Optimal Security Design and Dynamic Capital Structure in a Continuous‐Time Agency Model
在连续时间委托代理框架下推导最优动态契约，并用资本结构（信用额度、长期债务和股权）实现，发现波动性和清算成本对总债务能力影响小，但增加信用使用；杠杆非平稳且随盈利下降，公司可能同时持有现金和借款。
ABSTRACT We derive the optimal dynamic contract in a continuous‐time principal‐agent setting, and implement it with a capital structure (credit line, long‐term debt, and equity) over which the agent controls the payout policy. While the project's volatility and liquidation cost have little impact on the firm's total debt capacity, they increase the use of credit versus debt. Leverage is nonstationary, and declines with past profitability. The firm may hold a compensating cash balance while borrowing (at a higher rate) through the credit line. Surprisingly, the usual conflicts between debt and equity (asset substitution, strategic default) need not arise.