摘要
在考虑经纪人过度自信变化的基础上,研究投资者与经纪人之间的多期激励契约.从行为金融学角度,建立经纪人过度自信的动态模型并指出其变化规律.应用委托-代理理论推导出资本市场的最优激励契约,分析经纪人过度自信及交易次数对最优激励契约的影响,给出了在无法观测到经纪人过度自信程度的条件下,投资者实际提供的契约与最优激励契约间的变化关系.
The polyperiod optimal incentive contract between investor and money manager is discussed under the condition of overconfidence. From behavioral finance point, the overconfidence model and its variety discipline of money manager are derived. By applying the principal-agent theory, the optimal incentive contract in capital market is given and the effect of the overconfidence of money manager and the trading times is analyzed. Then the changing relation between the actual contract provided by investor and the optimal incentive contract is presented under the condition that the investor could not obverse the overconfidence degree of money manager.
出处
《控制与决策》
EI
CSCD
北大核心
2007年第3期294-298,303,共6页
Control and Decision
基金
国家自然科学基金项目(70371062)
关键词
过度自信
经纪人
投资者
最优激励契约
Overconfidence
Money manager
Investor
Optimal incentive contract
