考虑经纪人投资情绪的委托代理合同研究  

Principal-agent contracts based on sentiment of money manager

作　　者：王健[1] 庄新田[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《系统工程学报》2008年第3期289-294,共6页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70371062)

摘　　要：从行为金融学角度,提出将经纪人的投资情绪考虑进资本市场的委托代理关系中.通过建立数学模型,分析了非理性经纪人的投资决策给委托人带来的影响,得到了此时委托人与经纪人之间的最优委托代理合同.结果表明,经纪人的乐(悲)观投资情绪可以使委托人的代理成本得到补偿,并且委托人对经纪人的最优激励强度随着经纪人乐(悲)观程度的增加而降低.这说明在一定条件下,经纪人的乐(悲)观投资情绪,对委托人具有积极意义.From behavioral finance point, a principal-agent model in capital market based on sentiment of money manager is presented. By setting up a mathematical model, this paper analyzes the effect of decision-making by irrational money manager on the principal, and an optimal principal-agent contract between the principal and the money manager is derived. The result shows that the optimistic （pessimistic） sentiment of money manager can compensate principals agency cost, and the optimal incentive intensity is decreasing with increasing of the optimistic（pessimistic） extent. It indicates that the optimistic （pessimistic） sentiment of money manager is beneficial to the principal under some conditions.

关 键 词：委托代理合同 乐(悲)观情绪 经纪人 委托人 

分 类 号：F830.91[经济管理—金融学]