| 委托组合投资管理中两类不对称对资产价格的影响 |
| Impact of Two Types of Asymmetry on Asset Prices in Delegated Portfolio Management |
| 摘要点击 1563 全文点击 0 投稿时间：2018-07-05 修订日期：2018-12-27 |
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| 中文关键词 委托组合投资管理; 资产价格; 不对称; 合同；资金流动 |
| 英文关键词 Delegated Portfolio Management; Asset Prices; Asymmetry; Contract; Cash flow. |
| 基金项目 国家自然科学基金项目（面上项目，重点项目，重大项目） |
| 作者 | 单位 | 邮编 | | 盛积良 | 江西财经大学 | 330013 | | 李妙 | 江西财经大学统计学院 | | | 欧阳道中 | 江西财经大学统计学院 | |
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| 中文摘要 |
| 在委托组合投资管理中，激励合同一般为基于相对业绩的不对称合同，该合同导致资金在投资业绩不同的基金之间不对称地流动。假设在经济体中有四类代表性的代理人，资金可以在指数基金投资者和积极基金投资者之间流动,建立均衡资产价格模型, 利用Mills率的性质与数值分析研究合同不对称、资金流动不对称及积极基金投资者比例等对资产价格的影响。结果发现：资产价格随着合同不对称程度、资金流动量和积极基金投资者比例的增加而升高；随着资金流动不对称程度的增加而降低；夏普比率是积极基金投资者比例的减函数；同时考虑合同不对称与资金流动不对称对资产价格的影响,两类不对称之间存在相互制约。通过分析合同与资金流动对积极基金投资组合的影响就研究结论进行了解释。 |
| 英文摘要 |
| In delegated portfolio management, compensation of fund manager are generally asymmetric contracts depends on relative performance, which lead to asymmetric flow of funds between funds with different investment performance. This paper establishes an equilibrium asset price model by assuming that there are four representative agents in the economy and cash can flow between index fund investors and active fund investors. Using the properties of Mills Ratio and numerical analysis, we investigate the impact of contract asymmetry, capital flow asymmetry and the proportion of active fund investors on asset prices. We find that the asset price increases with the increase in the degree of the contract asymmetry, the capital flow volume and the proportion of active fund investor, and decreases with the increase of the asymmetry of cash flow. The Sharp Ratio is a decrease function of the proportion of the active fund investor. When considering the mutual influence of contract asymmetry and capital flow asymmetry on asset prices, there are mutual restrictions between the two types of asymmetry. By analyzing the impact of contract and capital flow on active fund portfolio, this paper explains the research conclusion. |
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