财富管理最优权益重构问题研究  

Optimal Portfolio Construction in Family Trust

作　　者：王增武[1] 黄国平[1] 夏炎[2,3] WANG Zengwu;HUANG Guoping;XIA Yan(Institute of Finance and Banking,Chinese Academy of Social Sciences,Beijing,100028,China;Graduate School of Chinese Academy of Social Sciences,Beijing,102488,China;Department of Private Banking,Bank of China,Beijing,100027,China)

机构地区：[1]中国社会科学院金融研究所 [2]中国社会科学院研究生院 [3]中国银行财富管理与私人银行部

出　　处：《金融评论》2018年第3期83-93,125,共12页Chinese Review of Financial Studies

摘　　要：家族信托等财富传承工具在实践中备受民营企业主等高净值客户的青睐,然而,现有理论文献中对财富传承受益人的受益规模和时间安排等权益重构策略的研究尚属空白。鉴于此,本文以家庭生产函数下的利他行为研究为基础,以家族信托为例给出财富管理最优权益重构策略的一般分析框架、显式求解和实证分析。实证结果表明财富管理最优权益重构策略是第二类的有条件利他行为,政策含义是保障财富管理权益重构策略利他行为外延的要义在于制度而非其他。High Net Worth Individual customer of wealth management in China is showing more and more interest in family trust as a tool for wealth inheritance.Based on a utility maximization framework,the article explores the optimal strategy for portfolio construction with an altruistic family leader.It also exemplifies the strategy with numerical simulation with a three-generation case.The article also discusses the institutional conditions for the implementation of the optimal strategy.

关 键 词：家庭生产函数 财富管理 权益重构 利他行为 

分 类 号：D14[政治法律—政治学] D91[政治法律—国际共产主义运动]