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引入刻画企业突发损失的泊松跳和管理者自利冒险行为,构建投资Q理论下的动态代理模型.首先基于管理者不可观测的努力和冒险行为进行最优合同设计,利用鞅方法给出了管理者价值函数的演变方程,得到了合同激励相容的充分必要条件.其次,运用随机控制方法,推导了股东价值满足的微分方程,同时给出了最优动态投资策略.数值分析表明,管理者的冒险行为会导致股东价值损失并使得动态投资降到更低水平,另外限制管理者冒险需要额外的管理成本,股东会在一定的程度上放任管理者的冒险.最后就相关参数与管理者冒险程度之间的关系进行了讨论.
Poisson jump and manager self-interest risk-taking, which characterize the sudden loss of business, are introduced to construct the dynamic proxy model under the investment Q.Firstly, the optimal contract design based on unobservable managers’ effort and risk-taking behavior is given and the martingale method is used The evolutionary equation of the manager’s value function is obtained and the necessary and sufficient conditions for the contractual incentive compatibility are obtained.Secondly, by using the stochastic control method, the differential equation of shareholder’s value satisfaction is derived and the optimal dynamic investment strategy is given.Numerical analysis shows that, Managers’ risk-taking behavior will lead to the loss of shareholders’ value and reduce the dynamic investment to a lower level, and in addition to limit the managers’ need of additional management costs, the shareholders will to a certain extent let the managers take the risk.Finally, the related parameters and management The relationship between the degree of adventure was discussed.