二次效用函数下的私募股权投资基金契约设计研究

Contract design of private equity funds with a quadratic utility function

有限合伙制作为私募股权投资基金的主流形式,具有避免双重税收、激励程度高、决策效率高等优点,但其与公司制在机制设计上的根本差异还未有明确解释.本文在博弈论框架下,以不满足因子分离性假设的二次效用函数来刻画普通合伙人的风险规避特征,研究有限合伙制的最优契约设计,并与公司制模型进行比较.研究发现固定的管理费对普通合伙人的激励效应为负,极其优秀的普通合伙人在有限合伙制下拥有设计契约的权力,从而以更高的管理费和更低的利润分成比例的形式获取利润,但此时有限合伙制的福利水平低于公司制.一般情况下,两种机制的最优契约及福利对比各不相同,并非某个机制必然占优.

As the main organization type of the private equity funds,limited partnership has many advantages including exemption from double taxation,high incentive,efficiency in decision-making,but the basic difference between it and the company in the mechanism design has not been fully explained.This study explores the optimal contract design by using a quadratic utility function,which does not conform to the assumption of factor separability,to capture the risk aversion characteristics of the general partner in the game theory framework and also compares the results with them under the company mechanism.The findings are that the fixed management fee has negative incentive effect,which induces when the extremely outstanding managers obtain designing contract right under limited partnership,they obtain higher management fee and lower profit ratio,and the social welfare is lower than that under company mechanism.Under ordinary circumstances,the optimal contracts and welfare under two mechanism are different and no one is absolutely better than the other mechanism.