基金管理者报酬的线性模型研究与实证分析

探讨了四种跟踪组合回报率与目标回报率间偏差的线性模型 ,线性偏差比传统的二次型偏差更能准确描述投资者的风险态度 ,用线性规划给出了明确的优化方案 ,并对上海证券 A股各分类资产组合作出了实证分析和比较 ,得出为达不同的投资目标投资者确定投资组合及基金管理者报酬的各种优化模型 .

A study of linear models to measure the reward to managers of index fund

This article investigates four minimizing the tracking error between the returns of portfolio and a benchmark .All model have in common that absolute deviations are minimized instead of squared deviations as is the case for traditional optimization model .Linear programs are formulated to derive explicit solutions. The model are applied to a portfolio containing six market component indexes and the tracking error with respect to the SSE A share index is minimized.The results are compared to those of aquadratic track ing error optimization technique. The portfolio weights of the optimized portfo lio and its return/risk properties are different across the models which implies that optimization models should be targeted to specific investment objective and be used to measure the rewards to manager of Fund.