多企业投资网络中的最优投资组合
Optimal Collaterals in Multi-Enterprise Investment Networks
摘要：
我们研究了网络上的投资市场，其中每个代理（顶点）可以投资于与她相关的任何企业，同时，从与她相关的其他代理那里为她公司的企业筹集资金。未能筹集到足够的资本导致公司违约，无法投资于其他公司。我们的主要目标是研究抵押品合同在处理战略风险中的作用，这种风险可能在违约级联中传播到整个网络的系统性风险。本文采用机制设计的方法，求解了融资者向投资者提供担保契约的最优方案。这些合同的目的是维持有效的投资水平作为一个独特的纳什均衡，同时最大限度地减少总抵押品。我们的主要研究结果对比了网络环境与非网络环境（投资者和资本筹集者的集合是不相交的）。我们发现，非循环的投资网络，网络环境不需要任何额外的抵押品，和系统性风险可以完全处理的最佳双边抵押品合同之间的资本筹集者和他们的投资者。不幸的是，循环投资网络的情况并非如此。我们表明，双边合同将不足以解决系统性风险，市场将需要一个外部实体来设计一个全球抵押品计划的所有资本筹集者。此外，即使在简单的循环投资网络中，与相应的非网络环境相比，将维持有效投资水平作为唯一均衡的最低总抵押品可能任意更高。此外，我们证明了计算复杂性的结果，无论是一个单一的企业和网络。
英文摘要：
We study a market of investments on networks, where each agent (vertex) can invest in any enterprise linked to her, and at the same time, raise capital for her firm's enterprise from other agents she is linked to. Failing to raise sufficient capital results with the firm defaulting, being unable to invest in others. Our main objective is to examine the role of collateral contracts in handling the strategic risk that can propagate to a systemic risk throughout the network in a cascade of defaults. We take a mechanism-design approach and solve for the optimal scheme of collateral contracts that capital raisers offer their investors. These contracts aim at sustaining the efficient level of investment as a unique Nash equilibrium, while minimizing the total collateral. Our main results contrast the network environment with its non-network counterpart (where the sets of investors and capital raisers are disjoint). We show that for acyclic investment networks, the network environment does not necessitate any additional collaterals, and systemic risk can be fully handled by optimal bilateral collateral contracts between capital raisers and their investors. This is, unfortunately, not the case for cyclic investment networks. We show that bilateral contracting will not suffice to resolve systemic risk, and the market will need an external entity to design a global collateral scheme for all capital raisers. Furthermore, the minimum total collateral that will sustain the efficient level of investment as a unique equilibrium may be arbitrarily higher, even in simple cyclic investment networks, compared with its corresponding non-network environment. Additionally, we prove computational-complexity results, both for a single enterprise and for networks.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
