企业年金基金投资管理人的激励机制优化——基于多任务委托代理模型的研究

Design of the Incentive Mechanism to the Investment Manager of Enterprise Annuity Fund Based on the Research of Multi-task Principal-agent Model

企业年金基金的信托型多层委托代理的组织形式,决定了对其投资管理人设计一个有效的激励机制的重要性。将企业年金基金的投资管理人在基金运营管理中收益性、风险性和流动性三个方面的协调工作归结为保值和增值两个主要任务,构建企业年金基金投资管理人多任务委托代理模型,并对模型求解,探讨了企业年金基金投资管理人在基金财产的保值和增值两个维度具有相对独立性和相互替代下的激励优化问题。

The multi-agency organization of trust occupational pension fund decideds the importance of design an effective incentive mechanism of its investment manager. In this paper, we think that the job which coordinate the profitability, risk and liquidity of the investment manager in the management of operating the occupational pension fund should be attributed to two main tasks preserve and increase the value added . We constructed the multi task principal agent model of occupational pension fund investment manager . And solving the equation, we found that the investment manager is independence in the preserve and increase the value of fund property and alternatives to each other on the incentive optimization problem.