相对业绩报酬契约及其对基金经理投资决策的影响  

Relative Performance Contracts and Its Effect on Fund Manager's Investment Policy

作　　者：孙静[1] 高建伟[2] 

机构地区：[1]北京机械工业学院工商管理分院,北京100085 [2]华北电力大学工商管理学院,北京102206

出　　处：《管理工程学报》2006年第4期67-72,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70471075)

摘　　要：在界定了信息结构和基金经理投资策略的基础上,建立了一个规划模型,证明了用该模型求解的最优相对业绩契约下,符合基金投资人意愿的战略组合必然构成基金经理子博弈中的一个纳什均衡。算例表明,若基金经理之间不存在合谋,这个纳什均衡通常也构成占优战略均衡。After information structure and the investment strategy sets have been described, this paper constructs a programming model used to solve the optimal relative performance contract. It is proved that under the contract that the constraints of the model can be satisfied, the strategy combination that the investors wish to see must form a Nash equilibrium in the managers＇ subgame. It is further indicated by the numerical example that this equilibrium often constitutes a dominant strategic equilibrium as long as the managers do not collaborate with each other.

关 键 词：投资基金 相对业绩 资产管理报酬 投资决策 

分 类 号：F830.91[经济管理—金融学]