| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.advisor | Chang, Shih-Chieh | en_US |
| dc.contributor.author (Authors) | 陳震寰 | zh_TW |
| dc.contributor.author (Authors) | Chen, Jen-Huan | en_US |
| dc.creator (作者) | 陳震寰 | zh_TW |
| dc.creator (作者) | Chen, Jen-Huan | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 2009-09-18 | - |
| dc.date.available | 2009-09-18 | - |
| dc.date.issued (上傳時間) | 2009-09-18 | - |
| dc.identifier (Other Identifiers) | G0933580101 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34175 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險研究所 | zh_TW |
| dc.description (描述) | 93358010 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 關於Merton (1969) 最適投資組合策略問題，所考慮之投資情境為：一個將其財富資金安排配置於風險性資產(各類證券)與無風險短期現金部位之投資人，在給定此投資人心目中財富效用函數之前提下，希望事先決定出投資組合之最適投資權重(策略)，藉此達成在投資期滿時極大化財富效用之期望值。基於Merton (1974) 公司價值觀點，具有違約風險之證券(公司債與股票)乃是公司價值之衍生性商品，無法以傳統資產配置對股票與債券部位採取現貨方式處理最適投資策略，在此必需同時結合財務工程處理衍生性金融商品計價與避險之技術來解決。本研究利用Kron & Kraft (2003) 彈性求解法來針對市場是否有投資限制、債券提前違約、到期違約及利率隨機與否等假設，基於不同投資組合情境分析來最適投資部位策略。本研貢獻和究創新突破之處在於特別探討公司違約時，債券投資人不再享有全部公司殘值之求償權，此時股東亦享有部份比例之求償權，違約後之公司殘值將由債券投資人與股東兩者比例共分之特殊情境下，對數型態財富效用之投資人對於提前違約風險之接受度高於到期違約風險，若一般情境(股東無任何求償權)則為相反。此外亦特別提供最適成長投資組合之動態避險策略封閉解，藉以提供投資人面臨企業違約風險時應制定之投資決策與動態調整，使本研究臻至週延與實用。 | zh_TW |
| dc.description.abstract (摘要) | Under the Merton (1969) optimal portfolio problem, we only consider the specific investor, whose wealth utility follows the type of logarithm function; wants to maximize the expected value of the terminal wealth utility through determine the optimal investment strategy in advance. He divides his wealth into the riskless asset and risky assets such as the money market account and the various-risky securities issued by the corporate.Based on the Merton firm value framework (1974), the defaultable securities, such as the corporate bonds and stocks, are the derivatives instruments of the firm value. It will be inappropriate if we deal with this optimal portfolio problem under the original methods. Therefore, we need to handle this optimal asset allocation problem through the pricing, valuation and hedging techniques from the financial engineering simultaneously.This study apply the elasticity approach to portfolio optimization (EAPO, Kraft ,2003) to solve the optimal portfolio strategy under various scenarios, such as the market contains the investment constrain or not, intermediate default risks, mature default risk, interest rate risky under the stochastic process.The innovation and contribution of this paper are especially breaking the common setting and analysis the optimal-growth-portfolio strategy under the special scenario. In the common setting, as soon as the default event occurs, the residual firm value will be claimed by the corporate bondholders with fully proportion and the stockholder cannot share any residual value. Oppositely, the stockholder will be able to share the residual firm value proportionally with the corporate bondholder together under the so-called special scenario. We found that the investor would have higher acceptance of the premature default risk than the mature default risk in the special scenario. This phenomenon will be reversed under the common scenario.Furthermore, in order to make this study more completely and useful, we do not only illustrate the optimal investment strategy but also provide the closed-formed solution of the dynamic hedge strategy of the risky position, composed by the defaultable securities. This could help the optimal-growth-portfolio-oriented investor to make investment decision while they face the firm value downward decreasing. | en_US |
| dc.description.tableofcontents | 第一章 緒論 ………………………………………………………………………4第二章 投資組合情境與金融市場設定第一節 投資組合資產內容……………………………………………………….9第二節 金融市場設定……………………………………………………………10第三章 Merton (1974) 公司價值理論及債券計價模型………………………13第四章 僅有「到期違約」風險之最適投資策略第一節 無投資限制之下的最適投資策略………………………………………17第二節 有投資限制之下的最適投資策略………………………………………24第五章 存有「違約風險」及「利率風險」之最適投資策略第一節 相關證券計價模型與避險參數…………………………………………28第二節 股東有求償權之下的最適投資策略……………………………………33第六章 相關參數試算結果及財務意涵解釋第一節 模型計算流程與架構說明………………………………………………38第二節 衍生性證券之價格及敏感度分析………………………………………39第三節 「期望值」觀點下之最適投資策略試算分析…………………………42第四節 「模擬值」觀點下之最適投資策略試算分析…………………………46第七章 最適成長投資組合之動態避險策略……………………………………50第八章 結論與建議………………………………………………………………56附錄附錄A 回顧利用彈性與存續期間求最適投資策略之方法(EAPO法) ……………………58附錄B Briys–de Varenne (1997) 債券計價模型之拆解與重組………………………62附錄C Briys–de Varenne (1997) 股票計價模型之拆解與重組………………………63附錄D 回顧Vasicek模型之零息債券計價公式以及對應之存續期間……………………64附錄E 公司價值與即期利率之關係 ………………………………………………………65附錄F Briys–de Varenne (1997)債券與股票的避險參數(Delta)和彈性……………70附錄G Briys–de Varenne (1997)債券與股票避險參數(Rho)和存續期間……………72附錄 H 公司價值觀點下選擇權之標準常態機率值的說明………………………………74附錄 I 最適控制變元以及最適投資組合策略之求解過程說明…………………………81表目錄表4-1各種不同部位的「價格彈性」定義……………………………………………….20表5-1 Black-Cox (1976) 公司債券評價模型於債券到期日的部位拆解說明……….29表5-2-1 特殊情境下，公司債於公司債到期日的現金流量部位拆解說明……………30表5-2-2 特殊情境下，股票於公司債到期日的現金流量部位拆解說明………………31表6-1 外生參數與內生參數說明表………………………………………………………38表6-3 特殊情境與一般情境之最適資產配置策略比較…………………………………45圖目錄圖1-1 Merton (1969)「隨機控制法」與Kraft (2003)「彈性求解法」比較示意圖……5圖3-1 公司債券、股東價值與公司價值於債券到期日的關係……………………………15圖6-1 模型計算流程示意圖…………………………………………………………………39圖6-2-1 利用蒙地卡羅模擬標的資產(公司價值)之實際表現……………………………39圖6-2-2 投資期間內每一期之證券價格期望值……………………………………………40圖6-2-3 時間與初始公司價值對證券價格及避險參數之變化影響………………………41圖6-2-4 初始公司價值與公司價值波動度對證券價格及避險參數之影響………………41圖6-2-5 時間與初始利率對於證券避險參數的變化影響…………………………………41圖6-3-1 投資期間內每期最適資產配置結果變化圖..……………………………………42圖6-3-2 提前違約時債券投資人可得殘值比例(f1)對證券價格及投資策略之影響……43圖6-3-3 到期違約時債券投資人可得殘值比例(f2)對證券價格及投資策略之影響……44圖6-3-4 違約時債券投資人求償比例(f1與f2)對最適投資策略之影響…………………45圖6-4-1 投資期間內每一期之證券價格模擬值.………………………………………….46圖6-4-2 投資期間內每一期之資產配置模擬值.………………………………………….47圖6-4-3 投資期間內每一期之證券價格模擬值.………………………………………….48圖6-4-4 投資期間內每一期之資產配置模擬值.………………………………………….49圖7-1 債券投資人報償收益示意圖…………………………………………………………51圖7-2 股東報償收益示意圖…………………………………………………………………52圖7-3 公司價值與投資人財富值模擬圖……………………………………………………55圖7-4 避險策略模擬圖………………………………………………………………………55圖H-1-1 歐式買權(一)：股東價值於債券到期日T之示意圖…………………………….74圖H-1-2 歐式賣權(一)：債券投資人收益於債券到期日T之示意圖…………………….75圖H-2-1 歐式買權(二)：股東價值於債券到期日T之示意圖…………………………….76圖H-2-2 歐式賣權(二)：債券投資人收益於債券到期日T之示意圖…………………….77圖H-3-1 歐式買權(三)：股東價值於時間t之示意圖…………………………………….79圖H-3-2 歐式賣權(三)：債券投資人收益於時間t之示意圖…………………………….79參考文獻 (Reference)………………………………………………………………………84 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0933580101 | en_US |
| dc.subject (關鍵詞) | 最適投資組合 | zh_TW |
| dc.subject (關鍵詞) | 信用風險 | zh_TW |
| dc.subject (關鍵詞) | 違約風險 | zh_TW |
| dc.subject (關鍵詞) | 彈性 | zh_TW |
| dc.subject (關鍵詞) | 存續期間 | zh_TW |
| dc.subject (關鍵詞) | Optimal portfolios | en_US |
| dc.subject (關鍵詞) | credit risk | en_US |
| dc.subject (關鍵詞) | default risk | en_US |
| dc.subject (關鍵詞) | elasticity | en_US |
| dc.subject (關鍵詞) | duration | en_US |
| dc.title (題名) | 具有違約風險證券之最適投資組合策略 | zh_TW |
| dc.title (題名) | Optimal Portfolios with Default Risks ─ A Firm Value Approach | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | ________________________________________ | zh_TW |
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| dc.relation.reference (參考文獻) | [03] Briys, E., and F. de Varenne, 1997, Valuing risky fixed rate debt: An extension, Journal of Financial and Quantitative Analysis 32: 239-248. | zh_TW |
| dc.relation.reference (參考文獻) | [04] Geske, R., 1977, The valuation of corporate liabilities as compound options, Journal of Financial and Quantitative Analysis 12: 541-552. | zh_TW |
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