Dynamic Mutual Fund Investment Decision in the Presence of Labor Income Risk

勞工收入風險下之共同基金投資動態決策

林文昌(Wen-Chang Lin) ； 呂進瑞(Jin-Ray Lu) ； 莊益源(I-Yuan Chuang)

《財務金融學刊》 12卷2期 (2004/08) Pp. 143-170

https://doi.org/10.6545/JFS.2004.12(2).4

摘要

本文同時分析了在共同基金投資中兩方重要的決策：亦即投資人投資基金的數量，以及基金經理人投資組合的選擇。由於投資人的投資決策可能受到其勞工薪資不確定的影響，而基金經理人的報酬又與基金的流量有密切的關係；將使他們的策略將呈現相關性。因此，在本文中我們應用隨機微分賽局的模型來分析兩者的動態決策。結果顯示，其中一位的決策是否會考量另一位的風險態度，必須依據他們彼此間的競爭關係而定。另外我們也發現，他們的投資決策與他們兩者風險趨避程度的相對比例有關，而非傳統單方模型的所推論的絕對風險趨避。

關鍵字

共同基金 ； 投資組合選擇 ； 勞工薪資風險 ； 隨機微分賽局

並列摘要

In the mutual fund investment, two critical decisions to be made are the quantity of shares purchased by investors and the portfolio choice rule by mutual fund manager. By recognizing the fact that the payoffs of the two agents are closely related to their jointly dynamic fund flows, which are considerably affected by the flows of investors' uninsurable labor income, we show that, the two agents' decisions will appear to be strategically interdependent and it can be analyzed in a manner of stochastic differential game. In this paper, we also show that whether one agent's decision will take into account another agent's risk attitude depends on their cooperative relationship. We conclude that, instead of the absolute value of risk aversion level commonly supported by single agent model, the investment decision in a simultaneous two-agent game model is related to the relative level of their risk aversion degree.

並列關鍵字

mutual fund ； portfolio choice ； labor income risk ； stochastic differential game

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