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1、THECONCEPTOFINVESTMENTEFFICIENCYANDITSAPPLICATIONTOINVESTMENTMANAGEMENTSTRUCTURESBYT.M.HODGSON,S.BREBAN,C.L.FORD,M.P.STREATFIELDANDR.C.URWIN[PresentedtotheInstituteofActuaries,28February2000]ABSTRACTInvestmentefficiencyisafunctionoftherisk,returnandtotalcos
2、tofaninvestmentmanagementstructure,subjecttothefiduciaryandotherconstraintswithinwhichinvestorsmustoperate.Institutionalinvestorsimplementtheirinvestmentpoliciesthroughinvestmentmanagementstructures.Inthispaper,theaimistoenhancetheinvestmentmanagementstruct
3、urebybroadeningthefinancialobjectives,byrecognisingtheeffectofbehaviouralissuesandbyincorporatinggovernanceconstraints.Wethereforesuggestthatinvestmentefficiencyshouldbeconsideredasacombinationoffinancialefficiencyandnon-financialefficiency.Modernportfoliot
4、heoryhadarevolutionaryeffectonportfolioconstruction.Inthesameway,webelievethatinvestmentmanagementstructuresshouldbeconstructedinamoredisciplinedandquantitativemanner.Inthispaperweoutlinethequantitativeandqualitativemethodsbywhichthesestructurescanbedevelop
5、ed.Theproposednewframeworkfordesigninginvestmentmanagementstructuresseekstooptimisenetinformationratioswhilesimultaneouslyrecognisingthelevelofregretriskfacingfiduciaries,minimisingnonfinancially-productivebehaviouralbiasesandtakingaccountoftheresourcesavai
6、labletothefiduciarytomonitorthesestructures.KEYWORDSActivereturn;Activerisk;Behaviouralfinance;Governance;Investment;Investmentmanagementstructure;NetinformationratioCONTACTADDRESSR.C.Urwin,WatsonHouse,LondonRoad,Reigate,Surrey,RH29PQ,U.K.Tel:+44(0)17372411
7、44,Email:Roger_Urwin@watsonwyatt.co.uk.1.INTRODUCTION1.1Overview1.1.1Investmentefficiencyisafunctionoftherisk,returnandtotalcostofinvestmentmanagement,subjecttotheconstraintswithinwhichinvestorsmustoperate.Theseconstraintsincludefinancialelementsandnon-fina
8、ncialelementssuchasaninvestor'stimeavailabletomanagetheinvestmentarrangements,accountabilityasafiduciary,orlegislativerequirements.Investmentefficiencyshouldthereforeberegardedasacombinationoffinancial
