考虑代理人两类过度自信行为的委托代理关系模型

Principal-agent model considering two types of overconfidence behaviors of the agent

考虑到代理人对自身努力效果以及产出方差两方面的预测偏差,在代理人有过高估计和过度精确两类过度自信行为的前提下,探讨理性的委托人对代理人的激励合同设计问题,并分析这两类过度自信行为对委托代理关系的作用机理,最后通过数值算例进行验证。研究发现,代理人过度自信时双方的决策和收益都将偏离代理人理性时的情形;代理人的努力程度和委托人的期望收益都随着代理人两类过度自信程度的提高而增加;激励系数与代理人过度精确程度正相关;委托人忽视代理人的过度自信行为时,其实际期望收益将减少;代理人的过度自信行为将导致其实际期望效用的损失,且损失量随过度自信程度的增加而变大;当满足一定条件时,两类过度自信行为对委托、代理双方的影响是一致的。

An agent may overestimate the output of his effort or underestimate the variability of the stochastic output.Under the premise that the agent has two kinds of overconfidence behaviors:(1)overestimation of one’s actual performances and(2)overprecision(excessive certainty regarding the accuracy of one’s beliefs),this paper studied how to design the incentive contract that a rational principal could offer the agent,and analyzed the mechanism of these two overconfidence behaviors on principal-agent relationship.Finally,numerical examples were given to verify the results.It is found that the decision and profit of two sides due to overconfident agent deviate from the rational scenario,and both the effort of the agent and the expected return of the principal increase with the rise of the overconfidence level.Incentive coefficient is positively correlated with the agent’s overprecision level.Ignoring the overconfident behavior of the agent will reduce the principal’s actual expected profit.Overconfidence behaviors lead to the loss of the agent’s actual expected utility,and the loss increases with the increasing overconfidence level.The two kinds of overconfidence behaviors have the same effect on both principal and agent under certain conditions.