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題名: | 匯率風險下之最適跨期投資組合 | 作者: | 黃于玶 | 貢獻者: | 張士傑 黃于玶 |
關鍵詞: | 匯率風險 跨期投資組合 平賭理論 風險波動度 電腦模擬 exchange rate risk intertemporal investment martingale volatility simulation |
日期: | 2008 | 上傳時間: | 8-Dec-2010 | 摘要: | 本文研究保險人於匯率風險下之最適跨期投資組合。隨著資本市場全球化發展,從事國外投資受到匯率風險之影響加劇。本研究提出動態投資組合模型,針對壽險業之利變型商品,分析保險人於匯率風險之下之最適跨期投資組合。考慮資產集合包含本國現金、本國指數型股票基金、外國現金和外國指數型股票基金四項標的。本文研究方法主要以Cox & Huang(1989, 1991)平賭理論處理最適投資議題,將多期問題變為單期,求得保險人之最適投資組合。最後本文針對不同的匯率走勢與匯率風險波動度,利用電腦模擬,觀察不同風險趨避程度保險人之投資組合變化。\n本文結果歸納如下:\n1. 於風險市場價值、波動度和國內外無風險短期利率為定值下,保險人最適組合分別是擁有固定比例本國股票部位,外國股票部位則與匯率走勢呈負相關,而本國現金部位與外國現金部位呈現相反趨勢。發現匯率增量趨勢與外國現金帳戶、外國指數型股票基金和本國現金部位趨勢相同。\n2. 匯率風險將影響保險人持有外國資產意願。若匯率風險波動度由0.1提高至0.3,則外國現金部位之最大值會從6.23下降到0.66。而外國股票持有部位於短期會增加,但隨著投資期限增加而逐漸遞減。同時短期增加之幅度小於外國現金減少之部分。整體而言,持有外國資產比例隨匯率風險波動度變大而遞減。\n\n關鍵字:匯率風險、跨期投資組合、平賭理論、風險波動度、電腦模擬 | 參考文獻: | Anthony, M. and MacDonald, R., 1998. On the mean reverting properties of target zone exchange rates: some evidence from the ERM. European Economic Review 42, 1492-1523. Brennan, M. J. and Xia, Y. H., 2002. Dynamic asset allocation under inflation. Journal of Finance 57, 1201-1238. Cox, J. C. and Huang, C. F., 1989. Optimum consumption and portfolio policies when asset price follow a diffusion process. Journal of Economic Theory 49, 33-83. Cox, J. and Huang, C. F., 1991. A variational problem arisen in financial economics. Journal of Mathematical Economics 20, 465-487. Chiou, W. P., 2009. Benefits of international diversification with investment constraints: An over-time perspective. Journal of Multinational Financial Management 19, 93-110. Fletcher, J. and Marshall, A., 2005. An empirical examination of the benefits of international diversification. Journal of International Financial Markets, Institutions & Money 15, 455-468. Grubel, H. G. 1968. Internationally diversified portfolios: Welfare gain and capital flows. The American Economic Review 58, 1299-1314. Hui, C. H., Lo, C. F., Yeung, V. and Fung, L. 2008. Valuing foreign currency options with a mean-reverting process: A study of Hong Kong dollar. International Journal of Finance and Economics 13, 118-134. Lioui, A. and Poncet, P., 2001. On optimal portfolio choice under stochastic interest rates. Journal of Economic Dynamics and Control 25, 1841-1865. Lioui, A. and Poncet, P., 2003. International asset allocation: a new perspective. Journal of Banking and Finance 27, 2203-2230. Merton, R. C., 1971. Optimum consumption and portfolio rules in a continuous-time case. Journal of Economy Theory 3, 373-413. Merton, R. C., 1992. Continuous time finance, Cambridge, Blackwell. Rose, A. K. and Svensson, L., 1994. European exchange rate credibility before the fall. European Economics Review 38, 1185-1216. Sorensen, C., 1999. Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis 34, 513-531. Ziobrowski, B. J. and Ziobrowski, A. J., 1995. Exchange rate risk and internationally diversified portfolios. Journal of International Money and Finance 14, 65-81. |
描述: | 碩士 國立政治大學 風險管理與保險研究所 96358020 97 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0096358020 | 資料類型: | thesis |
Appears in Collections: | 學位論文 |
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