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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/17056

Title: Optimal Portfolio Choice of Institutional Investors with Event Risk
Authors: Guo, Zion
Contributors: 商業教育學系
Keywords: Dynamic asset allocation;Institutional investor;Jump
Date: 2005-04
Issue Date: 2013-07-11T08:44:20Z
Publisher: 高雄第一科技大學管理學院
Abstract: The risk of a sudden large shock to security price is one of the inherent hazards of investing in financial markets. We determine the risk of flow via empirical results and analyze the optimal portfolio choice problem of institutional investors in economy with infrequent events. We find that the optimal asset allocation strategy contains three components: the benchmark hedge component, the return hedge component, and the jump hedge component. The first one component indicates that the volatility of relative benchmark portfolio is an important factor for holding risky assets. The second one is consistent with common sense of investment decision. Finally, the last one captures the impact of mean percentage change in risky asset price.
Relation: 2005台灣財務學術研討會
Appears in Collections:[商業教育學系] 會議論文

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