THE JOURNAL OF FINANCE VOL. LXX, NO. 3 JUNE 2015

奖励交易技术而不诱导赌博

作者：Igor Makarov（London Business School）

Guillaume Plantin（University of Toulouse 1 - Toulouse School of Economics）

摘要：本文构建了一个主动型资产管理模型。模型中，基金经理可能放弃创造超额收益的策略，反而偏好于进行超额收益为负的交易，这种交易能够使他们暂时操纵投资者对其交易技术的认知。我们证明了伴随这种交易而来的还有隐藏的尾部风险，而且当基金经理很心急或者他们的交易技术可被衡量（好的声誉使基金规模扩大，由此产生更多未来收益），并且每单位风险收益很高时，这种交易发生的可能性就更大。因此，我们提出一种长期合约，根据基金经理的累积表现，动态调整他们获得报酬的日期，以防止赌博行为的发生。

关键词：交易技巧，赌博，基金经理

Rewarding Trading Skills without Inducing Gambling

Igor Makarov (London Business School), Guillaume Plantin (University of Toulouse 1 - Toulouse School of Economics)

ABSTRACT

This paper develops a model of active asset management in which fund managers may forgo alpha-generating strategies, preferring instead to make negative-alpha trades that enable them to temporarily manipulate investors' perceptions of their skills. We show that such trades are optimally generated by taking on hidden tail risk, and are more likely to occur when fund managers are impatient and when their trading skills are scalable, and generate a high profit per unit of risk. We propose long-term contracts that deter this behavior by dynamically adjusting the dates on which the manager is compensated in response to her cumulative performance.

Keywords: Trading Skills, Gambling, Fund Manager

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12257/full

翻译：任兆月