委托投资中的最优风险分担合同  

The Optimal Risk-sharing Contract in the Delegated Investment

作　　者：胡昌生[1] 丰赋[1] 黄卓[1] 

机构地区：[1]武汉大学商学院金融系,湖北武汉430072

出　　处：《预测》2003年第3期62-64,共3页Forecasting

摘　　要：在通常的委托 代理问题中,由于代理人存在道德风险,委托人通常采用线性支付合同来激励代理人的行动。本文在委托 代理框架下,讨论了委托投资的最优线性分担合同。我们发现,线性合同主要并不是用作激励,而是把一部分风险转移给代理人,以达到风险的帕雷托最优配置。在一定假设条件下,我们求出了问题的显式解,并对模型的解释能力进行了考查。In general principalagent model, the principal usually use the linearpayment contract to incentive the agent for the moralhazard of the agent. We discuss the linearpayment contract under the frame of principalagent model and find that the main function of it is transfer parts of the risk to the agent so as to achieve the Pareto optimality rather than incentive the agent. Under a certain assumptions, we work out the closedform solution of this model and test the explanation of this model.

关 键 词：委托代理 风险分担 投资基金 

分 类 号：F830.91[经济管理—金融学]