| dc.contributor.advisor | 李桐豪 | zh_TW |
| dc.contributor.advisor | Lee, Tung Hao | en_US |
| dc.contributor.author (Authors) | 廖志峰 | zh_TW |
| dc.contributor.author (Authors) | Liao, Chih Feng | en_US |
| dc.creator (作者) | 廖志峰 | zh_TW |
| dc.creator (作者) | Liao, Chih Feng | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:33:24 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:33:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:33:24 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0913525051 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31220 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 91352505 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor`s portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject. | zh_TW |
| dc.description.abstract (摘要) | The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor`s portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject. | en_US |
| dc.description.tableofcontents | 1 Introduction. . . . . . . . . . . . . . . . . . . . . 1 1.1 Motivation of this dissertation . . . . . . . . . . 1 1.2 Brief review of international portfolio allocation and home bias puzzle . . . . . . . . . . .. . . . . . . . . 2 1.3 Purposes of this dissertation . . . . . . . . . . . 4 1.4 Limitations of this dissertation . . . . . . . . . 5 1.5 Contents of this dissertation . . . . . . . . . . . 6 2 International Portfolio Allocation: The Importance of Foreign Consumption. . . . . . . . . . . . . . . . . . 9 2.1 Introduction . . . . . . . . . . . . . . . . . . . .9 2.2 Model assumptions . . . . . . . . . . . . . . . . . 12 2.3 Optimal international portfolio allocation . . . .. 16 2.4 Numerical illustration . . . . . . . . . .. . . . . . . . . . . . 20 2.4.1 Estimates for model parameters . . . . . . . . . 21 2.4.2 The impact of consumption on portfolio allocation in calibration. . . . . . . . . . . . . . . . . . . . . . 23 2.4.3 The effects of volatilities in interest rates and the exchange rate on portfolio allocations . . . . . . . . 26 2.5 Conclusion . . . . . . . . . . . . . . . . . . . . 30 3 Optimal Dynamic Portfolio Allocation under International Investment Restriction . . . . . . . . . . . . . . . . 31 3.1 Introduction . . . . . . . . . . . . . . . . . . . 31 3.2 International financial market framework and assumptions . . . . . . . . . . . . . . . . . . . . . . 34 3.3 Optimal portfolio allocation in unconstrained situation . . . . . . . . . . . . . . . . . . . . . . . 38 3.3.1 The investor`s problem . . . . . . . . . . . . . 38 3.3.2 Solution . . . . . . . . . . . . . . . . . . . . 39 3.3.3 Discussion . . . . . . . . . . . . . . . . . . . 40 3.4 Optimal portfolio allocation in constrained situation . . . . . . . . . . . . . . . . . . . . . . . 41 3.4.1 The solution method in incomplete markets . . . . 42 3.4.2 The investor’s problem in the constrained situation . . . . . . . . . . . . . . . . . . . . . . . 45 3.4.3 The solution in the constrained situation . . . . 45 3.5 Conclusion . . . . . . . . . . . . . . . . . . . . 47 4 International PortfolioAllocation under Mild Segmentation and Stochastic Interest rates . . . . . . . . . . . . . 49 4.1 Introduction . . . . . . . . . . . . . . . . . . . 49 4.2 Model settings . . . . . . . . . . . . . . . . . . 51 4.3 Optimal international portfolio allocation problem 54 4.4 Numerical illustration . . . . . . . . . . . . . . 60 4.5 Conclusion . . . . . . . . . . . . . . . . . . . . 67 5 Concluding Remarks and Future Researches . . . . . . 68 Bibliography . . . . . . . . . . . . . . . . . . . . . 71 Appendix . . . . . . . . . . . . . . . . . . . . . . . 77 A. Appendix to Chpater 2 . . . . . . . . . . . . . . . 77 A.1 Transformation of Brownian motion . . . . . . . . . 77 A.2 Proof of Proposition 2.1 . . . . . . . . . . . . . 77 B. Appendix to Chpater 3 . . . . . . . . . . . . . . . 80 B.1 Domestic and foreign zero coupon bond price . . . . 81 B.2 Proof of Proposition 3.1 . . . . . . . . . . . . . 82 B.3 Proof of Proposition 3.2 . . . . . . . . . . . . . 84 C. Appendix to Chpater 4 . . . . . . . . . . . . . . . 85 C.1 Proof of Proposition 4.1 . . . . . . . . . . . . . 86 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913525051 | en_US |
| dc.subject (關鍵詞) | 國際資產配置 | zh_TW |
| dc.subject (關鍵詞) | 市場區隔 | zh_TW |
| dc.subject (關鍵詞) | 平賭過程 | zh_TW |
| dc.subject (關鍵詞) | 投資限制 | zh_TW |
| dc.subject (關鍵詞) | 資產投資障礙 | zh_TW |
| dc.subject (關鍵詞) | Dynamic international portfolio allocation | en_US |
| dc.subject (關鍵詞) | Mild segmentation | en_US |
| dc.subject (關鍵詞) | Martingale | en_US |
| dc.subject (關鍵詞) | Investment restrictions | en_US |
| dc.subject (關鍵詞) | Portfolio constraints | en_US |
| dc.title (題名) | 國際投資組合研究 | zh_TW |
| dc.title (題名) | Essays on International Portfolio Allocation | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Adler, M., and B. Dumas. (1983). International portfolio choice and corporation finance: A synthesis. Journal of Finance, 38, 925–984. | zh_TW |
| dc.relation.reference (參考文獻) | Ahearne, A. G.,W. L. Griever, and F. E.Warnock. (2001). Information costs and home bias: An analysis of U.S. holdings of foreign equities. Federal Reserve Board, International Finance Division,Working Paper 691, Washington, D.C. | zh_TW |
| dc.relation.reference (參考文獻) | Ang, A., and G. Bekaert. (2002). International asset allocation with regime shifts. Review of Financial Studies, 15, 1137–1187. | zh_TW |
| dc.relation.reference (參考文獻) | Babbs, S.H., and K.B. Nowman. (1998). An application of generalized Vasicek term structure models to the UK gilt-edged market: A Kalman filtering analysis. Applied Financial Economics, 8, 637–644. | zh_TW |
| dc.relation.reference (參考文獻) | Babbs, S.H., and K.B. Nowman. (1999). Kalman filtering of generalized Vasicek term structure models. Journal of Financial and Quantitative Analysis, 34, 115–130. | zh_TW |
| dc.relation.reference (參考文獻) | Basak, S. (1996). An intertemporal model of international capital market segmentation. Journal of Financial and Quantitative Analysis, 31, 161–188. | zh_TW |
| dc.relation.reference (參考文獻) | Bekaert, G., Harvey, C.R., and C. Lundblad. (2006). Growth volatility and financial liberalization. Journal of International Money and Finance, 25, 370–403. | zh_TW |
| dc.relation.reference (參考文獻) | Black, F. (1974). International capital market equilibrium with investment barriers. Journal of Financial Economics, 1, 337–352. | zh_TW |
| dc.relation.reference (參考文獻) | Black, F., and R. Litterman. (1992). Global portfolio optimization. Financial Analysts Journal, 48, 28–43. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, M.J., Schwartz, E., and R. Lagnado. (1997). Strategic asset allocation. Journal of Economic Dynamics and Control, 21, 1377–1403. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, M.J., and Y. Xia. (2002). Dynamic asset allocation under inflation. Journal of Finance, 57, 1201–1238. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, J.Y., and L.M. Viceira. (2001). Who should buy long-term bonds? American Economic Review, 91, 99–127. | zh_TW |
| dc.relation.reference (參考文獻) | Chaieb, I., and V. Errunza. (2007). International asset pricing under segmentation and PPP deviations. Journal of Financial Economics, 86, 543–578. | zh_TW |
| dc.relation.reference (參考文獻) | Cooper, I. A., and E. Kaplanis. (1994). Home bias in equity portfolios, inflation hedging and international capital market equilibrium. Review of Financial Studies, 7, 45–60. | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J., and C.F. Huang. (1989). Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory, 49, 33–83. | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J., and C.F. Huang. (1991). A variational problem arising in financial economics. Journal of Mathematical Economics, 20, 465–487. | zh_TW |
| dc.relation.reference (參考文獻) | Cuoco, D. (1997). Optimal consumption and equilibrium prices with portfolio constraints and stochastic income. Journal of Economic Theory, 71, 33–73. | zh_TW |
| dc.relation.reference (參考文獻) | Cvitanic, J., and I. Karatzas. (1992). Convex duality in constrained portfolio optimization. The Annals of Applied Probability, 2, 767–818. | zh_TW |
| dc.relation.reference (參考文獻) | Cvitanic, J. (1996). Optimal trading under constraints. Lecture notes, Department of Statistics, Columbia University. | zh_TW |
| dc.relation.reference (參考文獻) | Dahlquist, M., and G. Robertsson. (2001). Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics, 59, 413–440. | zh_TW |
| dc.relation.reference (參考文獻) | Das, S.R., and R. Uppal. (2004). Systemic risk and international portfolio choice. Journal of Finance, 59, 2809–2834. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, J.D., and C.F. Huang. (1985). Implementing Arrow-Debreu equillibria by continuous trading of few long-lived securities. Econometrica, 53, 1337–1356. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, J.D. (1996). Dynamic asset pricing theory. Princeton University Press, Princeton, NJ. | zh_TW |
| dc.relation.reference (參考文獻) | Eldor, R., D. Pines, and A. Schwartz. (1988). Home asset preference and productivity shocks, Journal of International Economics, 25, 165–176. | zh_TW |
| dc.relation.reference (參考文獻) | Errunza, V., K. Hogan, and M. Hung. (1999). Can the gains from international diversification be achieved without trading abroad?. Journal of Finance, 54, 2075–2107. | zh_TW |
| dc.relation.reference (參考文獻) | Errunza, V., and E. Losq. (1985). International asset pricing under mild segmentation: Theory and test. Journal of Finance, 40, 105–124. | zh_TW |
| dc.relation.reference (參考文獻) | Eun, C. S., and E. Losq. (1989). Capital flow controls, international asset pricing, and investors` welfare: A multi-country framework. Journal of Finance, 44, 1025–1037. | zh_TW |
| dc.relation.reference (參考文獻) | Eun, C.S., and S. Janakiramanan. (1986). A model of international asset pricing with constraint on the foreign equity ownership. Journal of Finance, 41, 897–914. | zh_TW |
| dc.relation.reference (參考文獻) | Evans, Martin D.D., and V. V. Hnatkovska. (2007). International financial integration and the real economy. IMF staff Paper, 54, 220–269. | zh_TW |
| dc.relation.reference (參考文獻) | French, K., and J. M. Poterba. (1991). International diversification and international equity markets. American Economic Review, 81, 222–226. | zh_TW |
| dc.relation.reference (參考文獻) | Gehrig, T. (1993). An information based explanation of the domestic bias in international equity investment. Scandinavian Journal of Economics, 95, 97–109. | zh_TW |
| dc.relation.reference (參考文獻) | Glassman, D. A., and L. A. Riddick. (2001). What causes home asset bias and how should it be measured? Journal of Empirical Finance, 8, 35–54. | zh_TW |
| dc.relation.reference (參考文獻) | Hasan, I., and Y. Simaan. (2000). A Rational Explanation for home country bias. Journal of International Money and Finance, 19, 331–361. | zh_TW |
| dc.relation.reference (參考文獻) | Harrison, M., and D. Kreps. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20, 381–408. | zh_TW |
| dc.relation.reference (參考文獻) | Harrison, M., and D. Kreps. (1981). Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and Their Applications, 11, 215–260. | zh_TW |
| dc.relation.reference (參考文獻) | He, H., and N.D. Pearson. (1991). Consumption and portfolio policies with incomplete markets and short-sale Constraints: The Infinite Dimensional Case. Journal of Economic Theory, 54, 259–304. | zh_TW |
| dc.relation.reference (參考文獻) | Heath, D., Jarrow, R., and A. Morton. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, 60, 77–105. | zh_TW |
| dc.relation.reference (參考文獻) | Hnatkovska, V. (2005). Home bias and high turnover: Dynamic portfolio choice with incomplete markets. working paper, Georgetown University. | zh_TW |
| dc.relation.reference (參考文獻) | Kang, J., and R. M. Stulz. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46, 3–28. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I., Lehoczky, J.P., and S.E. Shreve. (1987). Optimal portfolio and consumption decisions for a small investor on a finite time-horizon. SIAM Journal on Control and Optimization, 25, 1557–1586. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I., and S. Shreve. (1991). Brownian Motion and stochastic calculus. second ed. Springer-Verlag, Berlin. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I., Lehoczky, J.P., Shreve, S.E., and G.L. Xu. (1991). Martingale and duality methods for utility maximization in an incomplete market. SIAM Journal on Control and Optimization, 29, 702–730. | zh_TW |
| dc.relation.reference (參考文獻) | Karolyi, G. A., and R., Stulz. (2003). Are financial assets priced locally or globally? in G.Constantinides, M.Harris, and R.Stulz (eds.), The Handbook of the Economics of Finance, North-Holland Elsevier, New York, NY. | zh_TW |
| dc.relation.reference (參考文獻) | Kose, M.A., Prasad, E.S., and M.E. Terrones. (2003). Financial integration and macroeconomic volatility. IMF Working Paper 03/50. | zh_TW |
| dc.relation.reference (參考文獻) | Krugman, P. (1981). Consumption preferences, asset demands, and distribution effects in international financial markets. NBERWorking Paper No. 651. | zh_TW |
| dc.relation.reference (參考文獻) | Lee, T.H., and C.F. Liao. (2007). Optimal dynamic portfolio allocation under international investment restriction. Journal of Financial Studies, 15, 69–97. | zh_TW |
| dc.relation.reference (參考文獻) | Lee, T.H., and C.F. Liao. (2007). International portfolio allocation: The importance of foreign consumption. Manuscript submitted for publication. | zh_TW |
| dc.relation.reference (參考文獻) | Lewis, K. (1999). Trying to explain Home Bias in equities and consumption. Journal of Economic Literature, 37, 571–608 | zh_TW |
| dc.relation.reference (參考文獻) | Lioui, A., and P. Poncet. (2003). International asset allocation: A new perspective. Journal of Banking and Finance, 27, 2203–2230. | zh_TW |
| dc.relation.reference (參考文獻) | Lioui, A. (2007). The asset allocation puzzle is still a puzzle. Journal of Economic Dynamic and Control, 31, 1185–1216. | zh_TW |
| dc.relation.reference (參考文獻) | Liu, J. (2007). Portfolio selection in stochastic environments. Review of Financial Studies, 20, 1–39. | zh_TW |
| dc.relation.reference (參考文獻) | 74 | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economics and Statistics, 51, 247–257. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. (1971). Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 3, 373–413. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. (1973). An intertemporal capital asset pricing model. Econometrica, 41, 867–887. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. (1992). Continuous-time finance. Padstow, UK: Basil Blackwell Inc. | zh_TW |
| dc.relation.reference (參考文獻) | Munk, C., and C. SØrensen. (2004). Optimal consumption and investment strategies with stochastic interest rates. Journal of Banking and Finance, 28, 1987–2013. | zh_TW |
| dc.relation.reference (參考文獻) | Pavlova, A., and R. Rigobon. (2007). Asset Prices and Exchange Rates. Review of Financial Studies, 20, 1139–1180. | zh_TW |
| dc.relation.reference (參考文獻) | Pliska, S. (1986). A stochastic calculus model of continuous trading: Optimal portfolios. Mathematics of Operations Research, 11, 371–382. | zh_TW |
| dc.relation.reference (參考文獻) | Shreve, S. (1997). Stochastic calculus and finance. Lecture notes, Carnegie Mellon University. | zh_TW |
| dc.relation.reference (參考文獻) | Solnik, B. (1974). An equilibrium model of the international capital market. Journal of Economic Theory, 8, 500–24. | zh_TW |
| dc.relation.reference (參考文獻) | Solnik, B., Boucrelle, C., and Y. Le Fur. (1996). International market correlation and volatility. Financial Analysts Journal, 52, 17–34. | zh_TW |
| dc.relation.reference (參考文獻) | SØrensen, C. (1999). Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis, 34, 513–531. | zh_TW |
| dc.relation.reference (參考文獻) | Stockman, A.C., and H. Dellas. (1989). International portfolio diversification and exchange rate variability. Journal of International Economics, 26, 271–290. | zh_TW |
| dc.relation.reference (參考文獻) | Stulz, R. M. (1981a). A model of international asset pricing. Journal of Financial Economics, 9, 383–406. | zh_TW |
| dc.relation.reference (參考文獻) | Stulz, R. M. (1981b). On the effects of barriers to international investment. Journal of Finance, 36, 923–934. | zh_TW |
| dc.relation.reference (參考文獻) | Stulz, R. M. (1983). The demand for foreign bonds. Journal of International Economics, 26, 271–289. | zh_TW |
| dc.relation.reference (參考文獻) | Stulz, R. M. (1999). International portfolio flows and security markets. in M. Feldstein (ed.), International Capital Flows. University Chicago Press, 257–293. | zh_TW |
| dc.relation.reference (參考文獻) | Subrahmanyam, M.G. (1975). On the optimality of international capital market integration. Journal of Financial Economics, 2, 3–28. | zh_TW |
| dc.relation.reference (參考文獻) | Tepla, L. (2000). Optimal portfolio policies with borrowing and shortsale constraints. Journal of Economic Dynamic and Control, 24, 1623–1639. | zh_TW |
| dc.relation.reference (參考文獻) | Tesar, L., and I. Werner. (1995). International equity transactions and U.S. portfolio choice. in J. Frankel (ed.), Internationalization of Equity Markets, NBER | zh_TW |
| dc.relation.reference (參考文獻) | Project Report, University of Chicago Press, 185–216. | zh_TW |
| dc.relation.reference (參考文獻) | Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177–188. | zh_TW |
| dc.relation.reference (參考文獻) | Wachter, J.A. (2002). Portfolio and consumption decisions under meanreverting returns: An exact solution for complete markets. Journal of Financial and Quantitative Analysis, 37, 63–91 | zh_TW |
