基金经理过度自信对基金收益与风险的影响研究

本文扩展了以前的研究范围，考察了基金经理过度自信对基金收益与风险的影响。与以前研究不同的是。我们在模型中引进了基金经理的能力这一参数，并假设基金经理从接收到的信号中提取信息的多少依赖于其能力的大小。我们发现。过度自信导致基金经理交易较多数量的风险资产。结果使得基金获得了较高的收益。但同时基金的风险也较高。从不同的角度。我们进一步证实了以前的研究结论。

A Study of the Effect of Overconfidence of Investment Fund Manager on the Returns and Risk of Investment Fund

In this paper, we extend the previous research field, and examine the effect of overconfidence of investment fund manager on the returns and risk of investment fund. Moreover, differing from previous research, we introduce a parameter, which denotes the ability of investment fund manager, into our model, and suppose that the informative contents of the received signal depend on the ability of the investment fund ma-(nager). We find that overconfidence generates incentives to trade larger quantities of the risky asset, as a consequence, the investment fund earns a higher expected return but takes a higher risk. Consequently, we verify the previous research conclusions from a different angle of view.