Incentive systems for risky investment decisions under unknown preferences
研究了如何设计激励系统，使管理者在未知时间和风险偏好的情况下，仍能选择预期价值最大化的投资项目，并提出了状态依赖的分配规则。
Our paper examines how to design incentive systems for managers making multi-period risky investment decisions. We show how compensation functions and performance measures must be designed to ensure that managers implement the expected value-maximizing set of projects. The Relative Benefit Cost Allocation (RBCA) Scheme1 and its extensions revealed in literature on unknown time preferences generally fail to do so under unknown time and risk preferences. We illustrate that when coping with such unknown preferences in a risky setting, a specific state-dependent allocation rule is required. We introduce such an allocation scheme, which we refer to as the State-Contingent RBCA Scheme, and reveal that specific knowledge of the time and risk structure of the cash flows is needed to apply it.