基于博弈均衡视角的中国证券投资基金风险分担问题研究
发布时间：2018-07-14 17:43
【摘要】：基金经理和投资者是本文讨论的两个参与主体,他们间存在着既合作又冲突的利益关系。关于两者的利益与风险的分担,目前的研究主要采取委托代理理论,但该理论只是将此类问题归结为契约的不完善,没有给出具体的分担方法。本文基于Fama基金业绩归属理论,创新地运用博弈论的方法依据信息完全性研究了不同条件下基金经理和投资者如何分担基金的风险,并对均衡结果的实际含义做了进一步的说明。Fama认为组合决定的总体表现是选择投资组合收益和无风险资产收益之差,而总体表现可进一步被分为两个部分——选择和风险,后者测量了承担正风险所产生的收益。如果投资者的组合具有目标风险水平,基于风险的总体表现部分可分配给投资者和经理人,但未解决风险回报该采用何种比例进行划分。本文是对该理论的扩展和完善,通过合适的经济学模型求解出分解风险回报的具体比例。经理人和投资者所承担的风险将对各自获得的效用产生重大影响,合理的风险分担本质上是为了参与人能基于效用最大化原则获取合理的效用水平,故本文首先建立了参与者以风险程度为参数的效用函数,通过博弈论的方法解决了关于固定效用如何在投资者和经理人之间分配的问题。依据信息的完全性和参与者行动的同时性,本文主要讨论了完全信息动态博弈、双边不完全信息静态博弈、单边不完全信息动态博弈三种博弈条件下的均衡解,对应了三种不同类型纳什均衡解。进一步地,通过效用理论的解析,求解出参与双方在各自效用最大化和博弈均衡的条件下应该承担的风险程度。结果表明：参与人的风险偏好、耐心程度、基金规模、管理费率、信息完全性、市场类型等因素都对风险分担的结果产生影响。
[Abstract]:Fund managers and investors are the two main bodies discussed in this paper. There are both cooperative and conflicting interests between them. About the benefit and risk sharing between them, the current research mainly adopts the principal-agent theory, but this theory only ascribes this kind of problem to the contract imperfection, does not give the concrete sharing method. Based on Fama's theory of performance attribution, this paper studies how fund managers and investors share the risk of the fund under different conditions by using game theory. Fama thinks that the overall performance of portfolio decision is the difference between portfolio return and risk-free asset return, and the overall performance can be further divided into two parts: choice and risk. The latter measures the benefits of taking positive risks. If the portfolio of investors has the target risk level, the overall performance based on risk can be allocated to investors and managers, but the proportion of return on risk should be divided. This paper is an extension and improvement of the theory, through the appropriate economic model to solve the specific proportion of decomposition risk return. The risks taken by managers and investors will have a significant impact on their respective utility, and reasonable risk sharing is essentially for participants to obtain a reasonable level of utility based on the principle of utility maximization. Therefore, this paper first establishes the utility function with the risk degree as the parameter, and solves the problem of how to distribute the fixed utility between the investor and the manager by the method of game theory. According to the completeness of information and the simultaneous action of participants, this paper mainly discusses the equilibrium solutions under the conditions of complete information dynamic game, bilateral incomplete information static game and unilateral incomplete information dynamic game. Three different types of Nash equilibrium solutions are obtained. Furthermore, through the analysis of utility theory, the degree of risk should be taken by both parties under the conditions of maximum utility and equilibrium of game. The results show that risk appetite, patience, fund size, management fee rate, completeness of information and market type all affect the results of risk sharing.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.39
[Abstract]:Fund managers and investors are the two main bodies discussed in this paper. There are both cooperative and conflicting interests between them. About the benefit and risk sharing between them, the current research mainly adopts the principal-agent theory, but this theory only ascribes this kind of problem to the contract imperfection, does not give the concrete sharing method. Based on Fama's theory of performance attribution, this paper studies how fund managers and investors share the risk of the fund under different conditions by using game theory. Fama thinks that the overall performance of portfolio decision is the difference between portfolio return and risk-free asset return, and the overall performance can be further divided into two parts: choice and risk. The latter measures the benefits of taking positive risks. If the portfolio of investors has the target risk level, the overall performance based on risk can be allocated to investors and managers, but the proportion of return on risk should be divided. This paper is an extension and improvement of the theory, through the appropriate economic model to solve the specific proportion of decomposition risk return. The risks taken by managers and investors will have a significant impact on their respective utility, and reasonable risk sharing is essentially for participants to obtain a reasonable level of utility based on the principle of utility maximization. Therefore, this paper first establishes the utility function with the risk degree as the parameter, and solves the problem of how to distribute the fixed utility between the investor and the manager by the method of game theory. According to the completeness of information and the simultaneous action of participants, this paper mainly discusses the equilibrium solutions under the conditions of complete information dynamic game, bilateral incomplete information static game and unilateral incomplete information dynamic game. Three different types of Nash equilibrium solutions are obtained. Furthermore, through the analysis of utility theory, the degree of risk should be taken by both parties under the conditions of maximum utility and equilibrium of game. The results show that risk appetite, patience, fund size, management fee rate, completeness of information and market type all affect the results of risk sharing.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.39
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