过度自信条件下的金融市场委托-代理合同

通过建立数学模型研究经纪人过度自信条件下的金融市场最优委托-代理合同。研究结果表明,在金融机构和经纪人都是风险中性的条件下,当经纪人的过度自信水平可观测到时,金融机构将提供一个能被过度自信经纪人接受的最优委托-代理合同,该合同随着经纪人过度自信水平的提高而变得越来越廉价,随着经纪人保留预期效用水平的提高而变得越来越昂贵。当经纪人的过度自信水平不可观测到时,如果金融机构认为经纪人过度自信的可能性很大,那么金融机构提供的最优委托-代理合同只能被过度自信经纪人接受;如果金融机构认为经纪人过度自信的可能性比较小,那么金融机构提供的最优委托-代理合同能够同时被理性和过度自信经纪人所接受。

Principal-agent Contracts in Financial Market under the Condition of Overconfidence

This paper researches the optimal principal-agent contracts of financial market in the presence of overconfident money managers by setting up a mathematical model. The result shows that under the condition that the financial institution and money manager are risk neutral, when overconfidence of money manager is observable, the financial institution would offer an optimal principal-agent contract accepted by overconfident money manager, which become cheaper while the overconfident level of money manager increases, and become more expensive while the reservation expected utility of money manager increases. When overconfidence of money manager is not observable, if the financial institution think that the probability of money manager being overconfident is very large, the principal-agent contract offered by the financial institution could be only accepted by overconfident money manager; if the financial institution thinks that the probability of money manager being overconfident is very small, the principal-agent contracts offered by the financial institution could be accepted by rational and overconfident money manager.