对冲基金及另类投资最优决策问题的若干研究

发布时间：2018-12-29 21:13

【摘要】：在我国经济进入新常态,金融市场低利率和优质资产匮乏的背景下,另类投资尤其是对冲基金逐渐开始成为投资市场的重要组成部分,扩大了投资者的选择范围。对冲基金等另类投资的定价及最优决策的研究对基金管理公司、投资者及市场监管者而言均具有重要意义。本文基于连续时间随机最优控制相关理论,从对冲基金经理人及另类投资投资者两个角度出发,探讨对冲基金经理人的最优决策与薪酬机制定价相关问题,以及投资者的最优投资消费决策与投资期权定价相关问题。首先,建立风险中性经理人最优努力程度及薪酬定价模型。为最优化其总薪酬,经理人需要在获得的超额收益与努力成本间做出权衡,同时兼顾基金清算的不利影响以及高水位线合约的期权属性。经理人最优努力程度在基金内部清算边界处达到最大,而当基金净值靠近高水位线时,经理人的努力程度仍在减弱,但是减弱的速度变慢。由内部清算条件及高水位线合约激发的最优努力程度能够在缓解基金清算可能性的同时维持基金的长期经营价值。单位努力成本、投资回报波动率、外部清算概率及内部清算边界等的增加都将减小经理人的努力程度,且管理费率变动对努力程度及价值函数的影响比绩效费率更大。其次,建立随机市场条件下对冲基金经理人最优风险选择及薪酬定价模型。模型假定市场状态服从双状态马尔科夫过程,且经理人风险资产投资策略的超额收益与波动率在不同状态下取值不同。不同状态下的最优杠杆选择、经理人风险态度及高水位线合约价值均会反映市场条件状态转换的可能性,使得模型结果与单状态模型结果有所不同。当金融危机更有可能发生时,经理人在危机到来前和来临后通常均倾向于增加风险资产的投资比例,以此弥补危机带来的总薪酬的潜在损失。危机时期,对冲基金的最优杠杆比例显著低于繁荣时期。同时,危机时期投资者的大量赎回及尾部风险事件发生的可能性均会促使经理人增加杠杆比例。最后,建立部分信息下另类投资风险厌恶投资者的最优投资消费及期权定价模型。运用滤波理论及消费效用无差别定价原理,通过求解具有自由边界条件的高维偏微分方程,推导出期权的隐含价值,并确定投资者的最优投资执行边界及消费和资产分配最优决策。模型结论能够对投资期权估值及资产管理提供一定参考。投资回报波动率对实物期权价值有两种相反作用,具有很强不确定性的另类投资产品并不适合风险厌恶水平较高的保守型投资者。平均回报率的估计偏差同期权的隐含价值成递减关系,另类投资信息披露的不完全会显著影响隐含期权价值。而当另类投资与二级市场中的市场组合收益呈负相关关系时,市场组合的风险对冲效果更好。
[Abstract]:Under the background of low interest rate and lack of high quality assets in the financial market, the alternative investment, especially hedge funds, has gradually become an important part of the investment market, which has expanded the scope of investors' choice. Research on pricing and optimal decisions for alternative investments such as hedge funds is important for fund managers, investors and market regulators. Based on the theory of continuous time stochastic optimal control, this paper discusses the issues related to the optimal decision of hedge fund managers and the pricing of compensation mechanism from the perspectives of hedge fund managers and alternative investors. And investors' optimal investment consumption decision and investment option pricing issues. First of all, establish the risk neutral manager optimal effort and salary pricing model. In order to optimize their total compensation, managers need to balance the excess income and the cost of effort, as well as the adverse effects of fund liquidation and the option attributes of high water level contracts. The best efforts of managers are highest at the internal liquidation boundary of the fund, but when the net value of the fund is near the high water level, the effort of the manager is still weakening, but the speed of the abatement is becoming slower. The optimal degree of effort inspired by internal liquidation conditions and high water level contracts can alleviate the possibility of fund liquidation while maintaining the long-term operating value of the fund. The increase of unit effort cost, investment return volatility, external liquidation probability and internal liquidation boundary will reduce the effort of managers, and the change of management fee rate has more influence on effort and value function than on performance rate. Secondly, the optimal risk selection and compensation pricing model for hedge fund managers under stochastic market conditions are established. The model assumes that the market state is based on the two-state Markov process, and the excess return and volatility of the manager's venture asset investment strategy are different in different states. The optimal lever selection, manager's risk attitude and the value of high water level contract can all reflect the possibility of market condition state transition, which makes the model result different from the single state model result. When a financial crisis is more likely, managers tend to increase the proportion of risky assets they invest before and after the crisis, making up for the potential loss of total pay from the crisis. In times of crisis, hedge funds' optimal leverage ratios were significantly lower than in boom times. At the same time, the risk of investor redemptions and tail risk events during the crisis will encourage managers to increase leverage. Finally, the optimal investment consumption and option pricing model of alternative investment risk averse investors under partial information are established. The implicit value of options is derived by solving the high dimensional partial differential equations with free boundary conditions by using the filtering theory and the principle of non-differential pricing of consumer utility. The optimal investment execution boundary and the optimal decision of consumption and asset allocation are determined. The conclusion of the model can provide some reference for the valuation of investment options and asset management. Volatility of return on investment has two opposite effects on the value of real options. Alternative investment products with strong uncertainty are not suitable for conservative investors with high risk aversion. The estimated deviation of average return is decreasing with the implied value of option, and the incomplete disclosure of alternative investment information will significantly affect the value of implied option. When the alternative investment is negatively correlated with the return of the market portfolio in the secondary market, the risk hedging effect of the market portfolio is better.
【学位授予单位】：浙江大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F224;F832.51

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