The Optimal dynamic asset allocation strategies for long term investors

• Main Authors: Hwang, Yawen, 黃雅文
• Other Authors: Chang, Shih Chieh
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/70414794936633636118

博士 === 國立政治大學 === 風險管理與保險研究所 === 97 === In this study, we study three essays of asset allocation problem for long term investors, which means that in this discourse we emphasis the importance of inflation risk. In the first topic, we derive the dynamic optimal investment strategy of the defined contribution pension schemes which include two mechanisms of partial floor protection and incentive fees and their benchmarks. We find investors should hold high proportion of stock index fund to hedge the inflation risk; moreover, the ratio of incentive fees to the setting of benchmark will change the optimal investment trend of underlying assets. In the second topic, we introduce the optimal investment portfolio with minimum guarantees and show that the fund manager should adjust the optimal weights of underlying assets with the ratio of the guarantee fund's value to the value of fund. Finally, this work focuses on how to precisely predict the dynamics of inflation rate. We apply learning method to adjust the prediction of inflation process and we use numerical analysis to study the effect of learning mechanism under different parameter setting.