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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/49680
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dc.contributor.advisor張士傑zh_TW
dc.contributor.author黃于玶zh_TW
dc.creator黃于玶zh_TW
dc.date2008en_US
dc.date.accessioned2010-12-08T08:34:49Z-
dc.date.available2010-12-08T08:34:49Z-
dc.date.issued2010-12-08T08:34:49Z-
dc.identifierG0096358020en_US
dc.identifier.urihttp://nccur.lib.nccu.edu.tw/handle/140.119/49680-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description風險管理與保險研究所zh_TW
dc.description96358020zh_TW
dc.description97zh_TW
dc.description.abstract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zh_TW
dc.description.tableofcontents第一章 研究動機與目的 1\n第二章 文獻回顧 6\n第一節 最適投資策略 6\n第二節 效用函數 7\n第三章 模型 8\n第一節 投資組合 8\n第二節 平賭方法 10\n第三節 最適化問題 13\n第四章 數值分析 18\n第一節 匯率風險的增量為正---a=0.02,b=0.00056 19\n第二節 匯率風險的增量為負---a=0.02,b=-0.00056 22\n第三節 匯率風險的增量以多項式表達 25\n第四節 匯率風險波動度的改變 29\n第五章 結論與建議 34\n參考文獻 36\n附錄A 最適投資成長組合 (Optimal Growth Portfolio) 38\n附錄B 最適投資成長組合之動態過程 40zh_TW
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dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0096358020en_US
dc.subject匯率風險zh_TW
dc.subject跨期投資組合zh_TW
dc.subject平賭理論zh_TW
dc.subject風險波動度zh_TW
dc.subject電腦模擬zh_TW
dc.subjectexchange rate risken_US
dc.subjectintertemporal investmenten_US
dc.subjectmartingaleen_US
dc.subjectvolatilityen_US
dc.subjectsimulationen_US
dc.title匯率風險下之最適跨期投資組合zh_TW
dc.typethesisen
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