政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/84473

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Title:	共同基金經理人調整操作風險行為與最適控制契約設計之研究 A Study of the Mutual Fund Managers` Risk-Adjustment Behavior and the Design of a Performance-Based Incentive Contract
Authors:	王健安
Contributors:	陳隆麒沈中華王健安
Keywords:	代理問題共同基金經理人自利性風險調整行為贏家與輸家績效誘因費契約選擇權理論上限條款與懲罰條款 agency mutual fund managers risk-adjustment behavior winner and loser performance-based incentive contract call option contract with penalty
Date:	2000
Issue Date:	2016-04-14 14:00:01 (UTC+8)
Abstract:	基金經理人與投資人間的代理問題起源於兩者目標的不一致，前者要求個人薪酬財富的極大化，後者要求投資組合價值的極大化。造成目標歧異的原因有兩個：其一是在資訊不對稱的環境下，投資人無法觀察到經理人投資組合是否真正從投資人利益角度出發，因此引發了經理人的道德危險；其二是在競爭激烈的基金產業□，年度定期績效評比結果與經理人薪酬紅利多寡相連結等制度的設計，加重經理人選擇持有一個高風險投資組合的逆誘因，特別是期中累積績效較差的輸家，隨著年終總績效結算日期的接近，在自利動機的驅使下可能會透過較高的操作風險調整幅度，企圖扭轉頹勢以求反敗為勝。 An important question for the contracting literature is the extent to which real behavior is driven by the financial incentives contained in compensation schemes. To address this issue, (1) we use the tournament concept as the framework, and focus on the competitive nature of mutual fund environments how to affect the managers` portfolio decision-making processes. (2) we also use the Black-Scholes option pricing model as the framework, and analyze the impact on the mutual fund managers` risk-manipulation behavior of a performance-based incentive plan.
Description:	博士國立政治大學企業管理學系
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002000728
Data Type:	thesis
Appears in Collections:	[Department of Business Administation] Theses

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