation prevention is an important issue in the management of poly-agent systems when a system manager needs to collect information from agents. This paper aims at proposing strategies to prevent false representation effectively and efficiently.We suppose that the manager can know the truth by inspecting but can not inspect all reports due to the high cost of inspection, and the manager will announce a penalty rule and a probability of doing inspection for preventing false representation. After formulating three penalty rules, we obtain the minimal inspections required for inducing true information under each penalty rule.     

具有私人信息的道德风险的委托—代理人模型的合约分析

本文对存在的不对称信息的环境下的具有私人信息道德风险的委托—代理人模型的合约问题进行了详细的讨论,并得出一些有新意的结论.此讨论问题的方法很值得推荐和推广,特别是在最优激励合同中,比如投资激励,管理机制中的激励,销售激励,保险激励等合同的设计,都可以借鉴此方法来研究和分析.     

Preemptive patenting under uncertainty and asymmetric information

This paper examines the investment behaviour of an incumbent and a potential entrant that are competing for a patent with a stochastic payoff. We incorporate asymmetric information into the model by assuming that the challenger has complete information about the incumbent whereas the latter does not know the precise value of its opponent’s investment cost. We find that even a small probability of being preempted gives the informationally-disadvantaged firm an incentive to invest at the breakeven point where it is indifferent between investing and being preempted. By investing inefficiently early to protect its market share, the incumbent gives up not only its option to delay the investment, but also reduces the value of the firm by an amount that increases with the investment cost incurred and the potential loss of market share.     

企业员工专用性人力资本投资的模型分析

企业对员工的人力资本投资进行适宜的激励,对于提高组织的绩效、提高企业的价值具有重要作用.将员工的人力资本投资细分为企业专用性人力资本投资与经理专用性人力资本投资,并认为因其不同功能企业则偏向于员工进行企业专用性人力资本投资,在此基础上通过建立数学模型,分析了企业与员工合作与非合作两种情况下企业与员工各自的收益及企业分配给员工的报酬比例、员工对企业及经理的投资均衡等相关问题.     

Prevention efforts,insurance demand and price incentives under coherent risk measures

This paper studies an equilibrium model between an insurance buyer and an insurance seller, where both parties’ risk preferences are given by convex risk measures. The interaction is modeled through a Stackelberg type game, where the insurance seller plays first by offering prices, in the form of safety loadings. Then the insurance buyer chooses his optimal proportional insurance share and his optimal prevention effort in order to minimize his risk measure. The loss distribution is given by a family of stochastically ordered probability measures, indexed by the prevention effort. We give special attention to the problems of self-insurance and self-protection, and show that if the buyer’s risk measure decreases faster in effort than his expected loss, optimal effort is non-decreasing in the safety loading with a potential discontinuity when optimal coverage switches from full to zero. On the contrary, if the decrease of the buyer’s risk measure is slower than the expected loss, optimal effort may or may not be non-decreasing in the safety loading. In case of Pareto distributed losses, the seller sets the highest possible price under which the buyer still prefers full insurance over no insurance. We also analyze the case of discrete distributions: on the one hand, for self-protection, under the assumption that the marginal impact of the effort is higher on small losses than it is on catastrophic losses, the optimal effort is non-decreasing in the safety loading. On the other hand, in the case of self-protection, more conditions are needed, in particular, we obtain sufficient conditions for the optimal effort to be non-decreasing or non-monotone in the safety loading.     

Controlling for supplier switching in the presence of real options and asymmetric information

Applying a real option approach, this paper examines how asymmetric information alters key variables of a firm’s supplier switching process, such as the timing of contracting (hurried versus delayed contracting), transfer payments, set-up, switching, and abandonment decisions. In a symmetric information setting, delayed contracting is unambiguously beneficial. Abandoning the once established relation with the entrant supplier is never an issue. In contrast, under asymmetric information hurried contracting with potentially abandoning the relation can be beneficial. Consistent with adverse selection models, we find that under delayed contracting, in equilibrium, the firm switches less frequently to the entrant supplier (switching inertia). Surprisingly, we also find that under hurried contracting the firm switches more frequently to the entrant supplier (switching acceleration) and may abandon the relation. Finally, we study how these key variables of the supplier switching process change when also the incumbent supplier has private information (two-sided asymmetric information case).     

Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints

This paper studies the risk management in a defined contribution (DC)pension plan. The financial market consists of cash, bond and stock. The interest rate in our model is assumed to follow an Ornstein–Uhlenbeck process while the contribution rate follows a geometric Brownian Motion. Thus, the pension manager has to hedge the risks of interest rate, stock and contribution rate. Different from most works in DC pension plan, the pension manger has to obtain the optimal allocations under loss aversion and Value-at-Risk(VaR) constraints. The loss aversion pension manager is sensitive to losses while the VaR pension manager has to ensure the quality of wealth at retirement. Since these problems are not standard concave optimization problems, martingale method is applied to derive the optimal investment strategies. Explicit solutions are obtained under these two optimization criterions. Moreover, sensitivity analysis is presented in the end to show the economic behaviors under these two criterions.