摘要
假设管理者具有市场能力,研究委托组合投资管理中线性合同的激励作用.与以前研究结论不同的是,在管理者具有市场能力时,管理者的资产选择影响市场的均衡价格,线性合同能激励管理者去努力搜集信息.风险厌恶的管理者的最优努力水平是其风险分享比例的增函数,说明线性合同不但可以使风险在投资者和管理者之间进行最优分担,而且可以激励管理者的努力水平.
We study the incentive of a linear contract in the delegated portfolio management when the manager possesses market power. A linear contract provides incentives to the manager to work at acquiring information when the manager possesses market power, which affects the equilibrium price of securities in the market. Our conclusion is different to the exiting studies. The optimal effort is an increase function of the ratio of risk sharing to a risk-averse manager. Linear contract not only can make the optimal risk allocation between the investor and the manager, also incentive the manager to work hard.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2007年第10期48-53,共6页
Systems Engineering-Theory & Practice
基金
教育部新世纪优秀人才支持计划(NCET-05-0811)
关键词
市场能力
均衡价格
合同
委托组合投资管理
激励
market power
equilibrium price
contract
delegated portfolio management
incentive
