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題名 投資組合保險策略研究 : 兼論複製性展權之應用
作者 許聰銘
貢獻者 胡聯國
許聰銘
日期 1991
1990
上傳時間 2-May-2016 17:01:15 (UTC+8)
參考文獻 1. 李存修，“投資組合保險之理論基礎",國立台灣大學管理學院Working paper , No. 8901 ，民國七十七年。
     2. 林筠，“投資組合保險之策略與績效"台北市銀月刊，第二十二卷，第五期，頁2-10 。
     3. 金國隆，“投資組合保險理論與實證研究",台灣大學商學研究所未出版碩士論文，民國七十九年六月。
     4. 楊素惠， “投資組合保險策略之執行績效研究",台灣大學商學研究所未出版碩士論文，民國七十九年六月。
     5. Benninga, S., and M. Blume, "On the Optimality of Portfolio Insurance, " Journal of Finance,Dec. 1985, Pp. 1341-1352 。
     6. Bierman, Harold, Jr., "Defining and Evaluating Portfolio Insurance Strategies", Financial Analysts Journal, MAY/ JUNE, 1988, pp.85-87。
     7. Black, F., and R. Jones, "Simplifying Portfolio Insurance, " Journal of Portfolio Management.Fall 1987, PP. 48-51。
     8. Black, F. and M. Scholes, "The Pricing of Options and Corporate Liabilities, " Journal of Political Economy. 81, 1973, Pp. 637-659。
     9. Black, F., and R. Jones, "Simplifying Portfolio Insurance for Corporate Pension Plans, "Journal of Portfoljo Management. Summer 1988, pp. 33-37。
     10. Clarke, R.G., and R. D. Arnott, "The Cost of Portfolio Insurance: Tradeoffs and Choices, "Financial Analysts Journal. NOV/ DEC 1987, pp.35-47。
     11. Cox, J. C. and M. Rubinstein, Options Markets.Prentice-Hall, Inc., Englewood Cliffs, New Jersey, 1985。
     12. Duffie, Darrel., Futures Markets. Prentice-Hall,Inc., Englewood Cliff, New Jersey, 1989, Ch 8。
     13. Fabozzi, Frank J., and Pollack, Irving M., The Handbook of Fixed Income Securitjes. Dow JonesIrwin,Homewood, Illinois, 1987, chap 44。
     14. Fabozzi, Frank J., The Handbook of Fixed-Income Options, Probus Publishing Company, Chicago,Illinois, 1989, Chap 120
     15. Friend, Irwin, and Blume, Marshall E., "The Demand for Risky Assets", The American Economic Review, Dec. 1975, pp. 901~922。
     16. Hill, J. M., and F. J. Jones, "Equity Trading,Program Trading, Portfolio Insurance, Computer Trading and all That, " Financial Analysts Journal. July/ Aug. 1988, pp. 29-38 。
     17. Ingersoll, Jonathan E., Jr., Theory of Financial Decision Making, Rowman & Littlefield, 1987,chap.4 。
     18. Kritzman, M., "What`s Wrong with Portfolie Insurance", Journal of Portfolio Management,Fall 1986, pp. 13-16。
     19. Leland, H. E., " Option Pricing and Replication with Transactions Costs", Journal of Fnance 40,Dec 1985, pp. 1283-1301。
     20. Leland, H. E., "Who Should Buy Portfolio Insurance, " Journal of Finance, May 1980,PP. 581-596 。
     21. Merton, Robert C., "Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case. "Review of Economics and Statistics 51, 1969, pp. 247-257。
     22. Perold, A. F., and W. F. Sharp, "Dynamic Strategies for Asset Allocation", Financial Analysts Journal, Jan/Feb, 1988, pp. 16-27 。
     23. Pozen, R. C. , "The Purchase of Protective Puts By Financial Institutions", Financial Analysts Journal, July/ Aug, 1978, pp. 47-60 。
     24. Rendleman, R. J., Jr., and McEnally, R. W.,"Assessing the Costs of Portfolio Insurance" ,Financial Analysts Journal. MAY/ JUNE, 1987,pp. 27-37 。
     25. Ritchken, P., Options: Theory. Strategy, and Applications, Scott, Foresman and Company, 187。
     26. Rubinstein, M., and H. Leland, "Replicating Options with Positions in Stocks and Cash",Financial Analysts Journal. July/ Aug, 1981,pp. 63-72。
     27. Rubinstein, M., "Alternative Paths To Portfolio Insurance", Financial Analysts Journal, Juiy/Aug. 1985" Pp. 42-52 。
     28. Sharpe, Wiliam F., "Asset Allocation." Printed in Maginn and Tuttle: Managing Investment Portfoljos-A Dynamic Process, 1990, Chap 7。
     29. Stoll, H. R., "The Relationship Between Put and Call Option Price",Journal of Finance, 24, Dec 1969, pp. 802-824。
     30. Treynor, Jack. L., "Portfolio Insurance and Market Volatility", Financial Analysts Journal,NOV/ DEC, 1988, pp. 71-73 。
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/#B2002004997
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.author (Authors) 許聰銘zh_TW
dc.creator (作者) 許聰銘zh_TW
dc.date (日期) 1991en_US
dc.date (日期) 1990en_US
dc.date.accessioned 2-May-2016 17:01:15 (UTC+8)-
dc.date.available 2-May-2016 17:01:15 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:01:15 (UTC+8)-
dc.identifier (Other Identifiers) B2002004997en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89604-
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 圖次 三
     表次 四
     第一章 緒論……………………1
     第一節 研究背景與動機……………………1
     第二節 研究目的……………………2
     第三節 研究內容與架構……………………3
     本章註釋……………………5
     第二章 組合保險之相關理論……………………6
     第一節 組合保險之理論基礎……………………6
     第二節 組合保險之適用性……………………11
     第三節 使用組合保險之投資人特性……………………13
     本章註釋……………………16
     第三章 組合保險之運用策略……………………17
     第一節 固定比例策略……………………17
     第二節 歐式賣權與買權策略……………………20
     第三節 複製性賣權策略--股票與現金之複製……………………23
     第四節 其他複製性賣權策略--股價指數與期貨之複製……………………28
     第五節 複製性展權策略……………………32
     本章註釋……………………36
     第四章 實證研究……………………38
     第一節 實證的方法與架構……………………38
     第二節 研究之對象與範圍……………………48
     第三節 實證結果與分析……………………53
     本章註釋……………………61
     第五章 結論興建議……………………81
     第一節 結論……………………81
     第二節 後續研究方向……………………84
     本章註釋
     參考文獻……………………90		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004997en_US
dc.title (題名) 投資組合保險策略研究 : 兼論複製性展權之應用zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. 李存修，“投資組合保險之理論基礎",國立台灣大學管理學院Working paper , No. 8901 ，民國七十七年。
     2. 林筠，“投資組合保險之策略與績效"台北市銀月刊，第二十二卷，第五期，頁2-10 。
     3. 金國隆，“投資組合保險理論與實證研究",台灣大學商學研究所未出版碩士論文，民國七十九年六月。
     4. 楊素惠， “投資組合保險策略之執行績效研究",台灣大學商學研究所未出版碩士論文，民國七十九年六月。
     5. Benninga, S., and M. Blume, "On the Optimality of Portfolio Insurance, " Journal of Finance,Dec. 1985, Pp. 1341-1352 。
     6. Bierman, Harold, Jr., "Defining and Evaluating Portfolio Insurance Strategies", Financial Analysts Journal, MAY/ JUNE, 1988, pp.85-87。
     7. Black, F., and R. Jones, "Simplifying Portfolio Insurance, " Journal of Portfolio Management.Fall 1987, PP. 48-51。
     8. Black, F. and M. Scholes, "The Pricing of Options and Corporate Liabilities, " Journal of Political Economy. 81, 1973, Pp. 637-659。
     9. Black, F., and R. Jones, "Simplifying Portfolio Insurance for Corporate Pension Plans, "Journal of Portfoljo Management. Summer 1988, pp. 33-37。
     10. Clarke, R.G., and R. D. Arnott, "The Cost of Portfolio Insurance: Tradeoffs and Choices, "Financial Analysts Journal. NOV/ DEC 1987, pp.35-47。
     11. Cox, J. C. and M. Rubinstein, Options Markets.Prentice-Hall, Inc., Englewood Cliffs, New Jersey, 1985。
     12. Duffie, Darrel., Futures Markets. Prentice-Hall,Inc., Englewood Cliff, New Jersey, 1989, Ch 8。
     13. Fabozzi, Frank J., and Pollack, Irving M., The Handbook of Fixed Income Securitjes. Dow JonesIrwin,Homewood, Illinois, 1987, chap 44。
     14. Fabozzi, Frank J., The Handbook of Fixed-Income Options, Probus Publishing Company, Chicago,Illinois, 1989, Chap 120
     15. Friend, Irwin, and Blume, Marshall E., "The Demand for Risky Assets", The American Economic Review, Dec. 1975, pp. 901~922。
     16. Hill, J. M., and F. J. Jones, "Equity Trading,Program Trading, Portfolio Insurance, Computer Trading and all That, " Financial Analysts Journal. July/ Aug. 1988, pp. 29-38 。
     17. Ingersoll, Jonathan E., Jr., Theory of Financial Decision Making, Rowman & Littlefield, 1987,chap.4 。
     18. Kritzman, M., "What`s Wrong with Portfolie Insurance", Journal of Portfolio Management,Fall 1986, pp. 13-16。
     19. Leland, H. E., " Option Pricing and Replication with Transactions Costs", Journal of Fnance 40,Dec 1985, pp. 1283-1301。
     20. Leland, H. E., "Who Should Buy Portfolio Insurance, " Journal of Finance, May 1980,PP. 581-596 。
     21. Merton, Robert C., "Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case. "Review of Economics and Statistics 51, 1969, pp. 247-257。
     22. Perold, A. F., and W. F. Sharp, "Dynamic Strategies for Asset Allocation", Financial Analysts Journal, Jan/Feb, 1988, pp. 16-27 。
     23. Pozen, R. C. , "The Purchase of Protective Puts By Financial Institutions", Financial Analysts Journal, July/ Aug, 1978, pp. 47-60 。
     24. Rendleman, R. J., Jr., and McEnally, R. W.,"Assessing the Costs of Portfolio Insurance" ,Financial Analysts Journal. MAY/ JUNE, 1987,pp. 27-37 。
     25. Ritchken, P., Options: Theory. Strategy, and Applications, Scott, Foresman and Company, 187。
     26. Rubinstein, M., and H. Leland, "Replicating Options with Positions in Stocks and Cash",Financial Analysts Journal. July/ Aug, 1981,pp. 63-72。
     27. Rubinstein, M., "Alternative Paths To Portfolio Insurance", Financial Analysts Journal, Juiy/Aug. 1985" Pp. 42-52 。
     28. Sharpe, Wiliam F., "Asset Allocation." Printed in Maginn and Tuttle: Managing Investment Portfoljos-A Dynamic Process, 1990, Chap 7。
     29. Stoll, H. R., "The Relationship Between Put and Call Option Price",Journal of Finance, 24, Dec 1969, pp. 802-824。
     30. Treynor, Jack. L., "Portfolio Insurance and Market Volatility", Financial Analysts Journal,NOV/ DEC, 1988, pp. 71-73 。		zh_TW