中国开放式证券投资基金管理费率的研究
发布时间：2019-04-12 15:45
【摘要】：我国开放式证券投资基金大部分按基金净值的固定比例提取管理费率,这种结构单一、缺乏弹性的提取方式使得基金管理公司无论服务水平或经营业绩有多大差异,却照样收取同样的管理费用。这样不仅对投资者不负责任,同样于业绩好、管理完善的基金管理公司而言也极其不公平。长此已久将导致一方面投资人对基金管理公司良莠不分,一方面基金管理公司缺乏良好的竞争机制和激励机制,这种情况既不利于基金管理公司的优胜劣汰,也不利于证券投资基金市场的可持续性发展。 针对这种情况,本文借鉴期权思想,利用二叉树定价模型,提出一种利用美式期权定价计算与绩效挂钩的最优管理费率方法。文中主要以美式期权为基础,研究在最低收益率目标下的管理费率和上下限收益率目标限制下的管理费率,即将基金管理人的某种最低承诺也就是投资人所要求的最低收益率目标视为一张美式看跌期权,根据不同的最低收益率目标利用二叉树定价模型计算期权价格,从而求出在不同最低收益率目标下的管理费率。接着考虑到公平以及更好的激励基金管理人,基金管理人要求投资人划定一个最高收益目标,当基金收益高于这个最高收益目标时基金管理人获得超出最高收益目标的利益,本文将这个最高收益目标看成一份美式看涨期权,同样利用二叉树定价模型计算不同最高收益率目标下的期权价格,而看跌期权与看涨期权的差值即为上下限收益率目标限制下的管理费率。比较上述两种不同的管理费率形式,以及不能赎回B-S模型计算得到的管理费率,分析比较发现依据美式期权思想,利用二叉树模型计算的上下限收益率目标限制下的管理费率即为本文所要求的最优管理费率。
[Abstract]:Most of the open-ended securities investment funds in our country extract the management rate according to the fixed proportion of the net value of the fund. The single structure and the inelastic extraction method make the fund management companies have no matter how different the service level or the operating performance is. But still charge the same management fee. This is not only irresponsible to investors, also good performance, well-managed fund managers are also extremely unfair. For a long time, it will lead, on the one hand, to the difference between investors and fund management companies, and on the other hand to the lack of a good competition mechanism and incentive mechanism for fund management companies, which is not conducive to the survival of the fittest in fund management companies. It is also not conducive to the sustainable development of the securities investment fund market. In view of this situation, this paper proposes an optimal management rate method based on American option pricing and performance-linked by using the binomial tree pricing model for reference to the option idea. Based on the American option, this paper studies the management rate under the minimum yield target and the management rate under the upper and lower limit rate of return target. That is to say, some minimum commitment of fund managers, that is, the minimum yield target required by investors, is regarded as an American put option. According to different minimum yield targets, option prices are calculated by using binary tree pricing model. So as to find out the management rate under the different minimum rate of return target. Then, considering fair and better incentives for fund managers, the fund managers ask investors to set a maximum income target, and when the fund gains more than this maximum income target, the fund manager gains benefits beyond the maximum income target. In this paper, the maximum return target is regarded as an American call option, and the pricing model of binary tree is also used to calculate the price of options under different maximum yield targets. The difference between put option and call option is the management rate under the target limit of upper and lower return rate. Comparing the above two different management rates and the management rates calculated by the non-redeemable BES model, it is found that according to the American option idea, the management rates calculated by the above-mentioned two different management rates are analyzed and compared. Using the binary tree model to calculate the management rate under the target limit of the upper and lower limit rate of return is the optimal management rate required in this paper.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
本文编号：2457143
[Abstract]:Most of the open-ended securities investment funds in our country extract the management rate according to the fixed proportion of the net value of the fund. The single structure and the inelastic extraction method make the fund management companies have no matter how different the service level or the operating performance is. But still charge the same management fee. This is not only irresponsible to investors, also good performance, well-managed fund managers are also extremely unfair. For a long time, it will lead, on the one hand, to the difference between investors and fund management companies, and on the other hand to the lack of a good competition mechanism and incentive mechanism for fund management companies, which is not conducive to the survival of the fittest in fund management companies. It is also not conducive to the sustainable development of the securities investment fund market. In view of this situation, this paper proposes an optimal management rate method based on American option pricing and performance-linked by using the binomial tree pricing model for reference to the option idea. Based on the American option, this paper studies the management rate under the minimum yield target and the management rate under the upper and lower limit rate of return target. That is to say, some minimum commitment of fund managers, that is, the minimum yield target required by investors, is regarded as an American put option. According to different minimum yield targets, option prices are calculated by using binary tree pricing model. So as to find out the management rate under the different minimum rate of return target. Then, considering fair and better incentives for fund managers, the fund managers ask investors to set a maximum income target, and when the fund gains more than this maximum income target, the fund manager gains benefits beyond the maximum income target. In this paper, the maximum return target is regarded as an American call option, and the pricing model of binary tree is also used to calculate the price of options under different maximum yield targets. The difference between put option and call option is the management rate under the target limit of upper and lower return rate. Comparing the above two different management rates and the management rates calculated by the non-redeemable BES model, it is found that according to the American option idea, the management rates calculated by the above-mentioned two different management rates are analyzed and compared. Using the binary tree model to calculate the management rate under the target limit of the upper and lower limit rate of return is the optimal management rate required in this paper.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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