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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/72073

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72073

Title:	Downside Risk Control in a Continuous-Time Portfolio Management
Authors:	張士傑 Hwang, Ya-Wen;Chang, Shih-Chieh Bill;Cai, Han-Cong
Contributors:	風管系
Keywords:	Multi-period downside control;Dynamic strategies;Synthetic call;Mutual fund
Date:	2013-12
Issue Date:	2014-12-15 18:05:14 (UTC+8)
Abstract:	Institutionally managed savings have dramatically increased in recent decades. In order to ensure that portfolio managers work directly for investors, controlling downside risk is a crucial mechanism in the agent`s asset allocation strategy. In this paper, we extend the agent`s asset allocation problem by incorporating multi-period downside control over the time-varying opportunity set. We show that optimal asset allocation can be regarded as a series of separate dynamic strategies in replicating the synthetic call options with the utility-related mutual fund and guarantee exercise. Numerical simulations show that increasing the minimum effectively increases the equity holding. Moreover, fund managers are inclined to hold only fixed income portfolios once the target return is obtained.
Relation:	Asia Pacific Journal of Financial Studies, 42(6), 913-938
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/ajfs.12035
DOI:	10.1111/ajfs.12035
Appears in Collections:	[風險管理與保險學系] 期刊論文

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