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Small-sized asset owners’ OCIO selections and evaluations

Author

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  • Deahyeon Park
  • Doo Jin Ryu

Abstract

- This study analyzes small-sized asset owners’ optimal choice problems in selecting an outsourced chief investment officer (OCIO). While large-sized asset owners can select OCIOs through procurement auctions, it is difficult for small-sized asset owners to use this method. Instead, they access OCIO services by participating in an investment pool or utilizing OCIO funds. In this study, the authors compare the two OCIO selection methods. The authors construct an agent-based model for OCIO selection to reflect the heterogeneity in production efficiency and preferences. The results of this study imply that when the market has enough investment pools, the utility of all small-sized asset owners increases. To enhance the growth in the OCIO market, the investment pool should represent the preferences of small-sized asset owners and enable individual owners to find an appropriate OCIO.

Suggested Citation

  • Deahyeon Park & Doo Jin Ryu, 2023. "Small-sized asset owners’ OCIO selections and evaluations," Journal of Derivatives and Quantitative Studies: 선물연구, Emerald Group Publishing Limited, vol. 31(2), pages 162-171, February.
    • Handle: RePEc:eme:jdqspp:jdqs-06-2022-0015
    DOI: 10.1108/JDQS-06-2022-0015
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    More about this item

    Keywords

    Agent-based simulation; Multidimensional auction; Outsourced chief investment officer (OCIO); OCIO evaluation; Posted-price market; Small-sized asset owners; D86; G11; G23;
    All these keywords.

    JEL classification:

    • D86 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Economics of Contract Law
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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