考慮交易成本及閉鎖期因素下之避險基金模型研究分析

Abstract

傳統的避險基金模型中，並未考量到槓桿度由於市場的流動性及交易成本問題，對資產價格及相對應的報酬率所造成的影響很可能是非線性的。另外，由於對基金的清算觸發條件多半為外生性或是累計虧損達到某一百分比，對於閉鎖期的討論也有所不足。 本文中我們建立了一個考慮閉鎖期限制下的交易模型，經理人在考慮閉鎖期及槓桿對報酬率的影響後，進行投資決策。我們也利用了避險基金的歷史數據進行校準，對於避險基金的生存率與經理人的決策作出預測與討論。 此外，我們也對於基金經理人在緊急狀況下的決策作出推測，討論了 2006 年的 Amaranth 基金事件。

The traditional models of hedge funds do not consider the nonlinearity between the leverage and the leveraged return, which is caused by the market liquidity and the transaction cost. In addition, the liquidation condition are mostly set as exogenous or long-term cumulative loss, lacks of the consideration in the lockup period. In this paper we establish a trading model with lockup period restrictions. Fund managers consider investment decisions under the lockup period and the leveraging cost. We also make a calibration under the historical data of the hedge fund industry to estimate the reaction of the fund managers. Furthermore, we predict the funds' decision-making in emergency situations, discussing the event of the Amaranth Advisor in 2006.