Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/49680
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
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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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