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Title: 不同風險偏好下多期投資策略之研究
Dynamic asset allocation for long-term investors diverse risk preference
Authors: 林佳華
Lin, Chia-Hua
Contributors: 張士傑
Chang, Bill
Lin, Chia-Hua
Keywords: 利率風險
interest rate risk
mutual fund
Markovian processes
exchange rate risk
Date: 2003
Issue Date: 2009-09-18 19:24:08 (UTC+8)
Abstract: 對一些退休基金或是壽險基金來說,因為它們的金額都相當龐大,進而影響的層面也相當廣泛;它們影響著金融市場的發展、有價證券的價格和市場的報酬。
以前的退休基金管理計畫是建立在單期的假設當中。根據目前所持有所有資產的部位、目前市場的狀況與對未來報酬的期望,基金管理人將尋求對下期的最適投資決策。傳統的方法都是用期望值-變異數方式(Mean-Variance approach)去極大化投資的報酬,以求取最適部位。但是單期的期望值-變異數方式(Mean-Variance approach)面對了二個問題:
一、 集合各個單期最適決策用多期的眼光來看不一定是最適。
二、 單期最適決策並不能同時處理投資面與集資面的問題。例如:退休基金同時間有每月的收入與每月的投資面。
投資在長期資產的部位與報酬率,最容易受到利率變動的影響。換句話說,利率變化是影響投資在長期性資產的最大變因。因此,我們將討論的問題:在利率是隨機變動時,以Vasicek (1977)的利率模型為主,加入投資人風險偏好的共同基金的分配原則。這樣的理論下,我們將利用風險中立的方法求出最適的投資組合,以滿足在長期投資觀點下避險與套利的需求。其中投資人的風險偏好是以Merton (1973)提出的常數相關風險偏好(Constant Relative Risk Aversion;CRRA)的效用函數去討論;在文章最後,我們將針對投資人的風險偏好做一些討論,包括:改變CRRA的參數、自然對數的效用函數(Logarithmic utility function)。
以往的研究都採用動態程式設計(Dynamic programming approach)的方法來解決這樣多期投資的問題,但是這樣的方法運用的計算相當複雜,也不一定求的出最適部位解;而利用Cox and Huang (1989)提出的風險中立方法(Martingale approach)將完全的解決以上遇到的問題。
In this study, we investigate the dynamic mutual fund separation theorem applied to portfolio management for constant relative risk averse investors where, in particular, the interest rate risks are incorporated. Within this economy, the real interest rates and stock prices are assumed to follow the Markovian processes whose drifts and diffusion parameters are driven by certain state variables. Our approach involves the use of the martingale methodology developed by Cox and Huang (1989) as proposed in the work of Deelstra et al. (2003). Following their framework, we consider the economy of the investors that consists of cash, bond fund and stock indices. Adding to the previous works, we investigate the obtained optimal strategies through numerical examples in order to be compared to the allocations of popular advice and clarify the hedge and arbitrage demands in financial decision from long-term perspective. Finally, certain mutual funds are constructed to validate the validity of the popular advice.
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Description: 碩士
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Data Type: thesis
Appears in Collections:[風險管理與保險學系] 學位論文

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