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研究了一类线性费率结构对基金风险承担行为的影响.研究发现,随着基金管理费率不对称程度的增加,基金经理所选择的投资组合偏离基准组合(在本文即指市场组合)的程度将增加.特别地,当因基金的收益小于市场组合的收益而对基金经理的处罚为0,即基金管理费率不对称程度最大时,基金组合将完全偏离市场组合.同时发现,基金经理风险规避系数越小、因基金收益超过市场收益而对基金经理的奖励程度越小,以及证券A(代表基金组合中不同于市场组合的部分)相对市场组合的收益越大而波动越小,则基金组合偏离市场组合的程度也将越大.研究还表明,基金组合偏离市场组合程度的增加不一定导致基金收益的方差的增加,这表明在以前的一些实证研究中用基金收益的方差来度量基金的风险不一定有效,用基金组合偏离基准组合的程度来度量基金的风险更合适.
The paper studies the effect of a class of linear rate structure on the risk-taking behavior of the fund.The study finds that with the increase of asymmetric fund management rate, the portfolio selected by the fund manager deviates from the benchmark portfolio (in this paper refers to the market portfolio) The degree will increase.In particular, when the fund manager’s penalty is 0 because the return of the fund is less than the return of the market portfolio, ie, the fund management rate asymmetry is the largest, the fund portfolio will completely deviate from the market portfolio.At the same time, The smaller the risk aversion coefficient, the smaller the rewards to the fund managers when the fund returns exceed the market returns, and the smaller the fluctuations of the returns of the securities A (representing the part of the fund portfolio different from the market portfolio) relative to the market portfolio, the smaller The greater the deviation of the portfolio from the market portfolio, the study also shows that an increase in the portfolio’s divergence from the market mix does not necessarily lead to an increase in the variance of the fund’s return, indicating that in previous empirical studies the variance of the fund’s return The risk of the fund may not be valid. It is more appropriate to measure the risk of the fund by deviating from the benchmark portfolio.