不确定退出时间下委托代理投资组合与费用的选择  

Choice of Portfolios and Fee under Principal-Agent Framework with Uncertain Exit-Time

作　　者：刘冰冰[1] 李仲飞[2] 

机构地区：[1]广东技术师范学院 [2]中山大学管理学院

出　　处：《南方经济》2013年第12期73-82,共10页South China Journal of Economics

基　　金：国家自然科学基金重点项目(71231008);广东省人文社会科学重点研究基地重大项目(09JDXM79019)的资助

摘　　要：在实际的投资问题中,投资者一般对投资期的长短或者何时终止投资并不确定,大多只能事先做个预期。随着可随时申购随时赎回的开放式基金规模的扩大,一些问题,比如基金的收费是否合理、能否有效激励基金经理人,基金所选的投资组合是否最优等也引起了投资者的关注。本文考虑可观测代理人行为和不可观测代理人行为两种情况下的不确定退出时间委托代理问题,给出最优投资组合及最优费用的显式表达式。然后利用几只开放式基金数据对模型结果进行验证。In the real world,an investor is usually not sure about when he or she will exit investment. She can only make estimation prior. With the grow th of the scale of open-end funds w hich can be subscribed and redeemed at any time. Investors began to pay more attention on problems such as w hether the fee is reasonable,the payment can encourage the agent or not. Others w ould consider if the portfolio that the agent chooses is the best one. This paper considers the principal-agent problem w ith uncertain exit-time under tw o cases: the action of the agent is observable and unobservable. We derive close-form expressions of the optimal portfolio and the best fee. Finally an empirical analysis is given based on the data of some open-end funds in China.

关 键 词：不确定退出时间 委托人 代理人 费用 

分 类 号：F830.59[经济管理—金融学]