论文标题
为基金经理提供部分信息的隐性激励措施
Implicit Incentives for Fund Managers with Partial Information
论文作者
论文摘要
我们研究了基金经理的最佳资产分配问题，其薪酬取决于她的投资组合相对于基准的表现。经理的目的是最大化她最终财富的预期效用。经理观察到价格，但没有观察到驱动预期收益的风险市场价格的价值。随着更多的观察，风险市场价格的估计变得更加精确。我们将问题作为优化提出 在部分信息下。激励措施的特定结构使目标函数不凹入。我们通过Martingale方法解决了问题，并通过蓄积程序获得了最佳财富和投资策略。数值示例显示了学习对最佳策略的影响。
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. The estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function not concave. We solve the problem via the martingale method and, with a concavification procedure, we obtain the optimal wealth and the investment strategy. A numerical example shows the effect of learning on the optimal strategy.
