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基于委托-代理关系的有限套利的研究,对于理解非理性资产价格形成机制及行为不确定条件下资本资源有效配置具有重要意义.为定量分析满足最优契约条件下经纪人有限套利的行为特征,建立了基于委托-代理关系的有限套利模型.研究发现:证券价格是影响委托人最优投资规模的最敏感因素,代理人的基本工资水平次之,代理人的努力水平的影响最弱.此外,确定了在信息传递不完全条件下,委托人提早撤回资金时的证券最低价格.
The research on the limited arbitrage based on the principal-agent relationship is of great significance for understanding the pricing mechanism of irrational assets and the efficient allocation of capital resources under the conditions of uncertain behavior.In order to quantitatively analyze the behavior characteristics of the limited arbitrage to satisfy brokers under the optimal contract, The paper establishes a finite arbitrage model based on the principal-agent relationship.The research shows that the security price is the most sensitive factor that affects the principal’s optimal investment scale, the agent’s basic wage level is second, and the agent’s effort level is the least affected. , Determine the lowest price of securities when the principal withdraws funds early under the condition of incomplete information transfer.