数量经济学研讨会

[20190410]

报告题目：Performance Evaluation, Managerial Hedging, and ContractTermination

报告人：黄煜(上海交通大学上海高级金融学院)

报告时间：2019年04月10日12:30-13:30

报告地点：明德主楼734

内容简介：We develop a dynamic moral hazard model where a CARAmanager, protected by limited liability, privately trades a market portfolio tohedge market risk in her compensation. The inefficient project liquidationmakes the risk-neutral principal endogenously risk-averse. Thanks to a feedbackmechanism of managerial hedging, the principal manages liquidation risk andregulates payment timing in the deferred compensation fund. An optimal dynamicmixture of relative and absolute performance evaluations is determined by atrade-off between liquidation-payment control and incentive provision. Near theliquidation boundary, the contract is exposed to extra market risk in additionto existent market component from absolute output, entailing increasedliquidation probability after negative market shocks. The optimal contract isimplemented in an entrepreneurship context, where financially distressed firmsperform less risk management。

报告人简介：黄煜，现为上海交通大学上海高级金融学院博士生，他的主要研究方向金融合约理论、公司金融理论、保险经济学。

数量经济教研室

运筹学与数量经济研究所

中国人民大学经济学院

2019年04月