最低财富约束下隐性激励对机构投资策略的影响  

Impact of implicit incentives on investment strategy of institutional investors under minimum wealth constraint

作　　者：盛积良 杨雁雁 Sheng Jiliang;Yang Yanyan(School of Statistics,Jiangxi University of Finance and Economics,Nanchang 330013,China)

机构地区：[1]江西财经大学统计学院,江西南昌330013

出　　处：《系统工程学报》2023年第4期520-539,共20页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71973056,71561011);国家自然科学基金重点资助项目(71531003).

摘　　要：在最低财富约束下,构建一个引入隐性激励的动态投资组合模型,探讨最低财富约束和隐性激励对机构投资策略的影响.通过鞅方法求解机构最优投资组合策略,发现不存在最低财富约束与中、低财富约束水平下,只有在机构管理的资产财富价值接近资金流动跳跃阈值时,隐性激励才会对机构最优投资策略产生影响;高约束水平下隐性激励不影响最优投资策略,中等约束水平下隐性激励对最优投资策略的影响与不存在最低财富约束和低约束水平下隐性激励的作用相反.进一步分析发现,最低财富约束造成机构的效用损失,其效用损失随着隐性激励强度增大而增大,随着隐性激励不对称程度增加而降低.This paper constructs a dynamic portfolio model that investigates the impact of minimum wealth constraint and implicit incentives on institutional investor’s investment strategy.By solving the optimal insti-tutional portfolio strategy with the martingale method,this paperfinds that in the absence of minimum wealth constraint,or in the presence of medium or low wealth constraint,the implicit incentives affect the optimal investment strategy only when the wealth value managed by the institution is close to the threshold of capi-talflow jump.The implicit incentives do not affect the optimal investment strategy under the high constraint level;the effect of the implicit incentives on the optimal investment strategy under medium constraint level is opposite to that under low constraint level or in the absence of minimum wealth constraint.Moreover,the minimum wealth constraint causes utility loss to institutions,which increases with implicit incentive intensity and decreases with implicit incentive asymmetry.

关 键 词：最低财富约束 隐性激励 最优投资策略 期望效用 

分 类 号：F830[经济管理—金融学]