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題名 連續時間模型下最適國際資產組合策略之研究
作者 黃麗雲
HUANG, LI-YUN
貢獻者 胡聯國
黃麗雲
HUANG, LI-YUN
日期 1992
1991
上傳時間 2-May-2016 15:14:55 (UTC+8)
摘要 文獻上有關國際資產組合問題的研究大致從兩種不同的角度出發，一為假設一全球完全區隔(fully segmented) 的不完全資本市場，二為假設一全球完全整合(fully integrated) 的完全資本市場，前者以各國統治管轄權的表徵，如稅率、邊界管制等區分國家，後者則大部分以擁有相同購買力的地區(或以偏離購買力平價的幅度)來界定國家，國內學者胡聯國(1991 )提出以匯率實際變動偏離IRP 的幅度區分國家的看法，本論文即採用此一定義，蓋一位考慮國際資產組合的投資者，在比較國外資產報酬與國內相對資產報酬是根據利率平價理論，本文針對台灣搭配美、加、英、德、日、新等國資料發現兩國利率水準差對匯率變動的方向及幅度並不一致，因此，一旦匯率變化不符合事前利率平價套利法則，那麼以本國幣值表示的國外資產報酬率(或變異數)將會改變，所以，匯率的變化將會影響此一投資者的資產組合策略。
參考文獻 [1] Adler, M., and B. Dumas. "International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, June 1983.
     [2] Anderson, R.W., and J.P. Danthine. "Cross-Hedging ," Journal of Political Economy,December 1981.
     [3] Breeden, D.T. "Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities ,"Journal of Finance, September 1979.
     [4] Cox, D.A., and H.D. Miller, The Theory of Stochastic Process,New York: Wiley, 1968.
     [5] Cox, J.D., and C. Huang, "Optimum Consumption and Portfolio Policies When Asset Prices Follow a Diffusion Process ," Journal of Economic Theory, October 1989.
     [6] Hu, L.K.(胡聯國) "International Portfolio Choice and Optimal Currency Hedge ," Graduate Institute of International Trade,. National Chengchi University, Working Paper, 1991.
     [7] Linter, J. "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets," Review of Economics and Statistics) February 1965a.
     [8] Linter, J. "Security Prices, Risk and Maximal Gains From Diversification ," Journal of Finance, December 1965b.
     [9] TvIerton, R.C. "Lifetime Portfolio Selection Under Ucertainty:The Continuouse-Time Case ," Review of Economics and Statistics, August 1969.
     [10] Merton, R.C. "Intertemporal Capital Asset Pricing Model," Econometrica, September 1973.
     [11] Merton, R.C. "Optimal Comsumption and Portfolio Rules in a Continuous-Time Model ," Journal of Economic Thoery,December 1971.
     [12] Merton, R.C. Continuous- Time Finance. Cambridge, MA:Basil Blackwell, 1990.
     [13] Mossin, J. "Equilibrium in a Capital Asset Market ," Econometrica,October 1966.
     [14] Sharp, W.F. "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk ," Journal of Finance,September 1964.
     [15] Sharp, W.F. Portfolio Thoery and Capital Markets) New York:McGraw-Hill 1970.
     [16] Solnik, B. International Investments. Reading,MA:AddisonWesley,1988.
     [17] Solnik, B. "An Equilibrium Model of the International Capital Market ," Journal of Economic Theory August 1974.
     [18] Stulz, R.M. "A Model of International Asset Pricing ," Journal of Financial Economics) December 1981.
描述 碩士
國立政治大學
國際經營與貿易學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004622
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.author (Authors) 黃麗雲zh_TW
dc.contributor.author (Authors) HUANG, LI-YUNen_US
dc.creator (作者) 黃麗雲zh_TW
dc.creator (作者) HUANG, LI-YUNen_US
dc.date (日期) 1992en_US
dc.date (日期) 1991en_US
dc.date.accessioned 2-May-2016 15:14:55 (UTC+8)-
dc.date.available 2-May-2016 15:14:55 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:14:55 (UTC+8)-
dc.identifier (Other Identifiers) B2002004622en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89176-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description.abstract (摘要) 文獻上有關國際資產組合問題的研究大致從兩種不同的角度出發，一為假設一全球完全區隔(fully segmented) 的不完全資本市場，二為假設一全球完全整合(fully integrated) 的完全資本市場，前者以各國統治管轄權的表徵，如稅率、邊界管制等區分國家，後者則大部分以擁有相同購買力的地區(或以偏離購買力平價的幅度)來界定國家，國內學者胡聯國(1991 )提出以匯率實際變動偏離IRP 的幅度區分國家的看法，本論文即採用此一定義，蓋一位考慮國際資產組合的投資者，在比較國外資產報酬與國內相對資產報酬是根據利率平價理論，本文針對台灣搭配美、加、英、德、日、新等國資料發現兩國利率水準差對匯率變動的方向及幅度並不一致，因此，一旦匯率變化不符合事前利率平價套利法則，那麼以本國幣值表示的國外資產報酬率(或變異數)將會改變，所以，匯率的變化將會影響此一投資者的資產組合策略。zh_TW
dc.description.tableofcontents 第一章 緒論 1
     第一節 研究動機與目的 1
     第二節 論文研究大綱 2
     第二章 文獻回顧 5
     第一節 前言 5
     第二節 國際資產組合模型 5
     2.2.1 以擁有相同偏離PPP幅度為國家觀念的模型 5
     2.2.2 以擁有相同偏離IRP 幅度為國家觀念的模型 8
     第三章 連續時間下最適消費與資產組合策略基本模型之介紹 9
     第一節 基本假設 9
     第二節 基本模型 12
     3.2.1 資產價格動態與預算方程式 12
     3.2.2 模型設立與隨機動態規劃之運用 14
     第三節 基本模型的擴充與外顯式最適解 18
     第四章 國際投資模型 24
     第一節 前言 24
     第二節 平價理論與國際投資 25
     4.2.1 購買力平價理論 25
     4.2.2 利率平價理論 26
     第三節 國際投資模型的設立 28
     4.3.1 基本模型 28
     4.3.2 國際投資模型之外顯式最適解 31
     第四節 最適避險策略的探討38
     4.4.1 最適國際資產組合策略與避險 38
     4.4.2 共同基金區隔定理的運用 42
     第五章 實證結果與模擬分析
     第一節 資料來源及實證結果
     第二節 國際投資對效用的影響
     第三節 最適決策模型之比較靜態分析
     第四節 模擬結果的意義
     第六章 結論		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004622en_US
dc.title (題名) 連續時間模型下最適國際資產組合策略之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1] Adler, M., and B. Dumas. "International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, June 1983.
     [2] Anderson, R.W., and J.P. Danthine. "Cross-Hedging ," Journal of Political Economy,December 1981.
     [3] Breeden, D.T. "Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities ,"Journal of Finance, September 1979.
     [4] Cox, D.A., and H.D. Miller, The Theory of Stochastic Process,New York: Wiley, 1968.
     [5] Cox, J.D., and C. Huang, "Optimum Consumption and Portfolio Policies When Asset Prices Follow a Diffusion Process ," Journal of Economic Theory, October 1989.
     [6] Hu, L.K.(胡聯國) "International Portfolio Choice and Optimal Currency Hedge ," Graduate Institute of International Trade,. National Chengchi University, Working Paper, 1991.
     [7] Linter, J. "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets," Review of Economics and Statistics) February 1965a.
     [8] Linter, J. "Security Prices, Risk and Maximal Gains From Diversification ," Journal of Finance, December 1965b.
     [9] TvIerton, R.C. "Lifetime Portfolio Selection Under Ucertainty:The Continuouse-Time Case ," Review of Economics and Statistics, August 1969.
     [10] Merton, R.C. "Intertemporal Capital Asset Pricing Model," Econometrica, September 1973.
     [11] Merton, R.C. "Optimal Comsumption and Portfolio Rules in a Continuous-Time Model ," Journal of Economic Thoery,December 1971.
     [12] Merton, R.C. Continuous- Time Finance. Cambridge, MA:Basil Blackwell, 1990.
     [13] Mossin, J. "Equilibrium in a Capital Asset Market ," Econometrica,October 1966.
     [14] Sharp, W.F. "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk ," Journal of Finance,September 1964.
     [15] Sharp, W.F. Portfolio Thoery and Capital Markets) New York:McGraw-Hill 1970.
     [16] Solnik, B. International Investments. Reading,MA:AddisonWesley,1988.
     [17] Solnik, B. "An Equilibrium Model of the International Capital Market ," Journal of Economic Theory August 1974.
     [18] Stulz, R.M. "A Model of International Asset Pricing ," Journal of Financial Economics) December 1981.		zh_TW