政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30956
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113392/144379 (79%)
Visitors : 51210482      Online Users : 873
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30956


    Title: 展望理論下機構投資者之動態資產配置
    Dynamic Asset Allocation of Institutional Investors with Prospect Theory
    Authors: 郭志安
    Guo, Zion
    Contributors: 顏錫銘
    Yen, Simon H.
    郭志安
    Guo, Zion
    Keywords: 動態資產配置
    機構投資者
    展望理論
    跳躍模式
    Dynamic asset allocation
    Institutional investor
    Prospect theory
    Jump
    Date: 2003
    Issue Date: 2009-09-14
    Abstract: 機構投資者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裡，他們卻是被極度忽略的一群。本文的第一個部分（見第二章）建構在傳統的期望效用理論之下，進而推導出機構投資者的最適動態資產配置模型。研究發現機構投資者的最適動態資產配置乃是由標竿避險元素與跨期-規模避險元素所共同組成。標竿避險元素述說了機構投資者跟隨標竿投資組合的現象，而跨期-規模避險元素除了為資產配置迷思提供了一個可能的解決之道外，更指出機構投資者會隨著所管理的資產增加而趨於保守。再者，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。本文的第二個部分（見第三章）假設機構投資者的行為模式符合展望理論的公理與假說，進而推導出機構投資者的動態資產配置模型。研究發現當機構投資人處於獲利的狀態之下時，其最適動態資產配置和第二章所得到的結果完全相同，但是，當機構投資人處於損失的狀態下時，他會變得比較積極，持有的風險性資產會大於處於獲利狀態之下時所做的決策。雖然行為財務學已行之有年，但是大家對於損失趨避係數對資產配置所造成的影響所卻知極為有限，本文在此提供了一個參考的模型。本研究發現，損失趨避係數對動態資產配置的影響力會被風險趨避係數、個別投資人對機構投資者績效的敏感度以及機構投資者本身所收取的管理費所抵消掉。此外，近年來金融市場巨幅震盪的現象履見不鮮，本文的最後一個部份（見第四章）假設機構投資者的行為模式符合展望理論的公理與假說，進而在跳躍模式下推導出機構投資者的動態資產配置模型。研究發現在跳躍模式下機構投資者的最適動態資產配置乃是由標竿避險元素、跨期-規模避險元素與跳躍避險元素所共同組成。這個新的元素－「跳躍避險元素」，用以描述機構投資者在面對

    跳躍模式所帶來的不同衝擊時所產生的不同回應。本研究發現即使面對相同的投資環境，機構投資者仍然會因為本身所處的狀態不同而有不一樣的投資決策，這個結果迥異於傳統的理論模型，是一個相當有趣且值得進一步研究的議題。此外，本研究還發現損失趨避係數在不同的狀況之下會分別發揮不同的影響力，對損失趨避係數在財務理論上的意義提供了另一個新的視野。
    Institutional investors do matter in financial market, but most of the studies on institutional investors have not determined holdings of different assets by institutional investors. Institutional investors who receive payments and deposits from their customers but they are also subject to withdrawals from them. Compared with individual investors, institutional investors do bear the extra risk that evokes from individual investors. Appling dynamic programming approach, we derive the optimal dynamic asset allocation of institutional investors. In chapter 2, we find that the optimal dynamic asset allocation of the institutional investor with exponential utility function contains two components: the benchmark hedge component and the intertemporal-size hedge component. The benchmark hedge component indicates that the institutional investor takes care of the volatility of benchmark portfolio. The intertemporal-size hedge component provides a possible solution to asset allocation puzzle and depicts that the position of risky assets held by the institutional investor is inversively proportional with its total net managed assets. In chapter 3, we take operating cost into account and find that the optimal dynamic asset allocation of the institutional investor with revised value function will hold more risky assets when she is facing losses, and the sensitivity of loss aversion to dynamic asset allocation strategy
    is inversively proportional with the absolute risk aversion coefficient, the sensitivity of flow to performance, and the management fee charged by the institutional investor. In chapter 4, we consider both the operating cost and the risk of a sudden large shock to security price into account and find that the optimal dynamic asset allocation of the institutional investor has a further component than that in chapter 3. The further component is labeled "jumps hedge component". Besides, the optimal dynamic asset allocation is divided into four situations that figure the institutional investor with different status quo will make different investment decision. It is a very surprisingly result. Furthermore, we find a very interesting phenomenon that the loss aversion coefficient plays different roles in different situations.
    Reference: Allais, Par Maurice, 1953, Le Comportement de L’Homme Rationnel devant le Risque: Critique des Postulates et Axiomes de L’Ecole Americaine, Econometrica, 21, 503-546
    Allen, Franklin, 2001, Do Financial Institutions Matter?, Journal of finance 56, 1165-1175.
    Amos, Gideon, 2002, Solving the Hamilton-Jacobi-Bellman equation for animation, doctoral dissertation, University of London.
    Bajeux-Besnainou, Isabelle, James V Jordan, and Roland Portait, 2003, Dynamic asset allocation for stocks, bonds, and cash, Journal of Business 76, 263-287.
    Ball, Clifford A., and Walter N. Torous, 1985, On jumps in common stock prices and their impact on call option pricing, Journal of Finance 40, 155-173.
    Bank of Japan, 2000, Points on international comparison of the flow of funds accounts, Research and Statistics Department.
    Barberis, Nicholas C., Ming Huang, and Tano Santos, 2001, Prospect theory and asset prices, Quarterly Journal of Economics 116, 1-53.
    Beckers, Stan, 1981, A note on estimating the parameters of the diffusion-jump model of stock returns, Journal of Financial and Quantitative Analysis 16, 127-140.
    Blake, David, Bruce N. Lehmann, and Allan Timmermann, 1999, Asset allocation dynamics and pension fund performance, Journal of Business 72, 429-461.
    Bodie, Zvi, Robert C. Merton, and William F. Samuelson, 1992, Labor supply flexibility and portfolio choice in a life cycle model, Journal of Economic Dynamics and Control 16 427-449.
    Breeden, Douglas T., 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics 7, 265-296.
    Brennan, Michael J., Eduardo S. Schwartz, and Ronald Lagnado, 1997, Strategic asset allocation, Journal of Economic Dynamics and Control 21, 1377-1403.
    Brennan, Michael J., and Yihong Xia, 2002, Dynamic asset allocation under inflation, Journal of finance 57, 1201-1238.
    Campbell, John Y., 2000, Asset pricing at the millennium, Journal of Finance 55, 1515-1567.
    Campbell, John Y., and Luis. M. Viceira, 1999, “Consumption and portfolio decisions when expected returns are time varying,” Quarterly Journal of Economics, 11, 597-626.
    Cannarsa, Piermarco, and Carlo Sinestrari, 2003, Semiconcave Functions, Hamilton-Jacobi Equations, and Optimal Control, http://axp.mat.uniroma2.it/~sinestra/cap1.pdf
    Canner, Niko, N. Gregory Mankiw, and David N. Weil, 1997, An asset allocation puzzle, American Economic Review 87,181-191.
    Cox, J. C., S. A. Ross, 1976, The valuation of options for alternative stochastic processes, Journal of Financial Economics 4, 145-166.
    Chevalier, Judith, and Glen Ellison, 1997, Risk-taking by mutual funds as a response to incentives, Journal of Political Economy 105, 1167-1200.
    Currim, Imran S., and Rakesh K. Sarin, 1989, Prospect versus utility, Management Science 35, 22-41.
    De Bondt, W. F. M. and Richard H. Thaler, 1985, Does the Stock Market Overreact?, Journal of Finance 40, 793-805.
    Edwards, Ward, 1954, The theory of decision making, Psychological Bulletin 51, 380-417.
    Ellsberg, Daniel, 1961, Risk, ambiguity, and the Savage axioms, Quarterly Journal of Economics 75, 643-669.
    Fiegenbaum, A., and H. Thomas, 1988, Attitude toward risk and the risk-return paradox, prospect theory explanations, Academy of Management Journal, 31, 85-106.
    Fiegenbaum, A., 1990, Prospect theory and the risk-return association, an empirical examination in 85 industries, Journal of Economic Behavior and Organizations, 14, 187-203.
    Friedman, B. M., and L. J. Savage, 1948, The utility analysis of choice involving risk, Journal of Political Economy, 56, 279-304.
    Gervais, Simon, and Terrance Odean, 2001, Learning to be overconfident, Review of Financial Studies 14, 1-27.
    Grinblatt, Mark, and Sheridan Titman, 1994, A study of monthly mutual fund returns and performance evaluation techniques, Journal of Financial and Quantitative Analysis 29, 419-444.
    Gruber, Martin J., 1996, Another puzzle: The growth in actively managed mutual funds, Journal of Finance 51, 783-810.
    Guercio, Diane Del, and Paula A. Tkac, 2002, The determinants of the flow of funds of managed portfolios: Mutual funds vs. pension funds, Journal of Financial and Quantitative Analysis; 37, 523-557.
    Harless, David W. and Colin F. Camerer, 1994, The predictive utility of generalized expected utility theories, Econometrica 62, 1251-1289.
    Hung, Mao-wei, and Jr-yan Wang, 2002, Asset prices under prospect theory and habit formation, Working Paper, National Taiwan University.
    Ippolito, Richard A., 1992, Consumer reaction to measures of poor quality: Evidence from the mutual fund industry, Journal of Law and Economics 35, 45-70.
    Jagannathan, R., and N. R. Kocherlakota, 1996, Why should older people invest less in stocks than younger people? Federal Reserve Bank of Minneapolis Quarterly Review, Summer, 11-20.
    Jarrow, R., and E. Rosenfeld, 1984, Jump risks and the intertemporal capital asset pricing model, Journal of Business 57, 337-351.
    Jegers, M., 1991, Prospect theory and the risk-return relation, some Belgian evidence, Academy of Management Journal, 34, 215-225.
    Jensen, Michael C., 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance 23, 389-416.
    Jensen, Michael C., 1969, Risk, the pricing of capital assets, and evaluation of investment portfolios, Journal of Business 42, 167-247.
    Jorion, Philippe, 1988, On jump processes in the foreign exchange and stock markets, Review of Financial Studies 4, 427-445.
    Kahneman, Daniel, and Amos Tversky, 1979, Prospect Theory: An Analysis of Decision under Risk, Econometrica 47, 263-291.
    Kahneman, Daniel, and Amos Tversky, 1992, Advances in prospect theory: Cumulative representation of uncertainty, Journal of Risk and Uncertainty 5, 297-323.
    Kahneman, Daniel, Jack L. Knetsch, and Richard H. Thaler, 1990, Experimental tests of the endowment effect and the Coase theorem, Journal of Political Economy 98, 1325-1348.
    Kim, Tong, and Edward Omberg, 1996, Dynamic non-myopic portfolio behavior, Review of Financial Studies 9, 141-161.
    Lakonishok, Josef, Andrei Shleifer, and Robert Vishny, 1992, The structure and performance of the money management industry, Brookings Papers: Microeconomics 1992, 339-391.
    Lioui, Abraham, and Patrice Poncet, 2001, On optimal portfolio choice under stochastic interest rates, Journal of Economic Dynamics and Control 25, 1841-1865
    Liu, Jun, Francis A Longstaff, and Jun Pan, 2002, Dynamic Asset Allocation with Event Risk, Journal of Finance 58, 231-260.
    Lucas, Robert E., Jr. 1978, Asset prices in an exchange economy, Econometrica 46, 1429-1445.
    Markowitz, Harry, 1952, The utility of wealth, Journal of Political Economy 60, 151-158.
    Mehra, Rajnish, and Edward C. Prescott, 1985, The equity premium: a puzzle. Journal of Monetary Economics 15, 145-161.
    Merton, Robert C., 1969, Lifetime Portfolio Selection Under Uncertainty: The Continuous Time Case, Review of Economics and Statistics 51, 247-257.
    Merton, Robert C., 1971, Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory 3, 373-413.
    Merton, Robert C., 1976, Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics 3, 125-144.
    Odean, Terrance, 1998, Are investors reluctant to realize their losses?, Journal of Finance 53, 1775-1798.
    Oldfield, G., R. Rogalski, and R. Jarrow, 1977, An autoregressive jump process for common stock returns, Journal of Financial Economics 5, 389-418.
    Patel, J., R. Zeckhauser, and D. Hendricks, 1994, Investment flows and performance: Evidence from mutual funds, cross-border investments and new issues, in R. Satl, R. Levitch, and R. Ramachandran, Eds.: Japan, Europe and the International Financial Markets: Analytical and Empirical Perspectives (Cambridge University Press, New York).
    Press, S. J., 1967, A compound events model for security prices, Journal of Business 40, 317-335.
    Roll, R., 1978, Ambiguity when performance is measured by the securities market line, Journal of Finance 33, 1051-1069.
    Shefrin, Hersh, and Meir Statman, 1985, The disposition to sell winners too early and ride losers too long: Theory and evidence, Journal of Finance 40, 777-790
    Sirri, Erik R., and Peter Tufano, 1998, Costly search and mutual fund flows, Journal of finance 53, 1589-1622.
    Smidts, A., 1997, The relationship between risk attitudes and strength of preference: A test of intrinsic risk attitude, Management Science 43, 357-370.
    Sorensen, Carsten, 1999, Dynamic asset allocation and fixed income management, Journal of Financial and Quantitative Analysis 34, 513-532.
    Sundaresan, Suresh M., 2000, Continuous-time methods in finance: A review and assessment, Journal of Finance 55, 1569-1622.
    Tversky, Amos, and Daniel Kahneman, 1991, Loss aversion in riskless choice: A reference dependent model, Quarterly Journal of Economics 106, 1039-1061.
    Vasicek, Oldrich, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.
    Viceira, Luis M., 2001, Optimal portfolio choice for long-horizon investors with nontradable labor income, Journal of Finance 56, 433-470.
    von Neumann, John, and Oskar Morgenstern, 1944, Theory of games and economic behavior, Princeton University Press, Princeton, New Jersey. Second edition, 1947, third edition, 1953.
    Wu, Liuren, 2003, Jumps and Dynamic Asset Allocation, Review of Quantitative Finance and Accounting 20, 207-243.
    Xia, Yihong, 2001, Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation, Journal of finance 56, 205-246.
    Yaari, Menahem E., 1965, Convexity in the theory of choice under risk, Quarterly Journal of Economics 79, 278-290.
    Yen, Simon H., and Yuan-Hung Hsu Ku, 2003, Dynamic asset allocation strategy for intertemporal pension fund management with time-varying volatility, Academic Economic Papers 31, 229-261.
    Yen, Simon H., and Zion Guo, 2003, Determining institutional investors` dynamic asset allocation with prospect theory, Working paper.
    Yen, Simon H., and Zion Guo, 2003a, Dynamic international asset allocation of institutional investors with prospect theory, Working paper.
    Yen, Simon H., and Zion Guo, 2004, Jumps and dynamic asset allocation of institutional investors, Working paper.
    Yen, Simon H., and Zion Guo, 2004a, Dynamic asset allocation of institutional investors with prospect theory, Working paper.
    Zank, Horst, 2001, Cumulative prospect theory for parametric and multiattribute utilities, Mathematics of Operations Research 26, 67-81.
    Zingales, Luigi, 2000, In search of new foundations, Journal of Finance 55, 1623-1653.
    Zheng, Lu, 1999, Is money smart? A study of mutual fund investors’ fund selection ability, Journal of Finance 54, 901-933.
    Description: 博士
    國立政治大學
    財務管理研究所
    88357503
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0088357503
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2556View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback