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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/17048

Title: Portfolio Selection of Institutional Investors Based on Value Function
Authors: Guo, Zion;Yen, Simon H.
Contributors: 商業教育學系
Keywords: Value function;Prospect theory;Portfolio selection;Institutional investor
Date: 2008-02
Issue Date: 2013-07-11T08:43:33Z
Publisher: 社團法人中華民國管理科學學會
Abstract: 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%.
Relation: Journal of Management, 25(1): 31-49
Appears in Collections:[商業教育學系] 期刊論文

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