考虑损失规避行为的银行和资金短缺销售商的决策优化研究  

Decision-making optimization of a loss-averse bank and a capital-constrained seller

作　　者：王志宏[1] 吴仪 刘娜[1] 王文杰[1] WANG Zhihong;WU Yi;LIU Na;WANG Wenjie(Glorious Sun School of Business and Management,Donghua University,Shanghai 200051,China)

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《管理工程学报》2021年第1期201-209,共9页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金项目(71671180、71872038);上海市哲学社会科学规划课题项目(2017BGL014)。

摘　　要：论文研究了信息对称和信息非对称下损失规避银行和资金短缺销售商的决策问题。我们首先基于前景理论刻画银行的损失规避行为。然后,结合Stackelberg博弈理论和机制设计理论,分别在信息对称和价格敏感系数是销售商的私有信息的两种不同信息结构下,构建银行和资金短缺销售商的委托代理模型,并推导出两种信息结构下银行的最优激励契约配置和销售商的最优订购决策。进一步分析了银行的损失规避程度、价格敏感因子等对最优激励契约和销售商最优订购决策的影响。研究表明:在两种信息结构下,银行的损失规避程度越高,销售商的订货量越大,而银行提供的贷款利率越小,设置的转移支付越大。最后,通过数值分析探讨银行的损失规避行为对银行和销售商的收益的影响。In recent years,many enterprises are under great pressure of capital shortage across China.Financing from financial institutions such as banks is one of the most important ways to cope with the challenge of cash shortage.However,a variety of factors have great impacts on the cooperation of banks and enterprises.On the one hand,asymmetric information problems such as adverse selection often arise in practice.For example,enterprises have private information about market demand and price because of their directly facing the market,etc.,making enterprises obtain preferential loan terms from banks,which is a typical“adverse selection”.Information asymmetry may lead to inefficient operations and even failed transactions.On the other hand,financing operations face higher uncertainties with the intensification of economic globalization competition,the progress of science and technology,and the increasing individual demands of consumers.Therefore,decision makers should focus more on risk,especially the banks,and may exhibit the loss-averse behavior which could influence their decisions and profits.To address the above-mentioned challenges,how should a bank design the reasonable incentive contracts to induce a seller that has private information about the price sensitivity coefficient to report the real information?What impact does the degree of the bank‘s loss aversion have on the bank‘s and the seller’s decisions?How do information asymmetry and loss aversion influence the bank‘s utility and the enterprise’s profit?To study the above issues,we consider the game between a loss-averse bank and a capitalconstrained seller,and develop mathematical models under two kinds of information structures:information symmetry and information asymmetry.At first,we depict the bank's loss aversion behavior based on prospect theory.Then,combing with Stackelberg Game theory and Mechanism Design theory,we design a set of incentive contracts for the bank.The contracts consist of two parameters:interest rate and transfer payment

关 键 词：损失规避 资金短缺 信息非对称 决策 优化 

分 类 号：F274[经济管理—企业管理]