Optimal Security Design for Risk-Averse Investors
结合机制设计与风险度量理论，研究现金受限的资产所有者如何向风险厌恶程度和预算约束各异的投资者发行分层证券，发现最优分层符合优先债、次级债和股权的常见结构。
We use the tools of mechanism design combined with the theory of risk measures to analyze how a cash-constrained owner of an asset with known, stochastic returns raises capital from a population of investors who differ in their risk aversion and budget constraints. The issuer partitions the asset’s cash flow into several asset-backed securities, one for each type of investor. The optimal partition conforms to the commonly observed practice of tranching into senior debt, junior debt, and equity. Tranching arises endogenously due to the differences in risk appetites among agents and in the budget constraints they face.