考虑经纪人投资情绪的委托代理合同研究

从行为金融学角度,提出将经纪人的投资情绪考虑进资本市场的委托代理关系中.通过建立数学模型,分析了非理性经纪人的投资决策给委托人带来的影响,得到了此时委托人与经纪人之间的最优委托代理合同.结果表明,经纪人的乐(悲)观投资情绪可以使委托人的代理成本得到补偿,并且委托人对经纪人的最优激励强度随着经纪人乐(悲)观程度的增加而降低.这说明在一定条件下,经纪人的乐(悲)观投资情绪,对委托人具有积极意义.

Principal-agent contracts based on sentiment of money manager

From behavioral finance point,a principal-agent model in capital market based on senti- ment of money manager is presented.By setting up a mathematical model,this paper analyzes the effect of decision-making by irrational money manager on the principal,and an optimal principal-a- gent contract between the principal and the money manager is derived.The result shows that the op- timistic (pessimistic) sentiment of money manager can compensate principal's agency cost,and the optimal incentive intensity is decreasing with increasing of the optimistic (pessimistic) extent.It in- dicates that the optimistic (pessimistic) sentiment of money manager is beneficial to the principal under some conditions.