Annual Report 2003–04

傑出研究計劃 o u t s t a n d i n g R e s e a r c h P r o j e c t I 工商管理舉院 F a c u l t y o f B u s i n e s s A d m i n i s t r a t i o n 委託—代理人模型的數學解決方法 Mathematical Solution to Pr i nc i pa l -agen t Mode l 委託一代理人模型已廣泛地應用於會 計、經濟及財務等工商學科上。該模 型提供了研究在不對稱信息出現時，如何 設計合約的理想框架，但經濟學理論界至 今仍未能充分理解該模型的優化合約的特 徵。該模型引出了許多新的數學問題， 並只有部分問題找到了答案。周玉清敎授 與謀貝爾獎得獎人莫理斯身士的合作研 究，就該模型引出的數學問題提供了一般 的解決方法，並指出優化合約的特徵， 而該些特徵均可驗證。 Prof. Zhou Yu Qing's working paper with Nobel laureate Prof. James A. Mirrlees provides a general mathematical solution to the principal-agent problem. The principal-agent model is widely used in business disciplines such as accounting, economics and finance, among others. It offers an ideal framework for studying contracting design problems in the presence of asymmetric information. However, the characteristics of the optimal contracts in the principal-agent model are still not well understood. The mathematical problems arising from the principal-agent model are new and current literature only provides partial answers to certain special cases. The project develops a general mathematical approach to the principal-agent model. The optimal contracts are characterized under various conditions, and model predictions, such as contract monotonicity, convexity and concavity, can be tested empirically. A variety of examples are presented to illustrate the properties of optimal incentive schemes. 48