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基于动态投资的鲁棒契约设计与应用研究
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作者 甘柳 夏鑫 《系统管理学报》 CSSCI CSCD 北大核心 2024年第1期230-239,共10页
基于动态投资理论进行波动率模糊下的鲁棒契约设计,利用鲁棒决策方法和鞅方法给出鲁棒契约的解,并探究委托人波动率模糊对企业投资、证券定价、托宾q、股权溢价以及信用价差的影响。研究发现:鲁棒契约在模糊厌恶的委托人和代理人之间产... 基于动态投资理论进行波动率模糊下的鲁棒契约设计,利用鲁棒决策方法和鞅方法给出鲁棒契约的解,并探究委托人波动率模糊对企业投资、证券定价、托宾q、股权溢价以及信用价差的影响。研究发现:鲁棒契约在模糊厌恶的委托人和代理人之间产生异质信念,从而导致委托人认为企业现金流的波动率高于真实波动率。特别地,当企业接近清算边界或代理人的努力成本较低时,委托人认为的波动率相对更高,并由此形成更严重的投资不足;波动率模糊会降低股东价值、契约规定的投资率以及企业平均q;由波动率模糊厌恶产生的股权溢价和信用价差呈正相关,且两者与企业投资率呈负相关。研究结果有助于把握委托人薪酬契约设计影响机理的内在规律,在深化契约理论研究的同时对公司治理的完善与企业投资效率的提升具有一定的参考价值。 展开更多
关键词 动态投资 鲁棒契约 股权溢价 信用价差
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SUPPLY CHAIN DISRUPTION MANAGEMENT WITH MULTIPLE COMPETING RETAILERS 被引量:1
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作者 陈克兵 肖条军 《Transactions of Nanjing University of Aeronautics and Astronautics》 EI 2008年第4期295-302,共8页
As for the supply chain consisting of a manufacturer and multiple competing retailers, the disruption management decision is considered for the demand disruption that both the investment sensitivity coefficient and th... As for the supply chain consisting of a manufacturer and multiple competing retailers, the disruption management decision is considered for the demand disruption that both the investment sensitivity coefficient and the investment-elasticity are changed simultaneously. Meanwhile, the corresponding solutions are given for different cases of the disruption, and the characteristics of the solutions are analyzed. The production plan is proved to he robustness under certain conditions, and the production plan of the coordination strategy is investigated for the disruption with appropriate contractual arrangement, i. e. , a subside rate schedule. Mutual restraints exist between the changed investment sensitivity coefficient and the investment-elasticity when the coordination mecha- nism is used. And the more the number of the retailers in the system, the more the subside provided by the suppler on the coordinaton strategy. 展开更多
关键词 supply chain management ROBUSTNESS COORDINATION disruption management subside rate schedule
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