基于相对业绩和惩罚机制的最优资产配置  

Optimal allocation based on relative performance and penalty scheme

作　　者：殷子涵 董迎辉 王磊[1] YIN Zihan;DONG Yinghui;WANG Lei(School of Mathematical Sciences,SUST,Suzhou 215009,China)

机构地区：[1]苏州科技大学数学科学学院,江苏苏州215009

出　　处：《苏州科技大学学报（自然科学版）》2022年第4期29-34,共6页Journal of Suzhou University of Science and Technology（Natural Science Edition）

基　　金：国家自然科学基金资助项目(12071335);江苏省“333高层次人才培养工程”资助项目。

摘　　要：基于相对业绩评价法来设立基金经理人的管理费。假设基金经理人在到期日收取固定管理费以及终端相对业绩的固定比例的可变管理费。但是,如果终端相对业绩低于某个预先给定的基准时,基金经理人在收取管理费的同时还需支付金额为终端相对业绩低于比较基准部分的固定比例的惩罚金。利用鞅方法和凹化方法求解了以最大化基金经理人管理费的期望效用为目标的最优资产配置问题,给出了最优终端相对业绩的解析解。The fund manager is remunerated through a scheme based on the relative performance of the fund with respect to a benchmark.It is assumed that at maturity time the manager receives a fixed fee and a variable component which is proportional to the terminal relative performance.However,if the relative performance of the fund does not outperform a pre-determined benchmark,the manager should pay penalty of a proportion to the difference between the benchmark and the terminal relative performance.Using the martingale method and a concavification technique,we solved the optimal allocation problem by maximizing the expected utility of the manager’s remuneration and derived the closed-form formula for the optimal terminal relative performance.

关 键 词：相对业绩 惩罚机制 S型效用 凹化 

分 类 号：O211.5[理学—概率论与数理统计]