关键词: 私募基金, 实物期权, 动态道德风险

Abstract: This paper uses the dynamic contract theory and the real option theory to study the general characteristics of the optimal incentive compatibility contract of private funds, and then examines the role of the private fund size and the subscription-redemption mechanism to alleviate the moral hazard. The conclusion shows that the optimal incentive compatibility contract of private funds is determined by the maximum expected return of the investor and the maximum expected payoff of the manager, and the purchase of private funds is similar to going long on a special option whose underlying asset price is measured by the manager’s continuationpayoff. The incentive cost of an investor to motivate managers to work hard increases with the initial size of the funds or the ratio of repurchase, and the optimal fund size is determined by its marginal incentive cost and expected marginal performance. The cost of redemption affects the maximum expected return of the investor, but has no significant effect on relieving moral hazard. Appropriate performanceincentives can reduce the moral hazard, and the performance incentives can be replaced with the initial size or repurchase ratio of private funds in relieving moral hazard.

Key words: private funds, real option, dynamic moral hazard JEL Classification: C61, D86, G32