基于委托人时间不一致性偏好的最优契约和投资问题  

Optimal contract and investment problem based on the principal’s time-inconsistent preferences

作　　者：杨叶红 曹国华 Yang Yehong;Cao Guohua(College of Economics&Business Administration,Chongqing University,Chongqing 400030,China;School of Finance,Chongqing Technology and Business University,Chongqing 400067,China)

机构地区：[1]重庆大学经济与工商管理学院,重庆400030 [2]重庆工商大学财政金融学院,重庆400067

出　　处：《系统工程学报》2020年第3期378-389,共12页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71232004);中央高校基本科研业务重大资助项目(CDJSK1001);重庆工商大学资助项目(1855025,1952008);重庆市社科联资助项目(2018BS60).

摘　　要：为了研究委托人的时间不一致性偏好对最优契约和投资策略的影响,将委托人的时间不一致性偏好与最优契约和投资Q理论模型相结合,通过拟双曲贴现函数描述委托人的时间不一致性偏好行为,采用动态规划方法得到了委托人在时间不一致性偏好下的值函数和最优投资的数值解.研究结果显示委托人的时间不一致性偏好程度越大,委托人收益越少,代理人的初始薪酬和最优薪酬支付边界越低,企业投资不足的现象越严重.这表明委托人的时间不一致性偏好直接影响着最优契约和投资策略.从委托人的时间偏好角度解释了委托人利益损失和企业投资不足的现象,为委托人制定最优契约和投资策略提供理论指导.In order to investigate the impact of principal’s time-inconsistent preferences on the optimal contract and investment strategy,this paper combines the principal’s time-inconsistent preferences with the model of optimal contract and the Q theory of investment.The principal’s time-inconsistent preferences are described by the quasi-hyperbolic discount functions.Then the numerical solution of time-inconsistent principal’s value function and optimal investment are obtained by dynamic programming method.The results show that the greater the time inconsistency preference of the principal,the less the return of the principal,the lower the initial salary and optimal salary payment boundary of the agent,and the more serious the underinvestment of the enterprise.This indicates that the principal’s time-inconsistent preferences directly impact on the optimal contract and investment strategy.Hence,this paper explains for a loss of the principal’s return and underinvestment from the perspective of the principal’s time-inconsistency,and provides theoretical guidance for the principal to make optimal contract and investment strategy.

关 键 词：时间不一致性偏好 委托人 投资不足 最优契约 

分 类 号：F069[经济管理—政治经济学]