时间偏好不一致委托代理问题的均衡合约研究  

An Equilibrium Contract for Principal-agent Problem with Time-inconsistent Preference

作　　者：李超 蒋健 LI Chao;JIANG Jian(School of Economics Management and Law,University of South China,Hengyang Hunan 421001,China)

机构地区：[1]南华大学经济管理与法学学院,湖南衡阳421001

出　　处：《上饶师范学院学报》2022年第6期1-13,共13页Journal of Shangrao Normal University

基　　金：中国博士后面上项目(2021M690973);湖南省自然科学基金青年项目(2021JJ40469);湖南省教育厅优秀青年基金项目(20B503);衡阳市社会科学基金项目(2021B[Ⅱ]005)。

摘　　要：在行为经济学领域,越来越多的证据表明,经济人是时间偏好不一致的,最优决策与决策时点有关,当期的最优决策在下期有可能并不是最优决策。基于此类问题,在传统的连续时间代理模型框架下,假设委托人和代理人是时间偏好不一致的,采用一般的贴现函数(非指数函数)刻画时间偏好不一致特征,基于鞅方法和随机最优控制理论,得到了时间偏好不一致委托代理问题的均衡显式解,探讨了委托人和代理人的时间偏好不一致对委托人最优决策与代理人最优薪酬合约的影响。In the field of behavioral economics,more and more evidence shows that the time preference of economic man is inconsistent,and the optimal decision is related to the time point of decision.Based on this kind of problem,this paper assumes that the principal and the agent have different time preferences under the framework of the traditional continuous-time agent model,based on the martingale method and stochastic optimal control theory,obtains the equilibrium explicit solution of the principal-agent problem with time-preference inconsistency,and then discusses the influence of time preference discrepancy between the principal and the agent on principal’s optimal decision and agent’s optimal compensation contract.

关 键 词：时间偏好不一致 委托代理 连续时间 随机最优控制 鞅方法 

分 类 号：O177[理学—数学]