| 贺翔.委托资产组合激励合约在公募基金中的应用研究[J].,2012,13(3):46-51 |
| 委托资产组合激励合约在公募基金中的应用研究 |
| A Study of Elegated Portfolio Incentive Contract |
| 投稿时间：2012-04-08 |
| DOI： |
| 中文关键词: 委托代理 投资组合 激励 薪酬合约 |
| English Keywords:agent elegated portfolio incentive salary contract |
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| 中文摘要: |
| 文章从委托代理模型出发，研究基于绝对和相对业绩的委托资产组合最优薪酬合约及其对管理人的激励作用。研究表明，管理人的最优努力水平是其剩余价值分享额度的增函数，线性合约能激励管理人的努力水平。基于相对业绩的薪酬合约能显著提高管理人的剩余价值分享额度和最优努力水平，更好的激励管理人的行动。此外，在绝对业绩的薪酬合约中投资人代理成本与管理人的风险厌恶程度、基金投资组合的风险正相关；而在相对业绩的薪酬合约下，随着管理人风险厌恶程度的增加，代理成本将先增后减，最后稳定在一个相对较低的范围内。 |
| English Summary: |
| The paper studies absolute and relative performance optimal salary contracts and the incentive of contracts by developing an agent model.The study finds that the optimal effort level of managers is positively correlated with the ratio of sharing,and linear contracts can stimulate magagers to work harder.Compared with absolute performance salary contracts,the relative performance salary contracts increase the ratio of sharing and optimal effort level significantly.Moreover,agent cost is positively correlated with the risk of fund investing and the managers’ risk aversion level in absolute performance salary contracts;while in the relative performance salary contracts,the agent cost firstly increases with managers’ risk aversion level,and then reverses,finally it stabilizes at a lower level. |
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