發(fā)布時間：2018-07-14 17:43

【摘要】：基金經(jīng)理和投資者是本文討論的兩個參與主體,他們間存在著既合作又沖突的利益關系。關于兩者的利益與風險的分擔,目前的研究主要采取委托代理理論,但該理論只是將此類問題歸結為契約的不完善,沒有給出具體的分擔方法。本文基于Fama基金業(yè)績歸屬理論,創(chuàng)新地運用博弈論的方法依據(jù)信息完全性研究了不同條件下基金經(jīng)理和投資者如何分擔基金的風險,并對均衡結果的實際含義做了進一步的說明。Fama認為組合決定的總體表現(xiàn)是選擇投資組合收益和無風險資產(chǎn)收益之差,而總體表現(xiàn)可進一步被分為兩個部分——選擇和風險,后者測量了承擔正風險所產(chǎn)生的收益。如果投資者的組合具有目標風險水平,基于風險的總體表現(xiàn)部分可分配給投資者和經(jīng)理人,但未解決風險回報該采用何種比例進行劃分。本文是對該理論的擴展和完善,通過合適的經(jīng)濟學模型求解出分解風險回報的具體比例。經(jīng)理人和投資者所承擔的風險將對各自獲得的效用產(chǎn)生重大影響,合理的風險分擔本質上是為了參與人能基于效用最大化原則獲取合理的效用水平,故本文首先建立了參與者以風險程度為參數(shù)的效用函數(shù),通過博弈論的方法解決了關于固定效用如何在投資者和經(jīng)理人之間分配的問題。依據(jù)信息的完全性和參與者行動的同時性,本文主要討論了完全信息動態(tài)博弈、雙邊不完全信息靜態(tài)博弈、單邊不完全信息動態(tài)博弈三種博弈條件下的均衡解,對應了三種不同類型納什均衡解。進一步地,通過效用理論的解析,求解出參與雙方在各自效用最大化和博弈均衡的條件下應該承擔的風險程度。結果表明：參與人的風險偏好、耐心程度、基金規(guī)模、管理費率、信息完全性、市場類型等因素都對風險分擔的結果產(chǎn)生影響。
[Abstract]:Fund managers and investors are the two main bodies discussed in this paper. There are both cooperative and conflicting interests between them. About the benefit and risk sharing between them, the current research mainly adopts the principal-agent theory, but this theory only ascribes this kind of problem to the contract imperfection, does not give the concrete sharing method. Based on Fama's theory of performance attribution, this paper studies how fund managers and investors share the risk of the fund under different conditions by using game theory. Fama thinks that the overall performance of portfolio decision is the difference between portfolio return and risk-free asset return, and the overall performance can be further divided into two parts: choice and risk. The latter measures the benefits of taking positive risks. If the portfolio of investors has the target risk level, the overall performance based on risk can be allocated to investors and managers, but the proportion of return on risk should be divided. This paper is an extension and improvement of the theory, through the appropriate economic model to solve the specific proportion of decomposition risk return. The risks taken by managers and investors will have a significant impact on their respective utility, and reasonable risk sharing is essentially for participants to obtain a reasonable level of utility based on the principle of utility maximization. Therefore, this paper first establishes the utility function with the risk degree as the parameter, and solves the problem of how to distribute the fixed utility between the investor and the manager by the method of game theory. According to the completeness of information and the simultaneous action of participants, this paper mainly discusses the equilibrium solutions under the conditions of complete information dynamic game, bilateral incomplete information static game and unilateral incomplete information dynamic game. Three different types of Nash equilibrium solutions are obtained. Furthermore, through the analysis of utility theory, the degree of risk should be taken by both parties under the conditions of maximum utility and equilibrium of game. The results show that risk appetite, patience, fund size, management fee rate, completeness of information and market type all affect the results of risk sharing.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.39

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