风险内生的委托代理模型研究

证券投资基金的委托代理关系与一般的委托代理关系不同,在一般的委托代理关系中,产出的风险是外生的,而基金产出的风险是内生的,即风险是由基金管理人来选择的.在模型假设的背景下,在不考虑基金管理人的努力成本时,基金委托代理关系中不存在道德风险问题.如果考虑基金管理人的努力成本,当其行为不可观测时,基金投资者无法通过契约参数的变化来影响基金管理人的努力水平,但此时投资组合的风险水平将低于基金管理人行为可观测时的情况.实证研究证实了基金收益分享比例与基金管理人努力程度无关的模型推论.

Research on Risk Endogenous Principal-agent Model

The principal-agent relationship in security investment fund is distinctive,in which the risk of output is endogenous,i.e.,the risk is selected by fund managers.In the context of our model assumptions and without regard to the effort cost of fund managers,moral hazard does not exist in the fund principal-agent agency relationship.If consider the fund manager's effort cost,when their behavior can not be observed,fund investor can not motivate changes in contract parameters to influence the effort level,but the risk level of portfolio will be lower than the case that the behavior can be observed.Empirical study have confirmed the model inference,that is the independent of fund revenue sharing ratio and fund managers' effort.