對沖基金之績效誘因契約的功能與影響
Date Issued
2006
Date
2006
Author(s)
應迦得
DOI
zh-TW
Abstract
Between fund manager and investors have agency problem of information asymmetry. The motivation system that the special incentive contract clause of the hedge fund provides, can reduce the situation of the target inconsistency that the investors and the fund manager pursue, then resolve the agency problem that the traditional mutual fund exists. Moreover, it also has the function of examination system, providing the investors more information to recognize the real ability of the fund manager.
The incentive contract clause of the hedge fund can mostly be divided into the four major types:(1) The required ratio of manager’s share ownership (2) Basic management fee rate (3)The method to measure performance and the incentive fee rate (4)The clause of punishment and the design of liquidation system. This research is inquiring into the incentive contract of the hedge fund and its various purposes of clause design and function, and its influence to the fund manager and the investors. This research makes use of the numerical analysis method and Monte-Carlo simulation to investigate the manager’s investment behavior under the incentive contract clause of the hedge fund, investing performance, and the final profit after deducting the cost various clauses brings of the investors. This research by the game theory be foundation structure, discusses problems under the environment that information asymmetry, and the function of examination system incentive contract provides.
Subjects
對沖基金
績效誘因契約
基金經理人投資行為
基金績效
篩選機制
代理問題
hedge fund
incentive contract
fund manager behavior
fund performance
examination system
information asymmetry
agency problem
Type
thesis
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