Small-sized asset owners’ OCIO selections and evaluations

Deahyeon Park and Doo Jin Ryu

Journal of Derivatives and Quantitative Studies: 선물연구, 2023, vol. 31, issue 2, 162-171

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.

Keywords: Agent-based simulation; Multidimensional auction; Outsourced chief investment officer (OCIO); OCIO evaluation; Posted-price market; Small-sized asset owners; D86; G11; G23 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jdqspp:jdqs-06-2022-0015

DOI: 10.1108/JDQS-06-2022-0015

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