报告题目 | Robust Contract Designs: Linear Contracts and Moral Hazard | |
报告人（单位） | Yimin Yu （香港城市大学） | |
主持人（单位） | 薛巍立（太阳集团tyc539） | 李四杰（太阳集团tyc539） |
时间地点 | 时间：2020年10月 29 日（周四）下午14 点 腾讯会议ID：351 147 891（密码：201029） | |
报告内容摘要 | We consider incentive compensation where the firm has ambiguity on the effort-contingent output distribution: the parameters of the output probability distribution are in an ellipsoidal uncertainty set. The firm evaluates any contract by its worst-case performance over all possible parameters in the uncertainty set. Similarly, the incentive compatible condition for the agent must hold for all possible parameters in the uncertainty set. The firm is financially risk neutral and the agent has limited liability. We find that when the agent is financially risk neutral, the optimal robust contract is a linear contract—paying the agent a base payment and a fixed share of the output. Moreover, the linear contract is the only type of contracts that are robust to the parameter uncertainty. When there is model uncertainty over a general effort-contingent output distribution, we show that a generalized linear contract is uniquely optimal. When the agent is risk-averse and has a piecewise linear utility, the only optimal contract is a piecewise linear contract that consists of progressive fixed payments and linear rewards with progressive commission rates. We also provide the analysis for the trade-off between robustness and worst-case performance and show that our results are robust to a variety of settings, including cases with general lp−norm uncertainty sets, multiple effort levels, etc. Our paper provides a new explanation for the popularity of linear contracts and piecewise linear contracts in practice and introduces a flexible modeling approach for robust contract designs with model uncertainty. | |
报告人简介：Yimin Yu received his Ph.D. degree from University of Minnesota, Twin Cities. His research focuses on supply chain management and service operations. This includes topics on optimal design of inventory-production systems, incentive issues in supply chains, and pricing strategies. His research work has been published in leading business journals including Manufacturing & Service Operations Management, Marketing Science, Operations Research, and Production and Operations Management. | ||
