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題名 控制多期下檔風險之委外投資組合管理
Controlling the Multi-Period Downside Risks in Delegated Portfolio Management
作者 蔡漢璁
Cai, Han Cong
貢獻者 張士傑
蔡漢璁
Cai, Han Cong
關鍵詞 代理問題
下檔投資風險
最適資產配置
最低保證
風險趨避程度
Agency Problem
Downside Risk
Optimal Asset Allocation
Minimum Guarantee
Degree of Risk Aversion
日期 2010
上傳時間 4-Sep-2013 15:01:11 (UTC+8)
摘要 已開發國家中，無論個人或是法人所擁有之財富大多透過金融中介機構管理，因此，財富委由他人管理衍生出現代資本市場中重要的委託關係。委託人與基金管理人產生委任契約時，也必然產生代理問題，即雙方利益不一致所額外增加的成本。為降低代理成本，於委任合約加入對管理人下檔投資風險的要求成為降低代理成本的重要機制。本研究因此探討當基金管理人面對契約存在最低報酬要求時，如何進行最適資產配置決策，並同時分析下檔風險限制改變時對管理人投資行為的影響。研究結果顯示，委任合約增加經理人最低保證收益時，基金管理人傾向增加持股，而經理人風險趨避程度增加時，將減少風險性股票資產，進而持有債券；如果投資目標收益於受委託期間皆不改變，將造成經理人持有債券組合以規避下檔風險，同時卻喪失追求資本利得。
In most developed countries, financial wealth is not managed directly by the investors, but through a financial intermediary. Hence, the delegated portfolio management is one of the most important principal-agency relationships in the current economy. In addition to that, the principal-agency relationships between the investor and portfolio manager must produce agency cost. In order to reduce these costs, the mandates in the contract become an important factor in reducing the principal-agent problem in a delegated portfolio management framework. In this research, we study how fund managers do asset allocation when they face some guaranteed returns and the relationships between the choices of mandates and the behavior of fund managers. We suppose that the objective of the delegated fund managers is to maximize the expected utility of wealth of the long-term fund at the end of each period and fund managers also have to fulfill some constrains given at the beginning. Finally, we explain how fund managers do optimal asset allocation by our model and some numerical analysis.
參考文獻 Bajeux-Besnainou I., Jordan, J. V. and Portait R. 2003, Dynamic Asset Allocation for Stocks, Bonds, and Cash. Journal of Business 76, 263-287.
Basak, S. 1995, A General Equilibrium Model of Portfolio Insurance. Review Financial Study 8, 1059-1090.
Black, F., and Scholes, M. 1973, The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81, 637-654.
Boulier, J. F., Huang, S. J. and Taillard, G. 2001, Optimal Management under Stochastic Interest Rates: the Case of a Protected Defined Contribution Pension Fund. Insurance: Mathematics and Economics 28, 173-189.
Boyle, P. and Yang, H. 1997, Asset Allocation with Time Variation in Expected Returns. Insurance: Mathematics and Economics 21, 201-218.
Brennan, M. J. and Schwartz, E. S. 1982, An Equilibrium Model of Bond Pricing and a Test of Market Efficiency. Journal of Financial and Quantitative Analysis 17, 301-329.
Brennan, M. J. and Schwartz, E. S. 1998, The Use of Treasury Bill Futures in Strategic Asset Allocation Programs. In Worldwide Asset and Liability Modeling. (J.M. Mulvey and W.T. Ziemba, Eds.) Cambridge, England: Cambridge University Press, 205-230.
Brennan, M. J.,Schwartz, E. S. and Lagnado, R. 1997, Strategic Asset Allocation. Journal of Economics, Dynamics and Control 21, 1377-1403.
Campbell, J. Y. 1987, Dose Saving Anticipate Decline Labor Income? An Alternative Test of the Permanent Income Hypothesis. Econometrica 55, 1249-1273.
Campbell, J. Y. and Viceira, L. M. 1999, Consumption and Portfolio Decisions when Expected Returns are Time Varying. Quarterly Journal of Economics 114, 433-495.
Campbell, J. Y. and Viceira, L. M. 2001, Who Should Buy Long-Term Bonds. American Economic Review 91, 99-127.
Chan, K. C., Karolyi, G. A., Longstaff, F. A. and Sanders, A. B. 1992, An Empirical Investigation of Alternative Models of the Short-term Interest Rate. Journal of Finance 47, 1209-1227.
Chang, Shih-Chieh and Li, Yi-Feng 2007, Controlling the Shortfall Risks in Dynamic Asset Allocation. Review of Securities and Futures Markets 19:2, 77-115.
Cox, J. C. and Huang, C. F. 1989, Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process. Journal of Economic Theory 49, 33-83.
Cox, J. C. and Huang, C. F. 1991, A Variational Problem Arising in Financial Economics. Journal of Mathematical Economics 20, 465-487.
Deelstra, G., Grasselli, M. and Koehl, P. F. 2000, Optimal Investment Strategies in a CIR Framework. Journal of Applied Probability 37, 936-946.
Grossman, S. and Zhou, Z. 1996, Equilibrium Analysis of Portfolio Insurance, Journal of Finance 51, 1379-1403.
Harrison, J. M. and Kreps, D. M. 1979, Martingales and Arbitrage in Multiperiod Securities Markets. Journal of Economic Theory 20, 381-408.
Harrison, J. M. and Pliska, S. R. 1981, Martingales and Stochastic Integrals in the Theory of Continuous Trading. Stochastic Processes and Their Applications 11, 215-60.
Jacob, J. 1979, Calcut Stochastique et Problemes de Martingales. Lecture Notes in Mathematics 714, Springer, Berlin.
Jensen, B. A. and Sorensen, C. 2001, Paying For Minimum Interest Rate Guarantee: Who Should Compensate Who? European Financial Management 7, 183-211.
Karatzas, I., Lehoczky, J. P., Sethi, S. P. and Shreve, S. E. 1986, Explicit Solutions of a General Consumption Investment Problem. Mathematics of Operations Research 11, 261-294.
Karatzas, I., Lehoczky, J. P., Sethi, S. P. and Shreve, S. E. 1987, Optimal Portfolio and Consumption Decisions for a Small Investor on a Finite Horizon. SIAM Journal on Control and Optimization 25, 1557-1586.
Kim, T. and Omberg, E. 1996, Dynamic Nonmyopic Portfolio Behavior. Review of Financial Studies 9, 141-161.
Long, J. B. 1990, The Numeraire Portfolio. Journal of Financial Economic 26, 29-69.
Markowitz, H. M. 1952, Portfolio selection. Journal of Finance 7, 77-91.
Markowitz, H. M. 1959, Portfolio Selection: Efficient Diversification of Investments. John Wiley & Sons, New York.
Merton, R. C. 1969, Lifetime Portfolio Selection under Uncertainty: The Continuous Time Case. Review of Economics and Statistics 51, 247-257.
Merton, R. C. 1971, Optimum Consumption and Portfolio Rules in a Continuous Time Model. Journal of Economic Theory 3, 373-413.
Merton, R. C. 1973, An Intertemporal Capital Asset Pricing Model. Econometrica 41,867-888.
Merton, R. C. 1990, Continuous Time Finance. Basil Blackwell, Cambridge, MA.
Meyer, P. A. 1976, Un cours sur les integrates stochastiques. Sem. Probabilite X, Lecture Notes in Math 511, Springer-Verlag, Berlin-Heidelberg-New York, 245-400.
Petit, M. L. 1990, Control Theory and Dynamic Games in Economic Policy Analysis. Cambridge, New York, Cambridge University Press.
Pliska, S. 1986, A Stochastic Calculus Model of Continuous Trading: Optimal Portfolio. Mathematics of Operations Research 11, 239-246.
Samuelson, P. 1969, Lifetime Portfolio Selection by Dynamic Stochastic Programming. Review of Economics and Statistics, 239-246.
Sharpe, W. F. 1991, Capital Asset Prices with and without Negative Holdings. Journal of Finance 64, 489-509.
Shiller, R. J. and Beltratti, A. E. 1992, Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models? Journal of Monetary Economic 30:1, 25-46.
Sorensen, C. 1999, Dynamic Asset Allocation and Fixed Income Management. Journal of Financial and Quantitative Analysis 34, 513-531.
Tobin, J. 1958, Liquidity Preference as Behavior Toward Risk. Review of Economic Studies 25, 68-85.
Tobin, J. 1965, The Theory of Portfolio Selection. F. H. Hahn and F. P. R. Brechling (Eds.)
Tobin, J. 1965, The Theory of Interest Rates. MacMillan Co., London.
Vasicek, O. 1977, An Equilibrium Characterization of The Term Structure. Journal of Financial Economics 5, 177-188.

Wachter, J. A. 2002, Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets. Journal of Financial and Quantitative Analysis 37, 63-91.
Zhao, Y., and Ziemba, W. T. 2001, A Stochastic Programming Model Using an Endogenously Determined Worst Case Risk Measure for Dynamic Asset Allocation. Mathematic Programming 89, 293-309.
Zhao, Y., Haussann, U. and Ziemba, W. T. 2003, A Dynamic Investment Model with Control on The Portfolio’s Worst Case Outcome. Mathematical Finance 13, 481-501.
描述 碩士
國立政治大學
風險管理與保險研究所
98358009
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098358009
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 蔡漢璁zh_TW
dc.contributor.author (Authors) Cai, Han Congen_US
dc.creator (作者) 蔡漢璁zh_TW
dc.creator (作者) Cai, Han Congen_US
dc.date (日期) 2010en_US
dc.date.accessioned 4-Sep-2013 15:01:11 (UTC+8)-
dc.date.available 4-Sep-2013 15:01:11 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2013 15:01:11 (UTC+8)-
dc.identifier (Other Identifiers) G0098358009en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60047-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 98358009zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 已開發國家中，無論個人或是法人所擁有之財富大多透過金融中介機構管理，因此，財富委由他人管理衍生出現代資本市場中重要的委託關係。委託人與基金管理人產生委任契約時，也必然產生代理問題，即雙方利益不一致所額外增加的成本。為降低代理成本，於委任合約加入對管理人下檔投資風險的要求成為降低代理成本的重要機制。本研究因此探討當基金管理人面對契約存在最低報酬要求時，如何進行最適資產配置決策，並同時分析下檔風險限制改變時對管理人投資行為的影響。研究結果顯示，委任合約增加經理人最低保證收益時，基金管理人傾向增加持股，而經理人風險趨避程度增加時，將減少風險性股票資產，進而持有債券；如果投資目標收益於受委託期間皆不改變，將造成經理人持有債券組合以規避下檔風險，同時卻喪失追求資本利得。zh_TW
dc.description.abstract (摘要) In most developed countries, financial wealth is not managed directly by the investors, but through a financial intermediary. Hence, the delegated portfolio management is one of the most important principal-agency relationships in the current economy. In addition to that, the principal-agency relationships between the investor and portfolio manager must produce agency cost. In order to reduce these costs, the mandates in the contract become an important factor in reducing the principal-agent problem in a delegated portfolio management framework. In this research, we study how fund managers do asset allocation when they face some guaranteed returns and the relationships between the choices of mandates and the behavior of fund managers. We suppose that the objective of the delegated fund managers is to maximize the expected utility of wealth of the long-term fund at the end of each period and fund managers also have to fulfill some constrains given at the beginning. Finally, we explain how fund managers do optimal asset allocation by our model and some numerical analysis.en_US
dc.description.tableofcontents 1. Introduction...................1
2. Literature Reviews.............6
3. Models.........................9
3.1 The Financial Market........9
3.2 Two-check-points Model.....16
3.3 The Generalized Model......28
4. Numerical Illustrations.......32
5. Conclusions...................51
Appendix A.......................54
Appendix B.......................55
Appendix C.......................57
Appendix D.......................59
Appendix E.......................61
References.......................63		zh_TW
dc.format.extent 2299322 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098358009en_US
dc.subject (關鍵詞) 代理問題zh_TW
dc.subject (關鍵詞) 下檔投資風險zh_TW
dc.subject (關鍵詞) 最適資產配置zh_TW
dc.subject (關鍵詞) 最低保證zh_TW
dc.subject (關鍵詞) 風險趨避程度zh_TW
dc.subject (關鍵詞) Agency Problemen_US
dc.subject (關鍵詞) Downside Risken_US
dc.subject (關鍵詞) Optimal Asset Allocationen_US
dc.subject (關鍵詞) Minimum Guaranteeen_US
dc.subject (關鍵詞) Degree of Risk Aversionen_US
dc.title (題名) 控制多期下檔風險之委外投資組合管理zh_TW
dc.title (題名) Controlling the Multi-Period Downside Risks in Delegated Portfolio Managementen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Bajeux-Besnainou I., Jordan, J. V. and Portait R. 2003, Dynamic Asset Allocation for Stocks, Bonds, and Cash. Journal of Business 76, 263-287.
Basak, S. 1995, A General Equilibrium Model of Portfolio Insurance. Review Financial Study 8, 1059-1090.
Black, F., and Scholes, M. 1973, The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81, 637-654.
Boulier, J. F., Huang, S. J. and Taillard, G. 2001, Optimal Management under Stochastic Interest Rates: the Case of a Protected Defined Contribution Pension Fund. Insurance: Mathematics and Economics 28, 173-189.
Boyle, P. and Yang, H. 1997, Asset Allocation with Time Variation in Expected Returns. Insurance: Mathematics and Economics 21, 201-218.
Brennan, M. J. and Schwartz, E. S. 1982, An Equilibrium Model of Bond Pricing and a Test of Market Efficiency. Journal of Financial and Quantitative Analysis 17, 301-329.
Brennan, M. J. and Schwartz, E. S. 1998, The Use of Treasury Bill Futures in Strategic Asset Allocation Programs. In Worldwide Asset and Liability Modeling. (J.M. Mulvey and W.T. Ziemba, Eds.) Cambridge, England: Cambridge University Press, 205-230.
Brennan, M. J.,Schwartz, E. S. and Lagnado, R. 1997, Strategic Asset Allocation. Journal of Economics, Dynamics and Control 21, 1377-1403.
Campbell, J. Y. 1987, Dose Saving Anticipate Decline Labor Income? An Alternative Test of the Permanent Income Hypothesis. Econometrica 55, 1249-1273.
Campbell, J. Y. and Viceira, L. M. 1999, Consumption and Portfolio Decisions when Expected Returns are Time Varying. Quarterly Journal of Economics 114, 433-495.
Campbell, J. Y. and Viceira, L. M. 2001, Who Should Buy Long-Term Bonds. American Economic Review 91, 99-127.
Chan, K. C., Karolyi, G. A., Longstaff, F. A. and Sanders, A. B. 1992, An Empirical Investigation of Alternative Models of the Short-term Interest Rate. Journal of Finance 47, 1209-1227.
Chang, Shih-Chieh and Li, Yi-Feng 2007, Controlling the Shortfall Risks in Dynamic Asset Allocation. Review of Securities and Futures Markets 19:2, 77-115.
Cox, J. C. and Huang, C. F. 1989, Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process. Journal of Economic Theory 49, 33-83.
Cox, J. C. and Huang, C. F. 1991, A Variational Problem Arising in Financial Economics. Journal of Mathematical Economics 20, 465-487.
Deelstra, G., Grasselli, M. and Koehl, P. F. 2000, Optimal Investment Strategies in a CIR Framework. Journal of Applied Probability 37, 936-946.
Grossman, S. and Zhou, Z. 1996, Equilibrium Analysis of Portfolio Insurance, Journal of Finance 51, 1379-1403.
Harrison, J. M. and Kreps, D. M. 1979, Martingales and Arbitrage in Multiperiod Securities Markets. Journal of Economic Theory 20, 381-408.
Harrison, J. M. and Pliska, S. R. 1981, Martingales and Stochastic Integrals in the Theory of Continuous Trading. Stochastic Processes and Their Applications 11, 215-60.
Jacob, J. 1979, Calcut Stochastique et Problemes de Martingales. Lecture Notes in Mathematics 714, Springer, Berlin.
Jensen, B. A. and Sorensen, C. 2001, Paying For Minimum Interest Rate Guarantee: Who Should Compensate Who? European Financial Management 7, 183-211.
Karatzas, I., Lehoczky, J. P., Sethi, S. P. and Shreve, S. E. 1986, Explicit Solutions of a General Consumption Investment Problem. Mathematics of Operations Research 11, 261-294.
Karatzas, I., Lehoczky, J. P., Sethi, S. P. and Shreve, S. E. 1987, Optimal Portfolio and Consumption Decisions for a Small Investor on a Finite Horizon. SIAM Journal on Control and Optimization 25, 1557-1586.
Kim, T. and Omberg, E. 1996, Dynamic Nonmyopic Portfolio Behavior. Review of Financial Studies 9, 141-161.
Long, J. B. 1990, The Numeraire Portfolio. Journal of Financial Economic 26, 29-69.
Markowitz, H. M. 1952, Portfolio selection. Journal of Finance 7, 77-91.
Markowitz, H. M. 1959, Portfolio Selection: Efficient Diversification of Investments. John Wiley & Sons, New York.
Merton, R. C. 1969, Lifetime Portfolio Selection under Uncertainty: The Continuous Time Case. Review of Economics and Statistics 51, 247-257.
Merton, R. C. 1971, Optimum Consumption and Portfolio Rules in a Continuous Time Model. Journal of Economic Theory 3, 373-413.
Merton, R. C. 1973, An Intertemporal Capital Asset Pricing Model. Econometrica 41,867-888.
Merton, R. C. 1990, Continuous Time Finance. Basil Blackwell, Cambridge, MA.
Meyer, P. A. 1976, Un cours sur les integrates stochastiques. Sem. Probabilite X, Lecture Notes in Math 511, Springer-Verlag, Berlin-Heidelberg-New York, 245-400.
Petit, M. L. 1990, Control Theory and Dynamic Games in Economic Policy Analysis. Cambridge, New York, Cambridge University Press.
Pliska, S. 1986, A Stochastic Calculus Model of Continuous Trading: Optimal Portfolio. Mathematics of Operations Research 11, 239-246.
Samuelson, P. 1969, Lifetime Portfolio Selection by Dynamic Stochastic Programming. Review of Economics and Statistics, 239-246.
Sharpe, W. F. 1991, Capital Asset Prices with and without Negative Holdings. Journal of Finance 64, 489-509.
Shiller, R. J. and Beltratti, A. E. 1992, Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models? Journal of Monetary Economic 30:1, 25-46.
Sorensen, C. 1999, Dynamic Asset Allocation and Fixed Income Management. Journal of Financial and Quantitative Analysis 34, 513-531.
Tobin, J. 1958, Liquidity Preference as Behavior Toward Risk. Review of Economic Studies 25, 68-85.
Tobin, J. 1965, The Theory of Portfolio Selection. F. H. Hahn and F. P. R. Brechling (Eds.)
Tobin, J. 1965, The Theory of Interest Rates. MacMillan Co., London.
Vasicek, O. 1977, An Equilibrium Characterization of The Term Structure. Journal of Financial Economics 5, 177-188.

Wachter, J. A. 2002, Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets. Journal of Financial and Quantitative Analysis 37, 63-91.
Zhao, Y., and Ziemba, W. T. 2001, A Stochastic Programming Model Using an Endogenously Determined Worst Case Risk Measure for Dynamic Asset Allocation. Mathematic Programming 89, 293-309.
Zhao, Y., Haussann, U. and Ziemba, W. T. 2003, A Dynamic Investment Model with Control on The Portfolio’s Worst Case Outcome. Mathematical Finance 13, 481-501.		zh_TW