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

摘要： 运用动态合约理论与实物期权理论研究了私募基金最优激励相容合约的一般特征,考察了基金规模与申购赎回机制对缓解道德风险的作用。结论表明,私募基金最优激励相容合约由投资人的最大预期收益与管理者的最大预期回报共同决定,且购买私募基金类似于做多一种特殊期权,该期权标的资产价格由管理者后续值度量;投资人为激励管理者努力工作而付出的激励成本随基金初始规模或再申购比例递增,而最优基金规模由其边际激励成本与预期边际业绩决定;赎回成本影响投资人的最大预期收益,但对缓解道德风险不具显著作用;适当的业绩抽成可降低道德风险,且业绩抽成与私募基金初始规模或再申购比例在缓解道德风险方面存在一定的替代性。

关键词: 私募基金, 实物期权, 动态道德风险