【摘要】：在我國經(jīng)濟進入新常態(tài),金融市場低利率和優(yōu)質(zhì)資產(chǎn)匱乏的背景下,另類投資尤其是對沖基金逐漸開始成為投資市場的重要組成部分,擴大了投資者的選擇范圍。對沖基金等另類投資的定價及最優(yōu)決策的研究對基金管理公司、投資者及市場監(jiān)管者而言均具有重要意義。本文基于連續(xù)時間隨機最優(yōu)控制相關(guān)理論,從對沖基金經(jīng)理人及另類投資投資者兩個角度出發(fā),探討對沖基金經(jīng)理人的最優(yōu)決策與薪酬機制定價相關(guān)問題,以及投資者的最優(yōu)投資消費決策與投資期權(quán)定價相關(guān)問題。首先,建立風(fēng)險中性經(jīng)理人最優(yōu)努力程度及薪酬定價模型。為最優(yōu)化其總薪酬,經(jīng)理人需要在獲得的超額收益與努力成本間做出權(quán)衡,同時兼顧基金清算的不利影響以及高水位線合約的期權(quán)屬性。經(jīng)理人最優(yōu)努力程度在基金內(nèi)部清算邊界處達到最大,而當(dāng)基金凈值靠近高水位線時,經(jīng)理人的努力程度仍在減弱,但是減弱的速度變慢。由內(nèi)部清算條件及高水位線合約激發(fā)的最優(yōu)努力程度能夠在緩解基金清算可能性的同時維持基金的長期經(jīng)營價值。單位努力成本、投資回報波動率、外部清算概率及內(nèi)部清算邊界等的增加都將減小經(jīng)理人的努力程度,且管理費率變動對努力程度及價值函數(shù)的影響比績效費率更大。其次,建立隨機市場條件下對沖基金經(jīng)理人最優(yōu)風(fēng)險選擇及薪酬定價模型。模型假定市場狀態(tài)服從雙狀態(tài)馬爾科夫過程,且經(jīng)理人風(fēng)險資產(chǎn)投資策略的超額收益與波動率在不同狀態(tài)下取值不同。不同狀態(tài)下的最優(yōu)杠桿選擇、經(jīng)理人風(fēng)險態(tài)度及高水位線合約價值均會反映市場條件狀態(tài)轉(zhuǎn)換的可能性,使得模型結(jié)果與單狀態(tài)模型結(jié)果有所不同。當(dāng)金融危機更有可能發(fā)生時,經(jīng)理人在危機到來前和來臨后通常均傾向于增加風(fēng)險資產(chǎn)的投資比例,以此彌補危機帶來的總薪酬的潛在損失。危機時期,對沖基金的最優(yōu)杠桿比例顯著低于繁榮時期。同時,危機時期投資者的大量贖回及尾部風(fēng)險事件發(fā)生的可能性均會促使經(jīng)理人增加杠桿比例。最后,建立部分信息下另類投資風(fēng)險厭惡投資者的最優(yōu)投資消費及期權(quán)定價模型。運用濾波理論及消費效用無差別定價原理,通過求解具有自由邊界條件的高維偏微分方程,推導(dǎo)出期權(quán)的隱含價值,并確定投資者的最優(yōu)投資執(zhí)行邊界及消費和資產(chǎn)分配最優(yōu)決策。模型結(jié)論能夠?qū)ν顿Y期權(quán)估值及資產(chǎn)管理提供一定參考。投資回報波動率對實物期權(quán)價值有兩種相反作用,具有很強不確定性的另類投資產(chǎn)品并不適合風(fēng)險厭惡水平較高的保守型投資者。平均回報率的估計偏差同期權(quán)的隱含價值成遞減關(guān)系,另類投資信息披露的不完全會顯著影響隱含期權(quán)價值。而當(dāng)另類投資與二級市場中的市場組合收益呈負相關(guān)關(guān)系時,市場組合的風(fēng)險對沖效果更好。
[Abstract]:Under the background of low interest rate and lack of high quality assets in the financial market, the alternative investment, especially hedge funds, has gradually become an important part of the investment market, which has expanded the scope of investors' choice. Research on pricing and optimal decisions for alternative investments such as hedge funds is important for fund managers, investors and market regulators. Based on the theory of continuous time stochastic optimal control, this paper discusses the issues related to the optimal decision of hedge fund managers and the pricing of compensation mechanism from the perspectives of hedge fund managers and alternative investors. And investors' optimal investment consumption decision and investment option pricing issues. First of all, establish the risk neutral manager optimal effort and salary pricing model. In order to optimize their total compensation, managers need to balance the excess income and the cost of effort, as well as the adverse effects of fund liquidation and the option attributes of high water level contracts. The best efforts of managers are highest at the internal liquidation boundary of the fund, but when the net value of the fund is near the high water level, the effort of the manager is still weakening, but the speed of the abatement is becoming slower. The optimal degree of effort inspired by internal liquidation conditions and high water level contracts can alleviate the possibility of fund liquidation while maintaining the long-term operating value of the fund. The increase of unit effort cost, investment return volatility, external liquidation probability and internal liquidation boundary will reduce the effort of managers, and the change of management fee rate has more influence on effort and value function than on performance rate. Secondly, the optimal risk selection and compensation pricing model for hedge fund managers under stochastic market conditions are established. The model assumes that the market state is based on the two-state Markov process, and the excess return and volatility of the manager's venture asset investment strategy are different in different states. The optimal lever selection, manager's risk attitude and the value of high water level contract can all reflect the possibility of market condition state transition, which makes the model result different from the single state model result. When a financial crisis is more likely, managers tend to increase the proportion of risky assets they invest before and after the crisis, making up for the potential loss of total pay from the crisis. In times of crisis, hedge funds' optimal leverage ratios were significantly lower than in boom times. At the same time, the risk of investor redemptions and tail risk events during the crisis will encourage managers to increase leverage. Finally, the optimal investment consumption and option pricing model of alternative investment risk averse investors under partial information are established. The implicit value of options is derived by solving the high dimensional partial differential equations with free boundary conditions by using the filtering theory and the principle of non-differential pricing of consumer utility. The optimal investment execution boundary and the optimal decision of consumption and asset allocation are determined. The conclusion of the model can provide some reference for the valuation of investment options and asset management. Volatility of return on investment has two opposite effects on the value of real options. Alternative investment products with strong uncertainty are not suitable for conservative investors with high risk aversion. The estimated deviation of average return is decreasing with the implied value of option, and the incomplete disclosure of alternative investment information will significantly affect the value of implied option. When the alternative investment is negatively correlated with the return of the market portfolio in the secondary market, the risk hedging effect of the market portfolio is better.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2017
【分類號】：F224;F832.51

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