委托代理框架下的积极风险预算

在论述了委托代理下的风险预算比没有考虑委托代理关系的风险预算有优越性的基础上,考察了委托代理下的积极风险预算问题,并给出委托代理下风险预算模型,再运用我国封闭式基金数据作了实证,结果发现:①不管是否考虑委托代理关系,随着积极风险总预算值的增加,得到风险配置的基金数目在增加,且给每只基金配置的风险也在增加;②随着积极风险总预算值的增加,委托代理和没有考虑委托代理下对各基金的风险预算差别有减小的趋势;③委托代理下风险预算得到的总积极收益普遍高于没有考虑委托代理关系的风险预算带来的总积极收益。

Active Risk Budgeting Under Principal-Agent Framework

After describing the superiority of risk budgeting under principal-agent framework,this paper firstly investigates the problem of active risk budgeting under principal-agent framework,and puts forward a model on it.Then it performs empirical analysis using data of closed-end fund in China.The results show that: 1.with the increase of total active risk budget,the number of funds to which risk is allocated also increase,and more and more risk to each fund;2.the difference of risk budgeting to each fund has a decreasing trend when total active risk budget increase;3.the total active return resulting from risk budgeting under framework is generally larger than that from risk budgeting considering no principal-agent relationship.