漂移和波动控制下的委托投资组合管理问题
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引用本文:聂霞1,常佳佳1,2,胡支军1.漂移和波动控制下的委托投资组合管理问题[J].经济数学,2017,(2):104-110
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作者单位
聂霞1,常佳佳1,2,胡支军1 (1.贵州大学 数统学院贵阳5500252.贵州财经大学 数统学院贵阳550025) 
中文摘要:考虑委托人和代理人都是风险厌恶的,代理人可私下选择或控制输出现金流的漂移和波动,现金流的整个波动由外生因素和代理人的内生控制因素组成,委托人只能观察到现金流过程,然后采用一阶方法,讨论连续时间框架下的委托投资组合管理问题.研究发现:最优波动控制要求代理人根据外生因子来进行调整,最优报酬函数的形式由市场决定的保留效用,努力成本,激励代理人工作的风险补偿以及利用风险补偿支付给代理人的的风险溢价四部分构成.最后对模型进行实例分析,得到最优努力是一个常数,并得到最优合约的显示解.
中文关键词:投资学  动态合约  博弈论  波动控制
 
Continuous-Time Delegated Portfolio Management Problem with Drift and Stochastic Volatility Control
Abstract:The principal and the agent are risk averse,and the agent can privately select or control the drift and volatility of the output of cash flow.However,the overall diffusion term of the cash flow consists of exogenous and endogenous factors of the agent,and the principal can only observe the cash flow process.Then the first-order method was used to discuss the delegated portfolio management problem under a continuous time frame.The study finds that the optimal volatility control requires the agent to adjust according to the exogenous factors,and the form of the optimal compensation function consists of four parts;the reserve utility of the market decision,the cost of the effort,the risk compensation of encouraging agents to work,and the risk premium paid to the agents by the risk compensation.Finally,the result shows the optimal effort is a constant by analyzing the model using an example and the explicit solution of the optimal contract is obtained.
keywords:investments  dynamic contracting  Game Theory  volatility control
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