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学术前沿讲座--Robust Contract Designs: Linear Contracts and Moral Hazard

发布时间:2020-10-22访问量:408

报告题目

Robust Contract   Designs: Linear Contracts and Moral Hazard

报告人(单位)

Yimin Yu (香港城市大学)

主持人(单位)

薛巍立(best365官方网站登录入口)

李四杰(best365官方网站登录入口)

时间地点

时间:20201029 日(周四)下午14   

腾讯会议ID351   147 891(密码:201029

报告内容摘要

We consider incentive compensation where the   firm has ambiguity on the effort-contingent output distribution: the   parameters of the output probability distribution are in an ellipsoidal   uncertainty set. The firm evaluates any contract by its worst-case performance   over all possible parameters in the uncertainty set. Similarly, the incentive   compatible condition for the agent must hold for all possible parameters in   the uncertainty set. The firm is financially risk neutral and the agent has   limited liability. We find that when the agent is financially risk neutral,   the optimal robust contract is a linear contract—paying the agent a base   payment and a fixed share of the output. Moreover, the linear contract is the   only type of contracts that are robust to the parameter uncertainty. When   there is model uncertainty over a general effort-contingent output   distribution, we show that a generalized linear contract is uniquely optimal.   When the agent is risk-averse and has a piecewise linear utility, the only   optimal contract is a piecewise linear contract that consists of progressive   fixed payments and linear rewards with progressive commission rates. We also   provide the analysis for the trade-off between robustness and worst-case   performance and show that our results are robust to a variety of settings,   including cases with general lp−norm uncertainty sets, multiple effort   levels, etc. Our paper provides a new explanation for the popularity of   linear contracts and piecewise linear contracts in practice and introduces a   flexible modeling approach for robust contract designs with model   uncertainty.

报告人简介:Yimin Yu received his Ph.D. degree from University of   Minnesota, Twin Cities. His research focuses on supply chain management and   service operations. This includes topics on optimal design of   inventory-production systems, incentive issues in supply chains, and pricing strategies. His research work   has been published in leading business journals including Manufacturing   & Service Operations Management, Marketing Science, Operations   Research, and Production and Operations Management.


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