投资组合管理公司排名竞争动态博弈分析  

A Dynamic Game Model of Security-investment Fund Tournament

作　　者：刘华芳[1] 党兴华[1] 

机构地区：[1]西安理工大学工商管理学院,陕西西安710054

出　　处：《现代财经（天津财经大学学报）》2006年第11期64-67,共4页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：陕西省社会科学基金资助项目(2005KR32)

摘　　要：构建投资组合管理人在隐性激励下对投资组合风险控制过程的动态博弈模型,并通过这个模型推导投资组合管理人在考评期内最优策略的选择以及策略转换的条件,证明排名领先的投资组合管理人更愿意采取低风险策略并保持这个策略直到考评期结束或者其排名领先丧失,而排名落后的投资组合管理人更愿意采取高风险策略。This paper constructs a dynamic game model in which fund managers facing implicit incentive control portfolio risk. The model expounds equilibrium condition of strategy managers selected and the switch between strategies at evaluation period. The equilibrium is that the funds managers having advantage of rank use strategy of low risk and keeps it until the end or lost of this advantage, the funds managers having disadvantage of rank use strategy of high risk.

关 键 词：投资组合 隐性激励 风险选择策略 动态博弈 

分 类 号：F830.8[经济管理—金融学]