Optimal Asset Allocation In Multi-period Fund Management: An Application of Quasi-Dynamic Programming

本研究探討長期信託基金（諸如退休基金，人壽保險公司等）之固定收益債券多期資產配置，利用時間可加性之效用函數描述投資者於投資期限時對財富大小之風險偏好程度，滿足基金之長期最適效益目標，為避免模型過於複雜，本文假設於動態完備市場中針對基金所持有之資產執行動態資產配置，建立財務動態調整機制以評量基金到期之獲利表現。為實際反應市場之風險程度，持有資產將利用隨機擴散過程表示，短期市場利率採用單因子Vasicek隨機模型表示，本文以給定金融市場之情境假設，說明不同到期日之債券為適當之獲利投資及避險工具，本研究之多期資產配置模型主要參考Cox與Huang (1989, 1991)與Sorensen (1999)，將未來財富過程利用平賭過程表示，給定不同投資限制條件、風險偏好程度與市場系統風險，以擬似動態規劃實際計算與比較每期之最適資產配置。 This study attempts to investigate the hedging behavior through multi-period asset allocation strategy for the long-term fund manager, i.e., pension fund managers, life insurers, etc. Time additive utility function is employed to depict the risk preference of the investors during his investment time horizon. Based on their long-duration liabilities, assets held by the fund manager are employed in hedging and speculating under dynamic complete market assumption. To fully reflect the financial risks from the market, a risk management mechanism is implemented to monitor the long-term financial soundness. Short-term interest rate model proposed by Vasicek is employed to characterize the diffusion pattern of the invested assets. Current financial market information are incorporated and investigated to portray the hedging strategy through fixed income securities with various maturities. The quasi-dynamic approach proposed in Cox and Huang (1989, 1991) and Sorensen (1999) are implemented to construct the optimal asset allocation model. The optimal strategy is examined through maximizing the indirect utility function through the optimal growth portfolio. Finally, the hedging behaviors are compared and fully explored under various market scenarios