相对业绩报酬契约及其对基金经理投资决策的影响

Relative Performance Contracts and Its Effect on Fund Manager's Investment Policy

在界定了信息结构和基金经理投资策略的基础上,建立了一个规划模型,证明了用该模型求解的最优相对业绩契约下,符合基金投资人意愿的战略组合必然构成基金经理子博弈中的一个纳什均衡。算例表明,若基金经理之间不存在合谋,这个纳什均衡通常也构成占优战略均衡。

After information structure and the investment strategy sets have been described, this paper constructs a programming model used to solve the optimal relative performance contract. It is proved that under the contract that the constraints of the model can be satisfied, the strategy combination that the investors wish to see must form a Nash equilibrium in the managers＇ subgame. It is further indicated by the numerical example that this equilibrium often constitutes a dominant strategic equilibrium as long as the managers do not collaborate with each other.