摘要
本文提出 ,在委托 -代理关系中 ,企业经营管理者在以自身效用最大化为目标的前提对企业投资组合与资本结构进行优化决策时 ,会偏离使股东利益最大化的决策。本文在均值 -方差模型的基础上 ,考虑了税收与资本结构对净资产收益率与风险的影响 ,提出了委托 -代理关系下的组合投资与资本结构优化决策模型。
This article studies portfolio selection and capital structure optimization of an enterprise under the existence of principal agent relation.When the decision is made by the manager whose target is to maximize his own utility,it will deviate from what maximizes the shareholder's.Based on the mean variance model.we establish a portfolio selection and capital structure optimization model with the principal agent relation.The impact of tax and capital structure on ROE(return on equity)and the risk is involved in our model.
出处
《系统工程》
CSCD
2000年第4期21-27,48,共8页
Systems Engineering
基金
国家自然科学基金资助!(批准号 :79870 0 3 1
7991 0 761 860 )
关键词
委托-代理关系
组合投资
资本结构
优化决策
principal agent relation,mean variance model,portfolio selection,capital structure
