Search
Search

연구성과물 검색 타이틀 이미지

HOME ICON HOME > Search by Achievements Type > Reports View

Reports Detailed Information

https://www.krm.or.kr/krmts/link.html?dbGubun=SD&m201_id=10006673&local_id=10012414
불완전 시장에서의 최적 헤지, 투자 및 대리인 이론
Reports NRF is supported by Research Projects( 불완전 시장에서의 최적 헤지, 투자 및 대리인 이론 | 2004 Year | 심규철(Univ. of Texas at Austin) ) data is submitted to the NRF Project Results
Researcher who has been awarded a research grant by Humanities and Social Studies Support Program of NRF has to submit an end product within 6 months(* depend on the form of business)
사업별 신청요강보기
  • Researchers have entered the information directly to the NRF of Korea research support system
Project Number B00033
Year(selected) 2004 Year
the present condition of Project 종료
State of proposition 재단승인
Completion Date 2006년 08월 21일
Year type 결과보고
Year(final report) 2006년
Research Summary
  • Korean
  • 보다 나은 투자기회를 기대하는 투자자의 최적은퇴, 소비/투자 문제: 노동으로부터의 은퇴시점을 선택하여 투자로만 살아갈수 있는 투자자의 최적은퇴, 소비/투자 문제를 다룬다. 노동에 종사하고 있는 동안에는 제한된 시간과 에너지 때문에 전체 시장에 대한 정보가 없어 투자자가 시장에 존재하는 자산의 일부에만 투자할 수 있지만, 은퇴 후에는 노동수입을 포기하는 대신 전체시장자산에 투자할 수 있는 구조의 문제이다. 우리는 이 문제에 대하여 해답을 구하고 그 해답이 암시하는 바를 제시한다.

    대리인 문제(직접 계약): 투자자(investor, principal)가 모든 대리인과 직접 계약하는 경우, 연속 시간에서 최적의 incentive scheme을 구한다. 대리인이 여러명임으로써 발생하는 여러가지 사안들을 다룬다.

    대리인 문제(계층계약): 투자자가 top manager와 계약을 하고, top manager는 middle managers와 계약을 하는 경우 최적의 icentive scheme을 구한다. 그리고 계층계약이 managerial sensitivity에 주는 영향을 파악한다.

    국면 전환상황에서의 반사 확산모형: 국면전환에 의해 확산계수 뿐 아니라 반사경계들도 변하는 시계열 모형을 다룬다. 이는 거래비용이 존재하고, 국면전환이 이루어지는 소비/투자 문제에 응용될 수 있다.

    CES 효용함수를 가진 투자자의 최적 은퇴, 레져, 소비, 투자: 투자자의 효용이 소비 뿐만 아니라 레져에 의해서도 결정되는 경우, 최적의 은퇴, 레져, 소비, 투자에 관한 해를 구한다.
  • English
  • Optimal Retirement Time and Consumption/Investment In Anticipation of A Better Investment Opportunity: We study an optimal decision of an economic agent to retire from his job and live on invested wealth. Being employed, the agent has full information only about a proper subset of the assets in the market and therefore he currently constructs his portfolio from this proper subset. By choosing to retire from work, the agent gives up his labor income, but is able to participate fully in the financial market. We obtain an explicit solution of the problem and suggest the implication of the solution.

    Agency Problem(Direct Contracting) : We present a continuous-time contracting model under moral hazard with many agents by extending the one principal-one agent framework of Holmstrom and Milgrom (1986) and Sch\"attler and Sung (1993).
    Investors (the principal) contract managers with appropriate salary functions. We derive the optimal salary functions and investigate their properties In our model both investors and managers are risk averse or neutral with possibly different coefficients of absolute risk aversion. The top manager exerts effort which affects not only his own but all middle managerial outcomes. The principal (and managers) observe outcomes of all managers but not their effort levels.

    Agency Problem(Hierarchical Contracting): We present a moral-hazard-based hierarchical contracting model, where investors contract the top manager and the top manager contracts all middle managers. We compare effects of hierarchical contracting on managerial contract sensitivities with those of a direct contracting benchmark where investors directly contract all
    managers. We argue that under hierarchical contracting, the top manager is motivated to shift his compensation risks to middle
    managers by providing middle managers with higher-powered incentive contracts than desired by investors. It is striking that
    the sensitivity of the optimal top-managerial hierarchical contract approaches either the first best or zero, as the firm size grows. However, under some reasonable conditions such as correlated managerial effort outcomes, the top managerial
    sensitivity approaches zero as the firm size increases, and the sensitivity for large firms can be far lower than predicted by the
    standard agency theory. This result can serve as an explanation of widely observed firm-size effects on CEO compensations, namely, lower pay sensitivities for large firms than those for small firms.

    A Reflected Diffusion Process in a Regime Switching Environment: We consider a reflected diffusion process in a regime switching environment. We consider a model in which reflecting boundaries as well as diffusion coefficients vary according to a regime. We obtain a stationary distribution of the reflected diffusion process in a regime switching environmet. The problem can be applied to the transaction cost problem in which a regime switch occurs.

    Optimal Retirement, Leisure, Consumption/Investment with CES Utility: We consider an optimal retirement, leisure, consumption/investment choice problem where the investor's utility is determined by leisure as well as consumption. We obtain a closed form solution and study the properties of the solution.
Research result report
  • Abstract
  • Optimal Retirement Time and Consumption/Investment In Anticipation of A Better Investment Opportunity: We study an optimal decision of an economic agent to retire from his job and live on invested wealth. Being employed, the agent has full information only about a proper subset of the assets in the market and therefore he currently constructs his protfolio from this proper subset. By choosing to retire from work, the agent gives up his labor income, but is able to participate fully in the financial market. We solve the problem in an explicit form.

    Agency Problem(Direct Contracting): We present a continuous-time contracting model under moral hazard
    with many agents by extending the one principal-one agent framework of Holmstrom and Milgrom (1986) and Schattler and Sung (1993). Investors (the principal) contract managers with appropriate salary
    functions. We derive the optimal salary functions and investigate their properties. In our model both investors and managers are risk averse or neutral with possibly different coefficients of absolute risk aversion. The top manager exerts effort which affects not only his own but all middle managerial outcomes. The principal (and managers) observe outcomes of all managers but not their effort levels.We derive explicit optimal pay-schemes.

    Agency Problem(Hierarchical Contracting): We present a moral-hazard-based hierarchical contracting model, where investors contract the top manager and the top manager contracts all middle managers. We compare effects of hierarchical contracting on managerial contract sensitivities with those of a
    direct contracting benchmark where investors directly contract all managers. We argue that under hierarchical contracting, the top manager is motivated to shift his compensation risks to middle
    managers by providing middle managers with higher-powered incentive contracts than desired by investors. It is striking that the sensitivity of the optimal top-managerial hierarchical contract approaches either the first best or zero, as the firm size grows. However, under some reasonable conditions such as
    correlated managerial effort outcomes, the top managerial sensitivity approaches zero as the firm size increases, and the sensitivity for large firms can be far lower than predicted by the standard agency theory. This result can serve as an explanation of widely observed firm-size effects on CEO compensations, namely, lower pay sensitivities for large firms than those for small firms.

    A Reflected Diffusion Process in a Regime Switching Invironment: We study a relfected diffusion proecess in a regime switching environment. That is, we consider the case where the reflecting boundaries as well as diffusion coefficients varies according to a regime. The problem can be applied to a consumption/investment problem with a regime switching environment where transaction costs exist.

    Optimal Retirement, Leisure, Consumption/Investment with CES utility: We consider an optimal retirement, leisure, consumption/investment choice problem of an agent with CES utility who works for labor income.
    We solve the problem explicitly and observe that the agent retires if his wealth touches a critical level.



  • Research result and Utilization method
  • The research about agency problems can be used as a guideline to design pay
    schemes in the real world and to conduct empirical research. The others can be a guideline to analyse a financial market by observing investors' behaviors.
  • Index terms
  • Retirement, Investment Opportunity, Labor Income, Principal, Agents, Continuous Time, Direct Contracting, Hierarchical Contracting, Reflecting Boundaries, Regime Switching, Leisure, CES Utility
  • List of digital content of this reports
데이터를 로딩중 입니다.
  • This document, it is necessary to display the original author and you do not have permission
    to use copyrighted material for-profit
  • In addition , it does not allow the change or secondary writings of work
데이터 이용 만족도
자료이용후 의견
입력
트위터 페이스북
NRF Daejeon
(34113) 201, Gajeong-ro, Yuseong-gu, Daejeon, Korea
Tel: 82-42-869-6114 / Fax: 82-42-869-6777
NRF Seoul
(06792) 25, Heonreung-ro, Seocho-gu, Seoul, Korea
Tel: 82-2-3460-5500 / Fax: 82-2-3460-5759
KRM Help Center
Tel : 042-869-6086 Fax : 042-869-6580
E-mail : krmcenter@nrf.re.kr