The Option on Fund:A New Direction for Financial Innovation and Derivative Design
提出基金期权可满足真实投资者的投资需求，从行为投资者的风险收益偏好推导资产配置需求，并设计相应衍生品，发现基金价值过程对完善资本市场有重要作用。
This paper suggests that options on fund may be as an effective financial instrument to satisfy the investment demand of real world investors.The authors derive the asset allocation demand from the risk-return preference of behavior investors and design the proper derivatives to match these demands.It is shown that the value process of fund plays an important role in completing the capital market and the allocation structure of behavior investors can be described as standard option of the fund value process.The analytical framework has significant implication for the development of Chinese capital market.