道德风险下的最优委托理财契约研究

本文考虑在离散投资环境中,基金投资委托人与管理人之间的线性最优契约问题.在指数效用函数和管理人道德风险的前提下,将问题描述为多目标规划模型,通过运用多目标优化条件求出问题的解析最优解,即最优线性契约和最优投资组合.进一步论证表明,基金管理人的最优业绩报酬应包含部分固定费用、管理成本以及超额投资收益,同时证明了管理人的最优投资组合符合经典的两基金分离定理形式.

Optimal contract for delegated portfolio management with moral hazard

This paper investigates the optimal principal-agent contract problem,where the principal is an individual investor and the agent is a professional fund manager.Given exponential utility functions of both parties,and considering the moral hazard from the agent,the problem is formulated as a multiple criterion programming model.The paper derives out the analytical solutions of the problem through optimization conditions,which include the optimal contract and the optimal portfolios.It proves that the optimal profit of the agent should involve a fixed fee,a management cost and a fraction of the excess expected return.The optimal portfolio of the agent is turned out to be consistent with the classical two-found separation theorem.