| 基于过度自信的全国社保基金投资运营研究 |
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| 引用本文： | 吴有华,何建敏,江红莉.基于过度自信的全国社保基金投资运营研究[J].西安电子科技大学学报(社会科学版),2009,19(5). |
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| 作者姓名： | 吴有华 何建敏 江红莉 |
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| 作者单位： | 东南大学,经管学院,江苏,南京,211189 |
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| 基金项目： | 国家自然科学基金项目:流动性调整期望损失La-ES和最优变现策略 |
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| 摘 要： | 本文将代理人的过度自信心理引入到全国社保基金投资运营的多任务委托代理模型中,研究了全国社保基金投资运营中代理人的最优激励合同。在建立基于代理人过度自信的双重任务委托代理模型的基础上,讨论了任务独立和任务关联时的最优激励合同,给出了相应的经济学解释。研究结果表明,若代理人对风险控制任务(任务不可观测)的过度自信程度超出该项任务的不可观测程度,则对该项任务应该提供激励,反之应该采取固定工资制;提高收益率任务的最优激励合同受任务是否独立、代理人对风险控制任务的过度自信程度与风险控制任务的不可观测程度等因素的影响。
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| 关 键 词： | 全国社保基金 过度自信 多任务 委托代理模型 |
Research on National Social Insurance Fund's Investment and Operations Based on Overconfident Agent |
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| WU YOUHUA,HE JIANMIN,JIANG HONGLI.Research on National Social Insurance Fund's Investment and Operations Based on Overconfident Agent[J].Journal of Xidian University (Social Sciences Edition),2009,19(5). |
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| Authors: | WU YOUHUA HE JIANMIN JIANG HONGLI |
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| Institution: | WU YOUHUA; HE JIANMIN; JIANG HONGLI(School of Economics & Management; Southeast University; Nan Jing; 211189; China); |
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| Abstract: | The optimal incentive contract about agent in the investment of national social insurance fund is researched in this paper by introducing overconfident agent into multi-tasks principal-agent model.First,the duple tasks principal-agent model based on overconfident agent is established.Then,the optimal incentive contract is discussed under the condition of independent tasks and dependent tasks,and the corresponding economics means is elucidated.The results show that,if the degree of overconfidence in risk con... |
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| Keywords: | National social insurance fund Overconfidence Multi-tasks Principal-agent model |
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