講演者： 西原　理 (大阪大学金融・保険教育研究センター特任助教)

タイトル： The Agency Problem between the Owner and the Manager in Real Investment (with T. Shibata)

講演概要：

　In recent years, many real options literatures have investigated the strategic interaction among several firms from a game theoretic approach. While those studies focused on the competition with rival firms, Grenadier and Wang (2005) investigated the investment timing in a decentralized firm where the owner delegates the investment decision to the manager who has private information by combining the real options study and contract theory. However, their model considers only carrot, i.e., the bonus-incentive to the manager, as a measure for the owner to deal with the agency conflicts. In this paper, we incorporate stick, i.e., an auditing technology, into their model. We show that the optimal contract is determined among the three feasible types, depending on the relation between the auditing cost and the penalty. The solution includes several results by the previous studies.

日時：２００７年１１月９日（金）午後３：００−４：３０
会場：名古屋市立大学経済学部棟２階２０３教室

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数理ファイナンスセミナー

「リスク評価とリアル・オプション」研究会