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題名:Determining Institutional Investor's Dynamic Asset Allocation
書刊名:財務金融學刊
作者:郭志安 引用關係顏錫銘 引用關係
作者(外文):Guo, ZionYen, Simon H.
出版日期:2006
卷期:14:1
頁次:頁77-94
主題關鍵詞:動態資產配置機構投資人Dynamic asset allocationInstitutional investor
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:12
機構投資人在現在全球的金融市場中佔有舉足輕重的地位,但是在財敗理論的領域裏,他們卻是被極度忽略的群。本文推導出機構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賽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, e 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.
期刊論文
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4.Merton, Robert C.(1971)。Optimum Consumption and Portfolio Rules in a Continuous-time Model。Journal of Economic Theory,3,373-413。  new window
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18.Sundaresan, Suresh M.(2000)。Continuous-time methods in finance: A review and assessment。Journal of Finance,55,1569-1622。  new window
19.Viceira, Luis M.(2001)。Optimal portfolio choice for long-horizon investors with nontradable labor income。Journal of Finance,56,433-470。  new window
20.Xia, Yihong(2001)。Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation。Journal of finance,56,205-246。  new window
21.Zingales, Luigi(2000)。In search of new foundations。Journal of Finance,55,1623-1653。  new window
22.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert(1992)。The structure and performance of the money management industry。Brookings Papers: Microeconomics,1992,339-391。  new window
23.Kahneman, Daniel、Tversky, Amos(1979)。Prospect theory: An analysis of decision making under risk。Journal of the Econometric Society,47(2),263-291。  new window
24.Ippolito, Richard A.(1992)。Consumer reaction to measures of poor quality: Evidence from the mutual fund industry。The Journal of Law & Economics,35(1),45-70。  new window
25.Zheng, Lu(1999)。Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability。Journal of Finance,54(3),901-933。  new window
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30.Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance,40(3),777-790。  new window
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32.Jensen, Michael C.(1968)。The performance of mutual funds in the period 1945-1964。Journal of Finance,23(2),389-416。  new window
圖書
1.Bank of Japan(2000)。Points on international comparison of the flow of funds accounts。Research and Statistics Department。  new window
圖書論文
1.Patel, J.、Zeckhauser, R.、Hendricks, D.(1994)。Investment flows and performance: Evidence from mutual funds, cross-border investments and new issues。Japan, Europe and the International Financial Markets: Analytical and Empirical Perspectives。New York:Cambridge University Press。  new window
 
 
 
 
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