基金经理人相对业绩激励契约

Fund Managers′ Relative Performance-Based Incentive Contract

阐述了基金经理人激励契约模型的假设,分析了基金经理人的投资决策和委托人设计激励契约的机制.在较宽松的假设基础上,建立证券投资基金的委托 代理关系的激励契约模型,给出激励契约最优解的一阶条件,将模型推广到投资人为风险回避型的情况;并揭示在一定条件下,相对业绩报酬结构是对基金经理人的最优激励契约.

The assumptions of fund managers′ incentive contract model are first expounded,and the investment decisions of agents and the design of principal′s incentive contract are in detail analyzed in this paper.Based on some more relaxed assumptions, an incentive contract model for the principal-agent relation of securities investment fund is proposed and the optimal conditions for the solution to the model are derived.Furthermore,the model is extended to the case of risk-averse principals and it is revealed that a relative performance-based reward schemes may be the optimal incentive contract of principals with fund managers in some cases.