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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/17047

Title: Determining Institutional Investor's Dynamic Asset Allocation
Authors: Guo, Zion;Yen, Simon H.
Contributors: 商業教育學系
Keywords: Dynamic asset allocation;Institutional investor
Date: 2006-04
Issue Date: 2013-07-11T08:43:32Z
Publisher: 國立中山大學財務管理學系
Abstract: 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.
Relation: Journal of Financial Studies, 14(1): 77-94
Appears in Collections:[商業教育學系] 期刊論文

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