發(fā)布時間：2018-06-05 03:07

  本文選題：代理理論 + 可信性測度　； 參考：《天津大學》2014年博士論文

【摘要】：在經(jīng)濟管理領(lǐng)域的各個方面普遍存在著委托代理問題,在這些委托代理問題中由于諸多不確定因素的影響不可避免地存在著不完全信息,而不完全信息的存在又從根本上對委托人和代理人的最優(yōu)決策產(chǎn)生著不可忽視的影響.為了降低信息不完全性對決策者最優(yōu)收益的不利影響,則需要事前在委托人與代理人之間簽訂最優(yōu)合同,該合同不僅可以對委托人與代理人的預期行為加以規(guī)范,而且還可以對代理人進行有效的事前激勵.因此,在不完全信息下尋找激勵的影響因素并設計最優(yōu)合同已經(jīng)成為當今國際研究的熱點前沿問題之一. 不完全信息中通常包含具有主觀特性的不確定因素,同時Ellsberg悖論也已表明在某些特定情形下,決策者所做決策與基于具有可加性的概率測度的決策準則并不一致.因此,本文將利用具有次可加性的可信性測度和不確定測度來度量具有主觀特性的不完全信息.在此基礎上,重點研究私人信息和公共未知信息下的委托代理問題,并分析決策者對待風險的主觀態(tài)度及信息多樣性對最優(yōu)合同的影響.本文的主要研究內(nèi)容包括以下五個方面: 1)基于可信性測度,研究代理人的能力是其私人信息時的委托代理問題.由于委托人無法觀測到代理人的能力,故將委托人對代理人能力的估計刻畫為模糊變量.為了激勵代理人在合作過程中按照自己的利益取向進行決策,委托人須根據(jù)代理人的能力特征設計最優(yōu)的轉(zhuǎn)移支付.于是,從委托人的角度出發(fā),基于可信性測度建立了私人信息下的代理模型,分別給出了當委托人是風險規(guī)避和風險中性時的最優(yōu)合同,并分析了委托人對待風險的主觀態(tài)度對最優(yōu)合同的影響.由于代理人具有信息優(yōu)勢,故其在合作過程中能夠從委托人處攫取一定的信息租金,但其對待風險的主觀態(tài)度對最優(yōu)合同沒有影響.最后,將所得結(jié)果應用于供應鏈采購系統(tǒng)中,其結(jié)果表明該最優(yōu)合同可以實現(xiàn)對代理人的有效激勵. 2)基于可信性測度,研究代理人的能力為公共未知信息時的委托代理問題.由于委托人和代理人處于同等的信息狀態(tài),故兩者合作的目的是為了通過積極有效的合作發(fā)掘代理人潛在的能力,從而盡可能多地提高雙方的收益.于是,委托人根據(jù)代理人為其帶來的收益狀況設計最優(yōu)的轉(zhuǎn)移支付,進而基于可信性測度建立公共未知信息下的代理模型,并分別給出當代理人是風險規(guī)避和風險中性時的最優(yōu)合同.因為處于同等的信息狀態(tài),所以代理人無法再從委托人處攫取信息租金.同時,由于公共未知信息的不可預測性,決策者的主觀態(tài)度對最優(yōu)合同均沒有影響.最后,基于可信性測度將私人信息下的最優(yōu)合同與公共未知信息下的最優(yōu)合同進行了比較,突出了兩種情形下最優(yōu)合同的不同之處. 3)基于不確定測度,研究多重公共未知收益信息下的委托代理問題,重點分析代理人是否采取與委托人相同的決策準則對最優(yōu)合同的影響.由于公共未知信息的不可觀測性,故將代理人對未知信息的估計刻畫為相互獨立的不確定變量.為了探究代理人是否采取與委托人相同的決策準則對最優(yōu)合同的影響,本文在兩種情形下分別建立了不確定期望值代理模型,通過求解模型給出了最優(yōu)合同存在的充分必要條件.進一步地,將上述模型應用于投資組合問題,其研究結(jié)果驗證了模型的有效性,也表明了不同的決策準則將產(chǎn)生不同的最優(yōu)合同,且信息的多樣性增加了合同的復雜性.最后,將兩種情形下的不確定期望值代理模型進行了比較,突出了兩類代理模型之間的區(qū)別及其原因. 4)基于不確定測度,研究多重公共未知收益信息下的委托代理問題,重點探討當代理人的努力水平對于委托人可觀測和不可觀測時的最優(yōu)合同及其影響因素.當代理人的努力水平對于委托人可觀測時,委托人只需要通過參與約束確保代理人與自己合作的意愿.然而,當代理人的努力水平對于委托人不可觀測時,最優(yōu)合同的設計取決于代理人是否愿意與委托人共同承擔未知風險.鑒于此,在三種情形下分別建立了不確定信度代理模型,通過求解模型給出了對應情形下委托人與代理人之間的最優(yōu)合同,分析了最優(yōu)合同的唯一性、復雜性及其影響因素,并進一步將其應用于投資組合問題中驗證了所得結(jié)論的合理性. 5)將本文的研究工作與已有結(jié)論進行了比較.首先,在可信性理論框架下完成了兩方面的比較工作: i)將本文基于可信性測度所做的研究與相關(guān)文獻進行了比較; ii)將基于可信性測度的代理模型與基于概率測度和容度的代理模型進行了比較.其次,在不確定理論框架下也完成了兩方面的比較工作: i)將本文基于不確定測度所做的研究與相關(guān)文獻進行了比較; ii)將基于不確定測度的代理模型與基于概率測度的代理模型進行了比較.比較結(jié)果不僅突出了本文研究內(nèi)容的創(chuàng)新之處,還驗證了基于可信性測度和不確定測度對代理問題進行研究的可行性,同時也為實際代理問題如何選擇最佳的求解方法提供了理論依據(jù).
[Abstract]:The principal-agent problem exists in all aspects of the economic management field. In these principal-agent problems, the incomplete information inevitably exists because of the influence of many uncertain factors, and the existence of incomplete information has an unnegligible influence on the optimal decision of the principal and agent. The adverse effect of low information incompleteness on the optimal return of a decision maker requires an optimal contract between the principal and the agent in advance. The contract not only regulates the expected behavior of the principal and agent, but also can effectively stimulate the agent in advance. Therefore, it will find the shadow of incentive under the incomplete information. The design of optimal contract has become one of the hot topics in international research.
Incomplete information usually contains uncertain factors with subjective characteristics, and the Ellsberg paradox has also shown that decision makers do not agree with the decision criteria based on an additive probability measure in some specific cases. Therefore, this paper will measure the reliability and uncertainty measures with sub additivity. On the basis of this, we focus on the study of the principal-agent problem of private information and public unknown information, and analyze the subjective attitude of the decision-makers on risk and the influence of information diversity on the optimal contract. The main contents of this paper include the following five aspects:
1) based on the credibility measure, the ability of the agent is the principal-agent problem of his personal information. Because the principal can not observe the agent's ability, the agent's estimation of agent's ability is described as a fuzzy variable. According to the agent's capability characteristics, the optimal transfer payment is designed. From the client's point of view, the agent model under the personal information is established based on the credibility measure, and the optimal contract when the principal is risk aversion and risk neutral is given respectively, and the influence of the subjective attitude of the principal on the optimal contract is analyzed. Because the agent has the information advantage, it can grab a certain information rent from the client in the process of cooperation, but the subjective attitude towards the risk has no effect on the optimal contract. Finally, the results are applied to the supply chain procurement system. The results show that the best contract can realize the effective incentive to the agent.
2) based on the credibility measure, the principal agent problem is studied when the agent's ability is public unknown information. Because the principal and agent are in the same information state, the purpose of the cooperation is to explore the potential ability of the agent through active and effective cooperation, thereby increasing the benefit of the two parties as much as possible. Thus, the principal is the principal. The optimal transfer payment is designed according to the benefit of the agent, and then the agent model under the public unknown information is established based on the credibility measure, and the optimal contract when the agent is the risk aversion and the risk neutral is given respectively. Because the agent is in the same information state, the agent can not seize the trust from the client again. At the same time, because of the unpredictability of public unknown information, the subjective attitude of the decision-maker has no influence on the optimal contract. Finally, based on the credibility measure, the optimal contract under the private information is compared with the optimal contract under the public unknown information, and the difference of the optimal contract under the two circumstances is highlighted.
3) based on the uncertainty measure, this paper studies the principal-agent problem under the information of multiple public unknown income, and focuses on whether the agent adopts the same decision criteria as the principal to the optimal contract. Because of the unobservability of the public unknown information, the agent's estimation of the unknown information is described as an independent uncertain variable. In order to investigate whether the agent adopts the same decision criteria as the principal to the optimal contract, this paper establishes an uncertain expectation value agent model in two cases, and gives the sufficient and necessary conditions for the existence of the optimal contract by solving the model. The validity of the model is verified, and it is also shown that different decision criteria will produce different optimal contracts, and the diversity of information increases the complexity of the contract. Finally, we compare the uncertain expectation value agent model under the two cases, and highlight the difference between the two kinds of agent models and their reasons.
4) based on the uncertainty measure, this paper studies the principal-agent problem under the information of multiple public unknown income, and focuses on the optimal contract and its influencing factors when the agent's effort level is observable and unobservable. When the agent's effort level is observable to the client, the client only needs to be ensured through the participation constraint. The agent's willingness to cooperate with himself. However, when the agent's level of effort is unobservable, the design of the optimal contract depends on whether the agent is willing to share the unknown risk with the principal. In this case, the uncertain reliability model is established in three cases, and the corresponding situation is given through the solution model. The optimal contract between the principal and the agent is analyzed, and the uniqueness, complexity and influencing factors of the optimal contract are analyzed, and the reasonableness of the conclusion is verified by applying it to the portfolio problem.
5) compare the research work of this paper with the existing conclusions. First, we have completed two aspects of comparative work under the framework of credibility theory: I) compare the research based on the credibility measure to the related literature; ii) make the proxy model based on the credibility measure and the agent model based on the probability measure and the tolerance. Secondly, in the framework of uncertainty theory, we have completed two aspects of comparative work: I) compared the research based on the uncertainty measure to the related literature; ii) compared the agent model based on the uncertainty measure to the agent model based on the probability measure. The comparison results not only highlight the study in this paper. At the same time, the feasibility of the research on the agent problem based on the credibility measure and the uncertainty measure is verified, and the theoretical basis is provided for how to choose the best solution for the actual agent problem.
【學位授予單位】：天津大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F274;F224

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本文編號：1980180