Relative Performance Contracts and Fund Managers’ choice of Investment Strategies

Jing SUN


This paper has constructed a programming model used to solve the optimal relative performance contracts. Under the contract that the constraints of the model can be satisfied, the strategy combination that the investors wish to see must form a Nash equilibrium in the managers’ subgame. It is further indicated by the numerical example that more often than not this equilibrium constitutes a dominant strategic equilibrium as long as the managers do not collaborate with each other.
Key words: Relative Performance, Compensation Fee, Fund Manager, Investment Strategies
Résumé: Ce texte a conçu un modèle programmé pour résoudre les contrats de performance relative . Sous le contrat que les contraites de modèle peuvent être satisfaites , la combinaison stratégique que souhaitent les investisseurs doit former un équilibre Nash dans les sub-jeux des directeurs . L’exemple numérique montre davantage que cet équilibre constitue l’équilibre de stratégie dominante , pourvu que les directeurs ne se collaborent pas .
Mots-clés: performance relative, rénumération compensatoire, directeur de fonds, stratégie d’investissement

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