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假设管理者投资组合受总风险约束,通过委托代理模型和数值分析研究委托组合投资管理中基于业绩的线性契约激励效应.研究结论表明:在总风险约束下,基于业绩的线性契约能激励管理者努力搜集私人信息;风险厌恶的管理者的期望效用和最优努力水平是其收益分享比例的增函数;总风险约束下的管理者的努力水平低于不存在风险约束时的努力水平,风险约束导致管理者信息价值的损失.研究结论从一个侧面解释了委托组合投资管理实务中线性契约被广泛采用的原因,并为私募基金风险管理和契约设计提供参考.
Assuming that the manager’s portfolio is constrained by the total risk, the performance-based linear contract incentive effect in the entrusted portfolio investment management is studied through the principal-agent model and the numerical analysis.The research results show that under the condition of total risk, the performance-based linear contract can inspire managers Efforts to collect private information; the expected utility and optimal level of risk-averse managers is an increasing function of their share of revenue sharing; the level of effort of managers under total risk constraints is lower than the level of effort in the absence of risk constraints; Which leads to the loss of the value of manager’s information.The research conclusion explains the reason why linear contract is widely used in the entrusted portfolio investment management practice from one aspect and provides references for the risk management and contractual design of private equity fund.