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

獎勵交易技術而不誘導賭博

作者：Igor Makarov（London Business School）

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

摘要：本文構建了一個主動型資産管理模型。模型中，基金經理可能放棄創造超額收益的策略，反而偏好于進行超額收益為負的交易，這種交易能夠使他們暫時操縱投資者對其交易技術的認知。我們證明了伴随這種交易而來的還有隐藏的尾部風險，而且當基金經理很心急或者他們的交易技術可被衡量（好的聲譽使基金規模擴大，由此産生更多未來收益），并且每單位風險收益很高時，這種交易發生的可能性就更大。因此，我們提出一種長期合約，根據基金經理的累積表現，動态調整他們獲得報酬的日期，以防止賭博行為的發生。

關鍵詞：交易技巧，賭博，基金經理

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

原文鍊接：

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

翻譯：任兆月