机构投资者对投资经理人最优组合问题研究

Research on the Optimal Combination of Investment Managers from the Angle of Institutional Investors

有关资产配置的研究对如何确定最优化资产种类结构已形成比较成熟的分析体系,但对于如何决定投资经理人结构,使其有效地执行资产配置、最优化资金收益,却少有研究。通过把传统的构造证券组合风险—收益优化方法应用到投资经理人选择问题中,从而将投资经理人一次性选择过程转化为组合优化构造问题,从雇用组合经理人的机构投资者或其他资产管理者角度来看,借重投资经理人风格分析和信息率优化框架,就能够解决上述问题。

How assets allocation determines the optimal structure of asset has been analyzed extensively in many academic research. However, much less attention has been paid to the determination of the structure of investment managers in order to help their implementation of asset allocation effectively, and optimize capital income. By cutting the traditional portfolio risk into half, and using income optimization method into the choice of investment managers, the authors believe that the choice of manager changes from one - time choice into a portfolio optimization process. The above problem can be solved by using the framework of analyzing manager style and optimizing information ratio from the angle of institutional investors or other asset managers.