考虑委托-代理关系的有限套利研究  

Study on limited arbitrage based on principal-agent relationship

作　　者：庄新田[1] 池丽旭[1] 

机构地区：[1]东北大学工商管理学院,沈阳110004

出　　处：《控制与决策》2010年第2期246-250,共5页Control and Decision

基　　金：国家自然科学基金项目(70871022);高等学校博士点专项基金项目(20060145001)

摘　　要：基于委托-代理关系的有限套利的研究,对于理解非理性资产价格形成机制及行为不确定条件下资本资源有效配置具有重要意义.为定量分析满足最优契约条件下经纪人有限套利的行为特征,建立了基于委托-代理关系的有限套利模型.研究发现:证券价格是影响委托人最优投资规模的最敏感因素,代理人的基本工资水平次之,代理人的努力水平的影响最弱.此外,确定了在信息传递不完全条件下,委托人提早撤回资金时的证券最低价格.The study on the limits of arbitrage based on principal-agent relationship plays an important part in understanding both the forming of the irrational assets price and the assets collocation. Under the optimal contract,the agent＇s behavioral traits in arbitrage is studied,and the capitalization which client will invest is most sensitive to stock price and least sensitive to the agent＇s efforts. Moreover,under the condition of incomplete information transferring,the lowest stock price is ensured when the client draws their money back.

关 键 词：委托-代理合同 经纪人 噪声交易者 有限套利 

分 类 号：F830.91[经济管理—金融学]