毕业设计（论文）有资金约束的多报童模型研究.doc

摘 要 本文分析了企业主和银行之间不完全信息的单期博弈，以研究资产贷款（ABL）背景下的运营投资与资本结构之间的关系，从而解决有资金约束的报童问题。本文研究模型的事件顺序是银行首先提供一个包含不同类型贷款合同的菜单，以最大化其期望利润。每笔类型的贷款报价均指定利率和放款率，这给企业库存投资增加了一个信用额度。然后，所有者决定最优订货量以及为公司经营提供的资本结构。 首先，本文分析了纯股权、纯债务和股权-债务组合方案下企业主的优化目标，并给出了企业最佳决策方案和企业选择不同资本结构的条件。然后，本文构建了银行的优化目标，分析了银行提供的贷款条件菜单的特点，并根据参与约束和激励相容约束分析了在面对企业类型信息不确定时银行合同的机制设计。本文得到了一系列资金约束下报童模型的结论：债务融资的最优订货量不同于纯股权（传统报童模型）方案下的最优订货量，在没有破产风险的情况下，这种差别是由于公司的资本结构改变了库存过剩和库存短缺成本，破产风险的存在进一步使得库存过剩成本依赖于需求实现和库存量；无论利率或信贷额度如何，使用信贷杠杆的公司都会订购更多的货物；银行贷款菜单的特点是低利率与低放款率配对，高利率与高放款率配对；资产抵押贷款可以甄别出企业类型是高需求还是低需求。 关键词：报童问题；资金有限；库存决策；银行信贷 Abstract This paper analyzes the single game with incomplete information between business owners and banks to study the relationship between operational investment and capital structure in the context of asset-based lending (ABL), so as to solve the problem of newspaper model with capital constraints. The bank first provides a menu with a variety of loan types to maximize its expected profit. Each type of loan quotation specifies interest rates and loan rates, which adds a credit line to the firms stockpile investment. The owner then determines the optimal order quantity and the capital structure provided for the companys operations. This paper analyzes the optimization objectives of pure equity, pure debt and equity - debt portfolio, and draws some new conclusions about the best decision - making plan of the enterprise, and the characteristics of the loan condition menu provided by the bank. Our paper results in the following results. For instance, the optimal order quantity with debt financing deviates from the classical news-vendor solution, which would have been obtained under a pure equity scenario. In the absence of bankruptcy risk, this deviation arises due to a simple cost of capital adjustment to the firm’s overage and underage costs. The presence of bankruptcy risk further makes the overage cost a function of demand realization and inventory. A leveraged firm stocks more inventory regardless of the interest