风险预算分析与投资结构优化模型

机构投资者在设计他们的全部投资组合、管理其资产时,面对大量的困难决策。其中,最令人困惑的决策涉及到经理人结构,既使资产配置研究给投资者指出了最合适资产种类结构,但几乎没有人去指导投资者确定经理人结构,使他们的资金最有效的发挥作用。本文把传统构造证券组合的风险收益优化方法,应用到经理组合方面,从雇佣组合经理或其他资产管理者角度,讨论主动式风险控制和经理结构优化框架。

Risk Budgeting and Investment Structure Optimizing Models

Large investors, including plan sponsors,foundations,etc., face several difficulties in managing their assets.Some of the most perplexing relate to manager structure.Even though and asset allocation study directs investors to the most appropriate asset class structure,most investors have little to guide them in determining the manager structure that will put their money to work in the most effective way.We draw on the literature of active management related to building portfolios of securities,and adapt it to the problem of building portfolios of managers.