The Analysis Of China Securities Investment Fund’s Risk Allocation Based On The Perspective Of Game Equilibrium

Fund managers and investors are two participants involved in this paper, there are both cooperation and conflict of interest among them. About the benefits and risk-sharing between them, the current research has mainly taken the principal-agent theory, but the theory just attributes the kind of problems to the imperfections of the contract, does not give a specific share method. Based on fund performance attribution theory proposed by Fama, this paper innovatively studies risk-sharing among managers and investors under different conditions and does further instructions of the practical implications of the balanced outcomes. Fama believes that the overall performance of the portfolio is the difference between the return on the chosen portfolio and the return on the riskless asset, and the overall performance can be further divided into two parts--selectivity and risk, the latter measures the return from the decision to take on positive amounts of risk. If the investor has a target risk level for his portfolio, the part of overall performance due to risk can be allocated to the investor and to the portfolio manager, but he did not resolve the ratio of the use of the risk-sharing. This article is an extension and improvement of the theory, and adopts appropriate economic models for solving the specific ratio of the risk-sharing.Risk born by managers and investors will have a significant impact on their utilities, the reasonable risk allocation makes participants to obtain rational levels of utility based on the maximum utility principle, therefore this paper firstly establishes the utility function based on the degree of risk of the participants, and solves the problem of how to fix the utility allocation between investors and managers through the method of game theory. On the basis of the completeness of information and simultaneity of actions, this paper mainly discusses the equilibrium solutions of the complete information dynamic game, bilateral incomplete information static game and unilateral incomplete information dynamic game, which correspond to three different types of Nash equilibrium solution. Further, by analyzing the utility theory, the paper resolves the degree of risk which the two sides should bear in their own utility maximization and equilibrium conditions. The results show that:patience extent, fund size, management fee, complete information, market type and other factors have an impact on the results of risk allocation.