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題名 動態利率結構與債券組合避險策略之研究
作者 李建慧
貢獻者 胡聯國
李建慧
日期 1991
1990
上傳時間 2-May-2016 17:00:25 (UTC+8)
參考文獻 一、中文部份
     1. 陳舜萍 「我國債券市場之現況與檢討」 證券市場發展季刊 80年4 月 23-38 頁。
     2. 吳俊雄 「我國債券市場發展現況與展望」 中信通訊 80年3 月 29-33頁。
     3. 林炯垚 「債券現值到期年限之意義及其在我國債券市場之應用」 台灣證券 79年4 月 11-37頁。
     4. 朱懷祖 「利率變動下之債券投資組合接作」 台海證券 78年4 月 24-38頁。
     5. 陳得源 「我國債券市場之檢討與改進」 中央銀行季刊 79年6 月3 5-51頁。
     6. 鄭君祥 「債券與票券一安全、獲利的投資途徑」 經濟與生活出版公司 78年7 月。
     7. 陳隆麒編譯 「現代財務管理」 華泰書局 77 年8 月。
     8. 鍾碩薇 「投資組合管理」 產業金融 80 年3 月 51-71 頁。
     
     二、英文部分
     1. Babble,D.F. (1983) "Duration and the Term Structure of Interest Rate Volatility." In Innovations in Bond Portfolio Management,ed. by Kaufman,G.G.,Bierwag,G.O., and Toevs,A.(Greenwich,Conn. :JAI Press), pp239-265.
     2. Bierwag,G.O. (1987a) "Duration Analysis Managing Interest Rate Risk." Cambridge MA :Ballinger Publishing CO.
     3. Bierwag,G.O. (1987b) "Bond Returns, Discrete Stochastic Processes, and Duration." Journal of financial Research (Automn), pp-191~208.
     4. Bierwag,G.O.,Kaufman,G.G.,and Khang,C. (1978) "Duration and Bond Portfolio Analysis :An Overview." Journal of Financial and Quantitative Analysis (Nov.), pp671-681.
     5. Bierwag, G. O. , Kaufman, G. G. , and Toevs, A. (1982) "Single Factor Duration Models in a Discrete General Equilibrium Framwork." Journal of finance (May), pp325-338.
     6. Bierwag,G.O. ,Kaufman,G.G. ,and Toevs,A. (1983) "Recent Development in Bond Portfolio Immunization Strategies." In Innovations in Bond Portfolio Management. pp105-157.
     7. Bierwag,G.O.,Kaufman,G.G.,and Toevs,A. (1983) "Duration: Its Development and Use in Bond Portfolio Management." Financial Analysts Journal. (Ju ly / August), pp3-23.
     8. Bierwag,G.O.,Kaufman,G.G.,and Toevs,A.,and Schweitzer,R. (1981) "The Art of Risk Management in Bond Portfolios." Journal of Portfolio Management. (Spring), pp27-36.
     9. Brennan,M.J. ,and Schwartz, E.S. (1983) "Duration, Bond Pricing, and Portfolio Management." In Innovations in Bond Portfolio Management, pp3-36.
     10. Chambers,D.R., Carleton,W.T., and McEnally,R.W. (1988) "Immunizing Default-Free Bond Portfolios with a Duration Vector." Journal of Financial and Quantitative Analysis (Mar.), pp89-104.
     11. Christensen,P.E., and Fabozzi,F.J. (1991) "Bond Immunization: An Asset Liability Optimization Strategy " In The Handbook of Fixed Income Securities, ed. by Fabozzi,F.J., and Pollock, I.H. 3rd edition. Homewood, Illoinois: Dow Jones- Irwin, pp912-941.
     12. Cox,J.C.,Ingersoll,J.E.,and Ross,S.A. (1979),"Duration and the Measurement of Basis Risk."Journal of Business. (Jan.), pp5l-61.
     13. Culbertson,J. (1957) " The Term Structure of Interest Rate." Quarterly Journal of Economics,pp485-517.
     14. Douglas,L.G. (1988) " Yield Curve Analysis."New York Institute of Finance.
     15. Fabozzi,F.J. (1987) "Bond Yield Measures and Price Volatility Properties." In The Handbook of Fixed Income Securities, pp50-85.
     16. Fabozzi,F.J .. and Fabozzi,T.D. (1989) "Bond Markets Analysis and Strategies." Prentice Hall Englewood Cliffs.
     17. Fabozzi,F.J.,Pitts.M,and Dattatreya,R.E.(1991) "Price Volatility Characteristic of Fixed Income Securities." In The Handbook of Fixed Income Securities, ed. by Fabozzi,F.J.,and Pollock,I.M. 3rd edition.Homewood, Illinois: Dow Jones - Irwin, pp116-140.
     18. Fisher, I. (1986) " Appreciation and Interest."Publication of the American Economic Association.(Aug), pp23-29.
     19. Fisher,L.,and `Weil,R. (1971) " Coping with the Risk of Interest Rate Fluctuations: Returns to Bondholders from Naive and Optiomal Srtategies." Journal of Bus i ness. (Oct.), pp408-431.
     20. Fong,H.G. (1991) "Portfolio Construction: Fixed Income." In Managing Investment Portfolios – A Dynamic Process,. ed. by Maggin and Tuttle.
     21. Hicks,J.R. (1946) "Value and Capital." 2nd ed.Oxford, New York.
     22. Ingersoll, J.E. (1983) "Is Immunization Feasible?Evidence from the CRSP Data." In Innovations In Bond Portfolio Management, ppI63-182.
     23. Ingersoll, J.E.,Skelton,J.,and liIeil,R.L. (1978)"Duration Forty Years Later." Journal of Financial and Quantitative Analysis (Nov.), pp627-650.
     24. Khang,C. (1979) "Bond Immunization when Sort-Term Rates Fluctuate More than Long-Term Rates. "Journal of Financial and Quantitative Analysis . (Dec.), pp1085-1095.
     25. Kopprasch,R.W. (1987) "Understanding Duration and Volatility." In The Handbook of Fixed Income Securities, pp86-120.
     26. Lutz,F.A. (1940) " The Term Structure of Interest Rate. " Ouarterly Journal of Economics. (Nov.),pp36-63.
     27. Halkiel, B.P. (1966) ~ The Term Structure of Interest Rate." Princeton.
     28. Nelson, J, and Schaefer,S. (1983) " The Dynamics of Term Structure and Alternative Portfolio Immunization Strategies:" In Innovations in Bond Portfolio Management, pp239-265.
     29. HcEnally,R.W., and Jordan,J.V. (1991) " The Term Structure of Interest Rate." In The Handbook of Fixed Income Securities.
     30. Radcliffe,R.C. (1987) " Investment – Concept.Analysis, and Strategy." Scott, Foresman and Company, 2nd ed.
     31. Schaefer,S. (1984) " Immunization and Duration : A Review of Theory, Performance and Application."Midland Corporate Financial Journal,2, pp41-58.
     32. Weingertner,Martin. (1966) "The Generalized Rate of Return." Journal of Financial and Quantitative Analysis (Jan.), pp1-29.
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/#B2002004973
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.author (Authors) 李建慧zh_TW
dc.creator (作者) 李建慧zh_TW
dc.date (日期) 1991en_US
dc.date (日期) 1990en_US
dc.date.accessioned 2-May-2016 17:00:25 (UTC+8)-
dc.date.available 2-May-2016 17:00:25 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:00:25 (UTC+8)-
dc.identifier (Other Identifiers) B2002004973en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89581-
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.tableofcontents 第一章 緒論………………..1
     第一節 研究動機與目的………………..1
     第二節 研究架構………………..5
     第二章 收現平均期間的觀念發展、特性及其應用………………..6
     第一節 Macaulay 收現平均期間………………..6
     第二節 修正的收現平均期間………………..12
     第三節 其他債券價格變動的衡量法………………..15
     第四節 收現平均期間在債券避險操作策略上的應用………………..18
     第五節 期貨契約與避險操作策略………………..22
     第六節 投資債券應考患因素………………..24
     第三章 動態利率結構與收現平均期間的關係………………..29
     第一節 利率結構之型態………………..29
     第二節 決定利率結構型態的理論………………..31
     第三節 利率隨機行程與故現平均期間………………..35
     第四章 債券投資組合避險策略之實證文獻回顧………………..42
     第一節 避險策略分析………………..42
     第二節 迴歸分析………………..43
     第五章 債券組合避險操作策略之實證分析………………..52
     第一節 前言………………..52
     第二節 理論模型與避險操作策略的建立………………..52
     第三節 資科來源與研究期間………………..55
     第四節 利率期間結構與其對因子敏感度之估計………………..57
     第五節 不同避險操作策略之實證………………..66
     第六章 結論與建議………………..82
     第一節 研究結論………………..82
     第二節 研究限制………………..83
     第三節 後續研究方向與建議………………..85
     參考文獻………………..90		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004973en_US
dc.title (題名) 動態利率結構與債券組合避險策略之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
     1. 陳舜萍 「我國債券市場之現況與檢討」 證券市場發展季刊 80年4 月 23-38 頁。
     2. 吳俊雄 「我國債券市場發展現況與展望」 中信通訊 80年3 月 29-33頁。
     3. 林炯垚 「債券現值到期年限之意義及其在我國債券市場之應用」 台灣證券 79年4 月 11-37頁。
     4. 朱懷祖 「利率變動下之債券投資組合接作」 台海證券 78年4 月 24-38頁。
     5. 陳得源 「我國債券市場之檢討與改進」 中央銀行季刊 79年6 月3 5-51頁。
     6. 鄭君祥 「債券與票券一安全、獲利的投資途徑」 經濟與生活出版公司 78年7 月。
     7. 陳隆麒編譯 「現代財務管理」 華泰書局 77 年8 月。
     8. 鍾碩薇 「投資組合管理」 產業金融 80 年3 月 51-71 頁。
     
     二、英文部分
     1. Babble,D.F. (1983) "Duration and the Term Structure of Interest Rate Volatility." In Innovations in Bond Portfolio Management,ed. by Kaufman,G.G.,Bierwag,G.O., and Toevs,A.(Greenwich,Conn. :JAI Press), pp239-265.
     2. Bierwag,G.O. (1987a) "Duration Analysis Managing Interest Rate Risk." Cambridge MA :Ballinger Publishing CO.
     3. Bierwag,G.O. (1987b) "Bond Returns, Discrete Stochastic Processes, and Duration." Journal of financial Research (Automn), pp-191~208.
     4. Bierwag,G.O.,Kaufman,G.G.,and Khang,C. (1978) "Duration and Bond Portfolio Analysis :An Overview." Journal of Financial and Quantitative Analysis (Nov.), pp671-681.
     5. Bierwag, G. O. , Kaufman, G. G. , and Toevs, A. (1982) "Single Factor Duration Models in a Discrete General Equilibrium Framwork." Journal of finance (May), pp325-338.
     6. Bierwag,G.O. ,Kaufman,G.G. ,and Toevs,A. (1983) "Recent Development in Bond Portfolio Immunization Strategies." In Innovations in Bond Portfolio Management. pp105-157.
     7. Bierwag,G.O.,Kaufman,G.G.,and Toevs,A. (1983) "Duration: Its Development and Use in Bond Portfolio Management." Financial Analysts Journal. (Ju ly / August), pp3-23.
     8. Bierwag,G.O.,Kaufman,G.G.,and Toevs,A.,and Schweitzer,R. (1981) "The Art of Risk Management in Bond Portfolios." Journal of Portfolio Management. (Spring), pp27-36.
     9. Brennan,M.J. ,and Schwartz, E.S. (1983) "Duration, Bond Pricing, and Portfolio Management." In Innovations in Bond Portfolio Management, pp3-36.
     10. Chambers,D.R., Carleton,W.T., and McEnally,R.W. (1988) "Immunizing Default-Free Bond Portfolios with a Duration Vector." Journal of Financial and Quantitative Analysis (Mar.), pp89-104.
     11. Christensen,P.E., and Fabozzi,F.J. (1991) "Bond Immunization: An Asset Liability Optimization Strategy " In The Handbook of Fixed Income Securities, ed. by Fabozzi,F.J., and Pollock, I.H. 3rd edition. Homewood, Illoinois: Dow Jones- Irwin, pp912-941.
     12. Cox,J.C.,Ingersoll,J.E.,and Ross,S.A. (1979),"Duration and the Measurement of Basis Risk."Journal of Business. (Jan.), pp5l-61.
     13. Culbertson,J. (1957) " The Term Structure of Interest Rate." Quarterly Journal of Economics,pp485-517.
     14. Douglas,L.G. (1988) " Yield Curve Analysis."New York Institute of Finance.
     15. Fabozzi,F.J. (1987) "Bond Yield Measures and Price Volatility Properties." In The Handbook of Fixed Income Securities, pp50-85.
     16. Fabozzi,F.J .. and Fabozzi,T.D. (1989) "Bond Markets Analysis and Strategies." Prentice Hall Englewood Cliffs.
     17. Fabozzi,F.J.,Pitts.M,and Dattatreya,R.E.(1991) "Price Volatility Characteristic of Fixed Income Securities." In The Handbook of Fixed Income Securities, ed. by Fabozzi,F.J.,and Pollock,I.M. 3rd edition.Homewood, Illinois: Dow Jones - Irwin, pp116-140.
     18. Fisher, I. (1986) " Appreciation and Interest."Publication of the American Economic Association.(Aug), pp23-29.
     19. Fisher,L.,and `Weil,R. (1971) " Coping with the Risk of Interest Rate Fluctuations: Returns to Bondholders from Naive and Optiomal Srtategies." Journal of Bus i ness. (Oct.), pp408-431.
     20. Fong,H.G. (1991) "Portfolio Construction: Fixed Income." In Managing Investment Portfolios – A Dynamic Process,. ed. by Maggin and Tuttle.
     21. Hicks,J.R. (1946) "Value and Capital." 2nd ed.Oxford, New York.
     22. Ingersoll, J.E. (1983) "Is Immunization Feasible?Evidence from the CRSP Data." In Innovations In Bond Portfolio Management, ppI63-182.
     23. Ingersoll, J.E.,Skelton,J.,and liIeil,R.L. (1978)"Duration Forty Years Later." Journal of Financial and Quantitative Analysis (Nov.), pp627-650.
     24. Khang,C. (1979) "Bond Immunization when Sort-Term Rates Fluctuate More than Long-Term Rates. "Journal of Financial and Quantitative Analysis . (Dec.), pp1085-1095.
     25. Kopprasch,R.W. (1987) "Understanding Duration and Volatility." In The Handbook of Fixed Income Securities, pp86-120.
     26. Lutz,F.A. (1940) " The Term Structure of Interest Rate. " Ouarterly Journal of Economics. (Nov.),pp36-63.
     27. Halkiel, B.P. (1966) ~ The Term Structure of Interest Rate." Princeton.
     28. Nelson, J, and Schaefer,S. (1983) " The Dynamics of Term Structure and Alternative Portfolio Immunization Strategies:" In Innovations in Bond Portfolio Management, pp239-265.
     29. HcEnally,R.W., and Jordan,J.V. (1991) " The Term Structure of Interest Rate." In The Handbook of Fixed Income Securities.
     30. Radcliffe,R.C. (1987) " Investment – Concept.Analysis, and Strategy." Scott, Foresman and Company, 2nd ed.
     31. Schaefer,S. (1984) " Immunization and Duration : A Review of Theory, Performance and Application."Midland Corporate Financial Journal,2, pp41-58.
     32. Weingertner,Martin. (1966) "The Generalized Rate of Return." Journal of Financial and Quantitative Analysis (Jan.), pp1-29.		zh_TW