对冲基金和共同基金的收费与私人投资的分离

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摘要翻译：
基金经理将基金资产和私人财富投资于独立但潜在相关的风险资产，目的是在长期内最大化私人财富的预期效用。如果相对风险厌恶和投资机会不变，我们发现基金的投资组合只依赖于基金的投资机会，而私人投资组合只依赖于私人机会。这一结论对对冲基金经理和共同基金经理都是有效的，对冲基金经理的业绩费是按高水位标准支付的，共同基金经理的管理费是按基金资产比例支付的。经理人将赚取的费用投资于安全资产，将剩余的私人财富分配到一个恒定比例的投资组合中，而基金则作为另一个恒定比例的投资组合进行管理。最优福利是每个投资机会的最优福利之间的最大值，不存在多元化收益。特别是，管理人没有使用私人投资对冲未来的费用收入。
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英文标题：
《Hedge and Mutual Funds' Fees and the Separation of Private Investments》
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作者：
Paolo Guasoni and Gu Wang
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the fund's portfolio depends only on the fund's investment opportunities, and the private portfolio only on private opportunities. This conclusion is valid both for a hedge fund manager, who is paid performance fees with a high-water mark provision, and for a mutual fund manager, who is paid management fees proportional to the fund's assets. The manager invests earned fees in the safe asset, allocating remaining private wealth in a constant-proportion portfolio, while the fund is managed as another constant-proportion portfolio. The optimal welfare is the maximum between the optimal welfare of each investment opportunity, with no diversification gain. In particular, the manager does not use private investments to hedge future income from fees.
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PDF链接：
https://arxiv.org/pdf/1208.4799

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关键词：对冲基金 私人投资 共同基金 Optimization proportional investment 支付 hedge 财富 依赖于