考虑基金经理过度自信的最优激励契约

Optimal incentive contract based on overconfidence of investment fund manager

从行为金融角度出发,对基金经理过度自信情形下的最优激励契约进行研究.研究结果表明:当基金经理的过度自信水平满足其过度自信容忍度约束时,基金投资者与基金经理获得的收入均超过基金经理完全理性时双方的收入,实现了"双赢";当基金经理的过度自信水平超过其过度自信容忍度时,基金投资者与基金经理双方都会遭受损失,基金投资者将不再雇佣基金经理.基金经理的过度自信容忍度约束随着基金经理风险规避程度及外界影响波动的增大而变得宽松.

This paper researches the optimal incentive contract based on overconfidence of investment fund manager from the behavioral finance view point. The result shows that under the condition that the level of investment fund manager＇ s overconfidence smaller than his overconfidence tolerance, both the investment fund investor and the investment fund manager will win more earnings than that when the fund manager is rational, so they achieve ＂two-wins＂. But if the level of investment fund manager＇ s overconfidence larger than his overconfidence tolerance, both the investor and the fund manager will lose, and the investor will not engage the fund manager. The fund manager＇ s overconfidence tolerance becomes relaxant if the fund manager＇s risk evading degree and the influence fluctuatation from outside increase.