摘要
本文考虑在离散投资环境中,基金投资委托人与管理人之间的线性最优契约问题.在指数效用函数和管理人道德风险的前提下,将问题描述为多目标规划模型,通过运用多目标优化条件求出问题的解析最优解,即最优线性契约和最优投资组合.进一步论证表明,基金管理人的最优业绩报酬应包含部分固定费用、管理成本以及超额投资收益,同时证明了管理人的最优投资组合符合经典的两基金分离定理形式.
This paper investigates the optimal principal-agent contract problem, where the principal is an individual investor and the agent is a professional fund manager. Given exponential utility functions of both parties, and considering the moral hazard from the agent, the problem is formulated as a multiple criterion programming model. The paper derives out the analytical solutions of the prob- lem through optimization conditions, which include the optimal contract and the optimal portfolios. It proves that the optimal profit of the agent should involve a fixed fee, a management cost and a fraction of the excess expected return. The optimal portfolio of the agent is turned out to be consistent with the classical two-found separation theorem.
出处
《系统工程学报》
CSCD
北大核心
2009年第5期602-606,共5页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70871124)
国家杰出青年基金资助项目(70825002)
关键词
基金管理
最优契约
投资组合选择
fund management
optimal contract
portfolio selection.
