CAJ | 학술논문

现代金融研究领域中．无论是业界还是学术界。如何帮助投资者进行更好的资产配置一直是研究的核心内容。资产组合或者投资基金的管理者只有通过资产配置获得更多的超额收益才能受到更多投资者的青睐，才能得到市场的肯定。从根本上讲，这些投资人如何更好地选择资产配置以获得成功取决于他们对市场的准确预测能力。本文利用期权在反映投资者预期方面的优势．采用外汇期权的隐含波动率报价提取出投资者对未来预期的期权隐含的相关系数．并使用已实现效用的模型进行了资产配置方面的研究。利用全样本和分区间样本进行实证研究后本文发现．外汇期权隐含相关系数的预测能力有助于改善投资者的跨国资产配置。
현대금융연구영역중．무론시업계환시학술계。여하방조투자자진행경호적자산배치일직시연구적핵심내용。자산조합혹자투자기금적관리자지유통과자산배치획득경다적초액수익재능수도경다투자자적청래，재능득도시장적긍정。종근본상강，저사투자인여하경호지선택자산배치이획득성공취결우타문대시장적준학예측능력。본문이용기권재반영투자자예기방면적우세．채용외회기권적은함파동솔보개제취출투자자대미래예기적기권은함적상관계수．병사용이실현효용적모형진행료자산배치방면적연구。이용전양본화분구간양본진행실증연구후본문발현．외회기권은함상관계수적예측능력유조우개선투자자적과국자산배치。
Asset allocation is always the core point of the modern finance study, which can help investors decide the proportions of different assets more efficiently. Portfolio managers and fund managers can win investors＇ trust only by maximizing their profits or minimizing their loss. To realize this, they have to improve their forecasting ability constantly, which is the main focus of this paper. This paper uses the rich information related to option prices, extracts the implied correlation from currency option implied volatilities and investigates its application on asset allocation with realized utility model. Empirical studies with full-sample and sub-samples show that the use of option-implied correlations helps improve cross-country asset allocation.