Determining Institutional Investor's Dynamic Asset Allocation

機構投資人的動態資產配置

10.6545/JFS.2006.14(1).3

郭志安(Zion Guo)；顏錫銘(Simon H. Yen)

動態資產配置 ； 機構投資人 ； Dynamic asset allocation ； Institutional investor

財務金融學刊

14卷1期（2006 / 04 / 30）

77 - 94

英文

機構投資人在現今全球的金融市場中佔有舉足輕重的地位，但是在財務理論的領域裏，他們卻是被極度忽略的一群。本文推導出機為投資人的最適動態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。

Institutional investors do matter in financial market, but they have been seriously ignored in financial theory. In this paper, we derive a closed-form solution to optimal dynamic asset allocation of institutional investors. We find that the optimal dynamic asset allocation of institutional investors contains two components: the benchmark hedge component and the size hedge component. The benchmark hedge component indicates that institutional investors take care of the volatility of benchmark portfolio. The size hedge component displays the reputation concern of institutional investors.

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