Agent's Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model

doi:10.1007/s11424-021-0008-5

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	Agent's Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model
	Fei Chen 1; Fei Weiyin 2; Zhang Fanhong 3; Yang Xiaoguang 4
	2021-12-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	34 期号:6 页码:2291-2309
摘要	This paper studies the problem of principal-agent with moral hazard in continuous time. The firm's cash flow is described by geometric Brownian motion (hereafter GBM). The agent affects the drift of the firm's cash flow by her hidden effort. Meanwhile, the firm rewards the agent with corresponding compensation and equity which depend on the output. The model extends dynamic optimal contract theory to an inflation environment. Firstly, the authors obtain the dynamic equation of the firm's real cash flow under inflation by using the Ito formula. Then, the authors use the martingale representation theorem to obtain agent's continuation value process. Moreover, the authors derive the Hamilton-Jacobi-Bellman (HJB) equation of investor's value process, from which the authors derive the investors' scaled value function by solving the second-order ordinary differential equation. Comparing with He-[1], the authors find that inflation risk affects the agent's optimal compensation depending on the firm's position in the market.
关键词	Equity incentive inflation risk Ito formula principal-agent problem the martingale representation theorem
DOI	10.1007/s11424-021-0008-5
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71571001]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000741377300014
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59854
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang Fanhong
作者单位	1.Univ Shanghai Sci & Technol, Sch Business, Shanghai 200093, Peoples R China 2.Anhui Polytech Univ, Sch Math Phys & Finance, Wuhu 241000, Peoples R China 3.Shanghai Univ Finance & Econ, Sch Math, Shanghai 200433, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Fei Chen,Fei Weiyin,Zhang Fanhong,et al. Agent's Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2021,34(6):2291-2309.
APA	Fei Chen,Fei Weiyin,Zhang Fanhong,&Yang Xiaoguang.(2021).Agent's Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,34(6),2291-2309.
MLA	Fei Chen,et al."Agent's Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 34.6(2021):2291-2309.