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- W2246466075 abstract "Institutional investors have been seriously ignored in financial theory. In this paper, we derive a closed-form solution to optimal portfolio selection of the institutional investor based on value function. This knowledge has never previously been documented in the literature. We find that the optimal portfolio selection of institutional investors contains two components: the benchmark hedge component and the size hedge component. The benchmark hedge component indicates that the volatility of relative benchmark portfolio is an important factor to consider when holding risky assets. The size hedge component depicts that when the size of fund is increasing, the institutional investor would hold a decreasing amount of risky assets. Furthermore, the empirical results show that our model can earn high enough returns to compensate the higher β, and the excess returns of our model are even higher than 15%." @default.
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- W2246466075 date "2008-02-01" @default.
- W2246466075 modified "2023-09-23" @default.
- W2246466075 title "Portfolio Selection of Institutional Investors Based on Value Function" @default.
- W2246466075 doi "https://doi.org/10.6504/jom.2008.25.01.02" @default.
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