题 目：Optimal Contracting with Unobservable Managerial Hedging
地 点：浙江大学玉泉校区经济学院236室
日 期：11月10日（周五）上午10:00-11:30
主讲人：巨能久 上海高级金融学院金融学教授
主持人：骆兴国 副教授
主办方：浙江大学经济学院
浙江大学工程师学院互联网金融分院
协办方：浙江大学金融研究院
浙江大学应用经济研究中心
【演讲人简介】
巨能久教授现任上海高级金融学院金融学教授。2005-2013年他曾任香港科技大学金融学副教授，1998-2005年曾任马里兰大学 (学院公园校园) 金融学助理教授。
巨能久教授的研究领域包括衍生产品定价、动态资本结构、模糊偏好下的决策、连续时间代理模型等。他的研究论文发表在诸多国际著名学术期刊，如Econometrica, Review of Financial Studies, Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Business, Journal of Money, Credit and Banking, Review of Derivatives Research等。
巨能久教授于1998年获得加利福尼亚大学伯克利分校金融学博士学位，1993年获得密歇根州立大学物理学博士学位， 1986本科毕业于北京大学核物理专业。
【Nengjiu’s bio】
Nengjiu Ju is a professor of finance at Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiaotong University. Before joining SAIF, Professor Ju was an associate professor of finance in Hong Kong University of Science and Technology (HKUST, 2005 – 2013). He was an assistant professor of finance in University of Maryland at College Park (1998 – 2005).
Professor Ju focuses his research on derivatives pricing, dynamic capital structures, decision-making under ambiguity preferences, and continuous-time principal-agent models. Professor Ju has published widely in leading academic journals such asEconometrica, Review of Financial Studies, Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis, Journal of Business, Journal of Money, Credit and Banking, Review of Derivatives Research, etc.
Professor Ju received his Ph.D. in Finance (1998) from University of California at Berkeley and Ph.D. in Physics (1993) from Michigan State University. He finished his undergraduate education at Peking University, majoring in Physics (1986).
【Abstract】
We develop a continuous-time model where a risk neutral principal contracts with a CARA agent who is protected by limited liability, and examine the interactions between information asymmetry, unobservable managerial saving and hedging, and performance evaluation. New to literature, our unique model setup permits compatibility of private saving and hedging, agent's risk aversion, and inefficient project liquidation in one contracting problem. The inefficient project liquidation causes the principal's valuation function to become concave. This endogenously induces effective risk aversion of the principal. Consequently, the risk neutral principal would like not to completely filter out market return from the agent's contract value. Thus, in the optimal contract, the sensitivity to market return balances the principal's risk sharing behavior and incentive provision motive. The resulting optimal contract takes the form of an impulse compensation like that in DeMarzo and Sannikov (2006) and the optimal effort and incentive compensation are highly dynamic as in Sannikov (2008). Compared with a contract of only relative performance evaluation or that of only absolute performance evaluation, our optimal contract delivers higher value for the principal.
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