【摘要】：我國(guó)開放式證券投資基金大部分按基金凈值的固定比例提取管理費(fèi)率,這種結(jié)構(gòu)單一、缺乏彈性的提取方式使得基金管理公司無(wú)論服務(wù)水平或經(jīng)營(yíng)業(yè)績(jī)有多大差異,卻照樣收取同樣的管理費(fèi)用。這樣不僅對(duì)投資者不負(fù)責(zé)任,同樣于業(yè)績(jī)好、管理完善的基金管理公司而言也極其不公平。長(zhǎng)此已久將導(dǎo)致一方面投資人對(duì)基金管理公司良莠不分,一方面基金管理公司缺乏良好的競(jìng)爭(zhēng)機(jī)制和激勵(lì)機(jī)制,這種情況既不利于基金管理公司的優(yōu)勝劣汰,也不利于證券投資基金市場(chǎng)的可持續(xù)性發(fā)展。 針對(duì)這種情況,本文借鑒期權(quán)思想,利用二叉樹定價(jià)模型,提出一種利用美式期權(quán)定價(jià)計(jì)算與績(jī)效掛鉤的最優(yōu)管理費(fèi)率方法。文中主要以美式期權(quán)為基礎(chǔ),研究在最低收益率目標(biāo)下的管理費(fèi)率和上下限收益率目標(biāo)限制下的管理費(fèi)率,即將基金管理人的某種最低承諾也就是投資人所要求的最低收益率目標(biāo)視為一張美式看跌期權(quán),根據(jù)不同的最低收益率目標(biāo)利用二叉樹定價(jià)模型計(jì)算期權(quán)價(jià)格,從而求出在不同最低收益率目標(biāo)下的管理費(fèi)率。接著考慮到公平以及更好的激勵(lì)基金管理人,基金管理人要求投資人劃定一個(gè)最高收益目標(biāo),當(dāng)基金收益高于這個(gè)最高收益目標(biāo)時(shí)基金管理人獲得超出最高收益目標(biāo)的利益,本文將這個(gè)最高收益目標(biāo)看成一份美式看漲期權(quán),同樣利用二叉樹定價(jià)模型計(jì)算不同最高收益率目標(biāo)下的期權(quán)價(jià)格,而看跌期權(quán)與看漲期權(quán)的差值即為上下限收益率目標(biāo)限制下的管理費(fèi)率。比較上述兩種不同的管理費(fèi)率形式,以及不能贖回B-S模型計(jì)算得到的管理費(fèi)率,分析比較發(fā)現(xiàn)依據(jù)美式期權(quán)思想,利用二叉樹模型計(jì)算的上下限收益率目標(biāo)限制下的管理費(fèi)率即為本文所要求的最優(yōu)管理費(fèi)率。
[Abstract]:Most of the open-ended securities investment funds in our country extract the management rate according to the fixed proportion of the net value of the fund. The single structure and the inelastic extraction method make the fund management companies have no matter how different the service level or the operating performance is. But still charge the same management fee. This is not only irresponsible to investors, also good performance, well-managed fund managers are also extremely unfair. For a long time, it will lead, on the one hand, to the difference between investors and fund management companies, and on the other hand to the lack of a good competition mechanism and incentive mechanism for fund management companies, which is not conducive to the survival of the fittest in fund management companies. It is also not conducive to the sustainable development of the securities investment fund market. In view of this situation, this paper proposes an optimal management rate method based on American option pricing and performance-linked by using the binomial tree pricing model for reference to the option idea. Based on the American option, this paper studies the management rate under the minimum yield target and the management rate under the upper and lower limit rate of return target. That is to say, some minimum commitment of fund managers, that is, the minimum yield target required by investors, is regarded as an American put option. According to different minimum yield targets, option prices are calculated by using binary tree pricing model. So as to find out the management rate under the different minimum rate of return target. Then, considering fair and better incentives for fund managers, the fund managers ask investors to set a maximum income target, and when the fund gains more than this maximum income target, the fund manager gains benefits beyond the maximum income target. In this paper, the maximum return target is regarded as an American call option, and the pricing model of binary tree is also used to calculate the price of options under different maximum yield targets. The difference between put option and call option is the management rate under the target limit of upper and lower return rate. Comparing the above two different management rates and the management rates calculated by the non-redeemable BES model, it is found that according to the American option idea, the management rates calculated by the above-mentioned two different management rates are analyzed and compared. Using the binary tree model to calculate the management rate under the target limit of the upper and lower limit rate of return is the optimal management rate required in this paper.
【學(xué)位授予單位】：北方工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2457143