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研究了委托人与代理人双边过度自信倾向及风险厌恶偏好情形下的委托-代理问题.结论表明最优风险分担水平随着委托人风险厌恶程度及代理人过度自信水平的增大而增加,随着代理人风险厌恶程度和委托人过度自信水平的减少而减少.最优努力水平随代理人风险厌恶程度及委托人过度自信水平的增大而提高,随委托人风险厌恶程度和代理人过度自信水平的减少而减少. 相似文献
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本文提出一个动态鲁棒契约模型来捕捉委托-代理问题中委托人对代理人信息披露存在模糊厌恶的情形.通过该模型可以获得最优动态激励相容契约和内生的公司权益股息支付策略.本文证明了当委托人对代理人披露的信息存在极大的不信任时,最优决策要求委托人提前终止契约,并一次性向代理人支付提前终止契约的补偿.本文从理论上证明,在委托人的模糊厌恶下会带来额外的信息摩擦和惩罚费用,导致公司的最优值函数和最优投资水平下降,且惩罚费用随着模糊厌恶程度的增加而增加.由模糊厌恶引起的公司权益溢价和债券信用利差构成了“模糊性溢价”,该溢价是公司现金持有水平的减函数,并且随着模糊厌恶程度的增加而增加.进一步的理论分析发现,公司的投资水平与权益的预期收益率呈负相关关系,该结果与许多资产定价的实证结果一致. 相似文献
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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
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根据经济代理人对风险的厌恶程度高低将影响收益效用的事实,通过对经济代理人的风险厌恶系数引进阀值,使风险厌恶系数在不同取值区间对应不同的效用函数,对经济代理人具有常值绝对风险厌恶的效用函数,损失服从泊松分布、且保险市场被垄断的承保人控制的最优防损活动进行了研究.研究表明,风险厌恶系数、损失的大小以及防损效率将影响最优防损... 相似文献
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《数学的实践与认识》2015,(17)
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
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本文假设委托人或监督人能够以一定成本收集信息从而能依一定概率观察到影响委托人报酬的生产力水平 ,研究了存在信息传递成本的多委托人模型、零信息传递成本的多委托人模型和委托人 -监督人 -代理人模型 ,比较了不同的博弈规则或制度安排在均衡状态下的信息分布与经济体效率 .本文的研究结论表明 ,给定委托人或监督人的信息成本与信息处理能力 ,博弈规则是决定信息分布与经济体效率的关键因素 .存在信息传递成本时 ,由于坐便车行为 ,信息分布的不对称程度最为严重 ,也具有最低的效率 .零信息传递成本的多委托人模型中 ,信息不对称程度最弱 ,并且在很弱的条件下具有最高的效率 .委托人 -监督人 -代理人模型中 ,仅当监督人具有充分低的信息收集成本和充分高的信息处理能力时 ,才有可能具有较高的效率 .就本文的模型所支持的结论而言 ,国有企业的公司制改造 ,并降低资本市场传递与处理信息的成本 ,是更富于效率的一种制度安排 .相反 ,由于作为监督者的国有资产管理部门并不佣有产权 ,它没有足够的动机去认真履行监督职责 ,同时 ,诱导监督者其不与代理人串通作弊的成本之高昂 ,都将进一步降低这种制度安排下国有资产运营的效率 . 相似文献
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将代理人的在职消费行为引入到动态多任务委托代理框架中,构造了代理人在职消费行为下的两阶段多任务模型,分析了代理人在职消费行为对动态多任务激励契约的影响.研究结果表明:一是任务为两阶段时,无论代理人有无在职消费行为,代理人的努力程度随着时间均呈上升趋势,这就表明当委托人在设计契约时,如果委托人期望代理人在第一阶段的努力水平不低于第二阶段的努力水平,就需要适当提高第一阶段的业绩薪酬系数;二是代理人在职消费自利行为并不一定会提高自身的努力程度,需要依据在职消费行为对绩效的影响情形来具体分析;三是在两阶段内,代理人存在在职消费时,委托人可适当降低业绩薪酬系数. 相似文献
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We study a class of self-similar processes with stationary increments belonging to higher order Wiener chaoses which are similar to Hermite processes. We obtain an almost sure wavelet-like expansion of these processes. This allows us to compute the pointwise and local Hölder regularity of sample paths and to analyse their behaviour at infinity. We also provide some results on the Hausdorff dimension of the range and graphs of multidimensional anisotropic self-similar processes with stationary increments defined by multiple Wiener–Itô integrals. 相似文献
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ZHENG ShiJun 《分析论及其应用》2004,20(3)
Schr(o)dinger operator is a central subject in the mathematical study of quantum mechanics.Consider the Schrodinger operator H = -△ V on R, where △ = d2/dx2 and the potential function V is real valued. In Fourier analysis, it is well-known that a square integrable function admits an expansion with exponentials as eigenfunctions of -△. A natural conjecture is that an L2 function admits a similar expansion in terms of "eigenfunctions" of H, a perturbation of the Laplacian (see [7], Ch. Ⅺ and the notes), under certain condition on V. 相似文献
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It is considered the class of Riemann surfaces with dimT1 = 0, where T1 is a subclass of exact harmonic forms which is one of the factors in the orthogonal decomposition of the spaceΩH of harmonic forms of the surface, namely The surfaces in the class OHD and the class of planar surfaces satisfy dimT1 = 0. A.Pfluger posed the question whether there might exist other surfaces outside those two classes. Here it is shown that in the case of finite genus g, we should look for a surface S with dimT1 = 0 among the surfaces of the form Sg\K , where Sg is a closed surface of genus g and K a compact set of positive harmonic measure with perfect components and very irregular boundary. 相似文献
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《高校应用数学学报(英文版)》2014,29(4)
正Applied Mathematics-A Journal of Chinese Universities,Series B(Appl.Math.J.Chinese Univ.,Ser.B)is a comprehensive applied mathematics journal jointly sponsored by Zhejiang University,China Society for Industrial and Applied Mathematics,and Springer-Verlag.It is a quarterly journal with 相似文献
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《数学研究及应用》2014,(6)
正Journal overview:Journal of Mathematical Research with Applications(JMRA),formerly Journal of Mathematical Research and Exposition(JMRE)created in 1981,one of the transactions of China Society for Industrial and Applied Mathematics,is a home for original research papers of the highest quality in all areas of mathematics with applications.The target audience comprises:pure and applied mathematicians,graduate students in broad fields of sciences and technology,scientists and engineers interested in mathematics. 相似文献
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A cumulative-capacitated transportation problem is studied. The supply nodes and demand nodes are each chains. Shipments from a supply node to a demand node are possible only if the pair lies in a sublattice, or equivalently, in a staircase disjoint union of rectangles, of the product of the two chains. There are (lattice) superadditive upper bounds on the cumulative flows in all leading subrectangles of each rectangle. It is shown that there is a greatest cumulative flow formed by the natural generalization of the South-West Corner Rule that respects cumulative-flow capacities; it has maximum reward when the rewards are (lattice) superadditive; it is integer if the supplies, demands and capacities are integer; and it can be calculated myopically in linear time. The result is specialized to earlier work of Hoeffding (1940), Fréchet (1951), Lorentz (1953), Hoffman (1963) and Barnes and Hoffman (1985). Applications are given to extreme constrained bivariate distributions, optimal distribution with limited one-way product substitution and, generalizing results of Derman and Klein (1958), optimal sales with age-dependent rewards and capacities.To our friend, Philip Wolfe, with admiration and affection, on the occasion of his 65th birthday.Research was supported respectively by the IBM T.J. Watson and IBM Almaden Research Centers and is a minor revision of the IBM Research Report [6]. 相似文献
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