基于策略互动的机构投资组合行为及其对资产价格的影响

Institutional investor plays a key role in asset price formation in modern financial markets. The compensation of investment managers is often proportional to the assets under their management. Fund managers have strong incentives to pursue industry-leading investment performance, which will attract new capital inflows and expand the scale of assets. Fund managers are engaged in game behaviors, and competition leads to investment strategic interactions. How do strategic interactions influence institutional portfolio behaviors, and ultimately affect asset prices? This project will conduct systematic research and investigations on this question. We model institutional portfolio choices based on strategic interactions when each manager knows the others’ risk preference. We will derive the equilibrium strategy and analyze the impact of competitive strategy on institutional investment behavior. Then we will extend the model to situations when risk preferences are unknown, and explore the relationship between the Bayesian equilibrium strategies and institutional investment behaviors. We will also model institutional portfolio choices based on strategic interactions to study how market frictions affect the competition among portfolio managers when there are risk constraints and transaction costs, and when managers possess market power. Finally, we will develop asset pricing models based on strategic interactions between institutions, and explore the effect of competition on asset prices. Our research outcome will further enrich the existing portfolio and asset pricing theories, and provide reference for investors to protect their interest and for market regulators to develop relevant polices.

在现代金融市场，机构投资者在资产价格形成过程中扮演重要角色。管理者的报酬一般是其管理的资产总量的某一比例，取得行业领先的业绩，有利于吸引新资金流入而做大资产规模。为了投资业绩，管理者相互博弈，竞争导致投资策略互动。策略互动如何影响机构的投资组合行为，并最终影响资产的价格？本项目将对此问题进行系统研究和探讨。该项目建立管理者相互了解对方风险偏好的基于策略互动的投资组合模型，求解均衡策略，分析竞争策略对机构投资行为的影响；将模型扩展到风险偏好未知的情况，探讨贝叶斯均衡策略与机构投资行为的关系；构建风险约束、存在交易费用、管理者具有市场能力的基于策略互动的机构投资组合模型，分析市场摩擦等对机构竞争策略的影响；构建引入机构策略互动的资产定价模型，探讨机构竞争对资产价格的影响。研究成果在理论上进一步丰富现有的投资组合与资产定价理论，实践中将为投资者保护自己的利益和市场监管者制定相关政策提供决策参考。

在现代金融市场，机构投资者在资产价格形成过程中扮演重要角色。管理者的报酬一般是其管理的资产总量的某一比例，取得行业领先的业绩，有利于吸引新资金流入而做大资产规模。为了投资业绩，管理者相互博弈，竞争导致投资策略互动。策略互动如何影响机构的投资组合行为，并最终影响资产的价格？本项目对此问题进行系统研究和探讨。. 探讨了策略互动时，业绩与机构投资组合选择及风险的关系，成果发表在《Bulletin of Economic Research》. 研究了策略互动下的相对风险度量方法及其统计推断，成果发表在《Journal of Business & Economic Statistics》。研究了投资策略互动下导致的两类不对称对资产价格的影响，成果发表在《系统工程学报》；研究了业绩追求导致的资金流动对基金动态投资策略的影响，投稿《系统工程理论与实践》；研究了个人与机构投资者异质信念对动态资产价格的影响，投稿《Journal of Banking and Finance》；研究了外部监督与基金动态投资行为，成果发表在《Mathematical Problems in Engineering》。另外，课题扩展研究包括投资组合和金融时间序列、风险管理等相关问题，成果发表在《Journal of Banking and Finance》《Journal of Corporate Finance》《Quantitative Finance》《Economic Modelling》《数理统计与管理》《金融与经济》等。. 依托本项目，发表和录用论文12 篇，其中 SSCI期刊论文8篇，国家自然科学基金委管理学部认定的重要学术期刊2篇；出版专著1部。指导硕士论文10篇，学生发表论文4篇。作为项目的延伸研究， 2019 年立项国家自然科学基金面上项目《机构投资者激励合同对资产价格的影响机制研究》 (编号 71973056)。研究成果在理论上进一步丰富现有的投资组合与资产定价理论，实践中将为投资者保护自己的利益和市场监管者制定相关政策提供决策参考。