演講者簡介 : Mr. Tak-Yuen Wong will receive his Ph.D. in Economics from Boston University in 2014. His research focuses on Microeconomic Theory, Information Economics, and Corporate Finance. He is applying for the position of the Institute of Economics, AS right now.
演講摘要 : I study a continuous-time principal-agent model in which a risk-neutral agent protected by limited liability exerts costly efforts to manage a project for her principal. Unobserved risk-taking by the agent is value-reducing in the sense that it increases the chance of large losses, even though it raises short-term profits. In the optimal contract, severe punishment that follows a large loss prevents the agent from taking hidden risks. However, after some histories, punishment can no longer be used because of limited liability. Allowing for risk-taking by the agent is necessary for the project to continue. When the project is close to liquidation, hidden gambling is in fact optimal because of high agency cost in preventing risk-taking. In addition, I explore the roles of standard securities in implementing the optimal contract. The implementation shows that driven by the agency conflicts, incomplete hedging against Poisson risk provides incentives for the agent to take the safe project. Moreover, I study the optimality of the widely-used “high-water mark” contract in the hedge fund industry. Ifind that “distance-to-threshold” is important in understanding the risk-shifting problem in a dynamic context.
