题名

Portfolio Selection of Institutional Investors Based on Value Function

并列篇名

價值函數下機構投資人的投資組合選擇

DOI

10.6504/JOM.2008.25.01.02

作者

郭志安(Zion Guo)；顏錫銘(Simon H. Yen)

关键词

價值函數 ； 展望理論 ； 資產配置 ； 機構投資人 ； value function ； prospect theory ； portfolio selection ； institutional investor

期刊名称

管理學報

卷期/出版年月

25卷1期（2008 / 02 / 01）

页次

31 - 49

内容语文

英文
中文摘要

近年來傳統的期望效用理論履遭學者們的質疑，許多實證結果均顯示展望理論更能貼切描述人們的行為模式，而且在財務理論的領域裏，機構投資人是被極度忽略的一群。本文假設機構投資者的行為模式符合展望理論，進而推導出機構投資人之最適資產配置模型乃是由標竿避險元素與規模避險元素所組成。其中標竿避險元素述說了機構投資人對標竿投資組合變動的關心程度，而規模避險元素則表達了機構投資人的投資決策受自身規模大小影響的程度。此外，實證分析結果顯示，本模型之績效不僅顯著高於標竿投資組合，而且還獲取了高達15%左右的超額累積報酬，明顯優於標竿投資組合。
英文摘要

Institutional investors have been seriously ignored in financial theory. In this paper, we derive a closed-form solution to optimal portfolio selection of the institutional investor based on value function. This knowledge has never previously been documented in the literature. We find that the optimal portfolio selection of institutional investors contains two components: the benchmark hedge component and the size hedge component. The benchmark hedge component indicates that the volatility of relative benchmark portfolio is an important factor to consider when holding risky assets. The size hedge component depicts that when the size of fund is increasing, the institutional investor would hold a decreasing amount of risky assets. Furthermore, the empirical results show that our model can earn high enough returns to compensate the higher β, and the excess returns of our model are even higher than 15%.
主题分类 社會科學 > 管理學
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