Incentives and Performance with Optimal Money Management Contracts

时间:2021-11-25         阅读:


主题Incentives and Performance with Optimal Money Management Contracts

主讲人美国圣母大学(诺特丹大学) Stefano Pegoraro教授

主持人西南财经大学金融研究院院长 Philip H. Dybvig教授



主办单位:金融研究院 国际交流与合作处 科研处


Stefano Pegoraro is an assistant professor of finance at the University of Notre Dame Mendoza College of Business. As a researcher, he studies financial intermediaries and monetary policy. At Mendoza, Stefano teaches management of financial institutions.Stefano received a PhD in financial economics from the University of Chicago, a graduate and undergraduate honor diploma from the Sant'Anna School of Advanced Studies, and a MSc in Economics and BA in Economics and Management from the University of Pisa.

Stefano Pegoraro教授是圣母大学门多萨商学院金融学助理教授,他的研究领域包括金融中介和货币政策。在门多萨商学院,Stefano Pegoraro教授金融机构管理等相关课程。Stefano Pegoraro教授在芝加哥大学获得金融经济学博士学位。他还在圣安娜高级研究学院研究生和本科荣誉文凭,以及意大利比萨大学经济学硕士和经济与管理学士学位。


I characterize the dynamics of incentives in an optimal contract with investment delegation, moral hazard, and uncertainty about the agent's productivity. The principal increases the agent's incentives after good performance in order to delegate more capital to an agent with higher perceived productivity, thus implementing a convex pay-for-performance scheme. Moreover, the principal commits to reduce the agent's future incentives in order to mitigate ex-ante investment distortions. Methodologically, I provide a duality-based strategy to overcome technical challenges common to continuous-time contracting models with state variables. I also derive a sufficient condition to verify the validity of the first-order approach.

我用投资委托、道德风险和代理人生产力的不确定性来描述最优合同中的激励动态。委托人在表现良好后增加代理人的激励,以便将更多的资本委托给具有更高感知生产力的代理人,从而实施凸面按绩效付费计划。 此外,委托人承诺减少代理人的未来激励,以减轻事前投资扭曲。 在方法论上,我提供了一种基于对偶性的策略来克服具有状态变量的连续时间收缩模型常见的技术挑战。 我还推导出一个充分条件来验证一阶方法的有效性。