总风险约束的委托组合投资管理激励契约
发布时间：2018-08-30 09:21
【摘要】：假设管理者投资组合受总风险约束,通过委托代理模型和数值分析研究委托组合投资管理中基于业绩的线性契约激励效应.研究结论表明:在总风险约束下,基于业绩的线性契约能激励管理者努力搜集私人信息;风险厌恶的管理者的期望效用和最优努力水平是其收益分享比例的增函数;总风险约束下的管理者的努力水平低于不存在风险约束时的努力水平,风险约束导致管理者信息价值的损失.研究结论从一个侧面解释了委托组合投资管理实务中线性契约被广泛采用的原因,并为私募基金风险管理和契约设计提供参考.
[Abstract]:Assuming that the manager's portfolio is constrained by the total risk, this paper studies the performance-based linear contract incentive effect in the principal-agent model and numerical analysis. The results show that: under total risk constraints, performance-based linear contracts can motivate managers to collect private information, and the expected utility and optimal level of effort of risk-averse managers are an increasing function of their revenue-sharing ratio. The effort level of managers under total risk constraints is lower than that without risk constraints, and risk constraints lead to the loss of managers' information value. The conclusion explains the reason why the linear contract is widely used in the practice of portfolio management, and provides a reference for the risk management and contract design of private equity fund.
【作者单位】： 江西财经大学信息管理学院;电子科技大学经济与管理学院;
【基金】：国家自然科学基金(71161013) 教育部人文社科基金(10YJC630203) 江西省高校人文社科基金(GL1121) 江西财经大学校级重点课题(200903)
【分类号】：F224;F830.59
[Abstract]:Assuming that the manager's portfolio is constrained by the total risk, this paper studies the performance-based linear contract incentive effect in the principal-agent model and numerical analysis. The results show that: under total risk constraints, performance-based linear contracts can motivate managers to collect private information, and the expected utility and optimal level of effort of risk-averse managers are an increasing function of their revenue-sharing ratio. The effort level of managers under total risk constraints is lower than that without risk constraints, and risk constraints lead to the loss of managers' information value. The conclusion explains the reason why the linear contract is widely used in the practice of portfolio management, and provides a reference for the risk management and contract design of private equity fund.
【作者单位】： 江西财经大学信息管理学院;电子科技大学经济与管理学院;
【基金】：国家自然科学基金(71161013) 教育部人文社科基金(10YJC630203) 江西省高校人文社科基金(GL1121) 江西财经大学校级重点课题(200903)
【分类号】：F224;F830.59
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