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題名 多期國際證券投資報酬率之研究
作者 張萊華
貢獻者 林祖嘉
張萊華
日期 1990
1989
上傳時間 3-May-2016 14:12:22 (UTC+8)
參考文獻 參考文獻
     中文部分:
     l.丁瑞九，國際證券組合系統性風險之研究，政大企研所論文，76年7月。
     2.游素秋，國際證券組合利益之分析，成大公管研究所論文，78年5月。
     3.曾郁仁，國際證券投資之研究，台大商研所論文，77年7月。
     4.盧建成，本國一般銀行投資國際債券之研究，台大商研所論文，74年7月。
     5.林煜宗，現代投資學，77年11月。
     
     英文部分:
     1.Edwin J. Elton and Martin J. Gruber," Dynamic Programming Application in Finance", Journal of Finance, 1970,PP.473-505。
     2.Edwin J. Elton and Martin J. Gruber," On the Optimality of Some Multiperiod portfolio Selection Criteria", The Journal of Business, 1974, PP.231- 241。
     3.Eugene F. Fama," Multiperiod Consumption-Investment Decision", The American Economic Review, 60, 1970, PP.163-174。
     4.George M. Constantinides," Capital Market Equilibrium with Transaction Costs",Journal of Political Economy, 1986,PP.842-862。
     5.Grauer Robert, and Hakansson, Nils," Higher Return,Lower Risk : Historical Returns on Long-run,Actively Managed, Portfoilos of Stocks: Bonds and Bills,1936-1978", Financial Analysts Journal,38,1982,PP.39-53。
     6.Grauer, Robert, and Hakansson, Nils," 1934-1984 Returns on Levered, Actively Managed Long-run Portfolios of Stocks, Bonds and-Bills",Financial Analysts Journal, 41, 1955, PP.24-43。
     7.Grauer, Robert, and Hakansson, Nils," Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds, Journal of Finance, 3, 1987, PP.721-741。
     8.Grubel, H. G. "Internationally Diversification Portfolios: Welfare Gains and Capital Flows. "American Economic Review December 1968,PP.1299-1314。
     9.Gur Huberman and Stephen Ross," Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Function", Econometrica, 51, 1983,PP.1345-1361。
     10.Hakansson, Nils," Optimal Investment and Cousnmption Strategies Under Risk,an Uncertain Lifetime,and Insurance", International Economic Review,10,1969, PP.443-467。
     11.Hakansson, Nils," Multiperiod Mean-Variance Ana-lysis:Toward a CeneralTheory of Portfolio Choice", The Journal of Finance, 1970, PP.857-834。
     12.Hakansson, Nils, "Optimal Investment and Consuption Strategies Under Risk for a Class of Utility Function", Econometrica, 1970 PP587-607.
     13.Hakansson, Nils.," On Optimal Myopic Portfolio policies, With and Withoutserial Correlation of Yield", Journal of Business,44, 1971 PP324-34。
     14.Hakansson, Nils," Convergence to Isoelastic Utility and Policy in multiperiod Choice", Journal of Financial Economics, I, 1974 PP201-24。
     15.Henry A. Latune,"Criteria for Choice Among Risky Ventures", Journal of Political Economy, 1959,PP.144-155。
     16.Jack Clark Francis, Stephen, H, Archer, "Portfolio Analysis",Ch12. Second Edition, by Ezra Soloman,Stanford University, 1979。
     17.Jan Mossin," Optimal Multiperiod Portfolio Policies",Journal of Business,41, April, 1968, PP.215-290
     18.Leland, H," On Turnpike Portfolios, in Mathematical Methods in Investmentand Finance", ed by G.P. Szego and Karl Shell, Amsterdam:North-Holland,1972。
     19.Lessard, D. "World, Contry and Industry Relationships in Equity Returns" Implications for Risk Reduction Through International Diversification",Financial Analysts Journal January/February, 1976,PP.32-38。
     20.M. Barry Goldman,"A Negative Report on The Near Optimality of The Max-expeted-log Policy as Applied to Bounded Utilities for Long Lived Programs",
     Journal of Financial Economics, 1974, PP.97-103。
     21.Philipe Jorion,"International Porofolio Diversification With Estmation risk, Journal of Business,58,1985, PP.259-278。
     22.Stephen A. Ross," Portfolio Turnpike Theorems for Constant Policies",Journal of Financial Economics,1, 1974,PP.171-198。
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/#B2002005343
資料類型 thesis
dc.contributor.advisor 林祖嘉zh_TW
dc.contributor.author (Authors) 張萊華zh_TW
dc.creator (作者) 張萊華zh_TW
dc.date (日期) 1990en_US
dc.date (日期) 1989en_US
dc.date.accessioned 3-May-2016 14:12:22 (UTC+8)-
dc.date.available 3-May-2016 14:12:22 (UTC+8)-
dc.date.issued (上傳時間) 3-May-2016 14:12:22 (UTC+8)-
dc.identifier (Other Identifiers) B2002005343en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90062-
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 目錄
     第一章 諸論………1
     第一節 研究動機與目的………1
     第二節 研究方法及本文架構………2
     第二章 文獻回顧………5
     第一節 單期投資模型………6
     第二節 多期投資模型………7
     第三節 多期消費投資決策………19
     第四節 多期投資模型的實証………27
     第三章 實証模型及資料說明………31
     第一節 投資國內資產的報酬率………31
     第二節 投資國外資產的報酬率………36
     第三節 資料來源和處理………39
     第四節 實証模型………41
     第四章 實証結果分析………48
     第一節 投資於第一類資產的最適組合分析………48
     第二節 投資於第二類資產的最適組合分析………54
     第三節 投資於第三類資產的最適組合分析………61
     第四節 幾何平均和標準差的分析………68
     第五節 投資組合報酬率差異之檢定………74
     第五章 結論與建議………79
     第一節 研究結論摘要………79
     第二節 建議………80
     參考文獻
     附錄
     
     圖表目錄
     圖次:
     2-1多種風險性証券投資機會集合………7
     3-1不同G下報酬率和效用關係圖………44
     4-1投資第一類和第二類資產投資組合報酬率之幾何平均數和標準差………71
     4-2投資第一類和第三類資產投資組合報酬率之幾何平均數和標準差………72
     
     表次:
     2-1最適決策為完全短視及部分短視之充分必要條件………14
     2-2投資組合不包括及包括外國資產時報酬率之t檢定………28
     4-1投資於第一類資產當G為-30、-5、1時，投資組合的組成………50
     4-2 11種資產之報酬率………51
     4-3投資於第一類資產10種策略下的報酬率………53
     4-4投資於第二類資產G=-30時，投資組合的投資組成………56
     4-5投資於第二類資產G=-5時，投資組合的投組成………57
     4-6投資於第二類資產G=1時，投資組合的投資組成………58
     4-7投資於第二類資產，10種不同策略下投資組合的報酬率………60
     4-8投資於第三類資產下G=-30時，投資組合的組成………62
     4-9投資於第三類資產下G=-5時，投資組合的組成………63
     4-10投資於第三類資產下G=1時，投資組合的組成………64
     4-11投資於第三類資產，10種策略下投資組合的報酬率………67
     4-12投資於三類資產10種策略下，報酬率的幾何平均與標準差………69
     4-13投資第一類及第二類資產投資組合報酬率差的檢定………77
     4-14投資於第一類及第三類資投資組合報酬率差的檢定………77		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005343en_US
dc.title (題名) 多期國際證券投資報酬率之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
     中文部分:
     l.丁瑞九，國際證券組合系統性風險之研究，政大企研所論文，76年7月。
     2.游素秋，國際證券組合利益之分析，成大公管研究所論文，78年5月。
     3.曾郁仁，國際證券投資之研究，台大商研所論文，77年7月。
     4.盧建成，本國一般銀行投資國際債券之研究，台大商研所論文，74年7月。
     5.林煜宗，現代投資學，77年11月。
     
     英文部分:
     1.Edwin J. Elton and Martin J. Gruber," Dynamic Programming Application in Finance", Journal of Finance, 1970,PP.473-505。
     2.Edwin J. Elton and Martin J. Gruber," On the Optimality of Some Multiperiod portfolio Selection Criteria", The Journal of Business, 1974, PP.231- 241。
     3.Eugene F. Fama," Multiperiod Consumption-Investment Decision", The American Economic Review, 60, 1970, PP.163-174。
     4.George M. Constantinides," Capital Market Equilibrium with Transaction Costs",Journal of Political Economy, 1986,PP.842-862。
     5.Grauer Robert, and Hakansson, Nils," Higher Return,Lower Risk : Historical Returns on Long-run,Actively Managed, Portfoilos of Stocks: Bonds and Bills,1936-1978", Financial Analysts Journal,38,1982,PP.39-53。
     6.Grauer, Robert, and Hakansson, Nils," 1934-1984 Returns on Levered, Actively Managed Long-run Portfolios of Stocks, Bonds and-Bills",Financial Analysts Journal, 41, 1955, PP.24-43。
     7.Grauer, Robert, and Hakansson, Nils," Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds, Journal of Finance, 3, 1987, PP.721-741。
     8.Grubel, H. G. "Internationally Diversification Portfolios: Welfare Gains and Capital Flows. "American Economic Review December 1968,PP.1299-1314。
     9.Gur Huberman and Stephen Ross," Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Function", Econometrica, 51, 1983,PP.1345-1361。
     10.Hakansson, Nils," Optimal Investment and Cousnmption Strategies Under Risk,an Uncertain Lifetime,and Insurance", International Economic Review,10,1969, PP.443-467。
     11.Hakansson, Nils," Multiperiod Mean-Variance Ana-lysis:Toward a CeneralTheory of Portfolio Choice", The Journal of Finance, 1970, PP.857-834。
     12.Hakansson, Nils, "Optimal Investment and Consuption Strategies Under Risk for a Class of Utility Function", Econometrica, 1970 PP587-607.
     13.Hakansson, Nils.," On Optimal Myopic Portfolio policies, With and Withoutserial Correlation of Yield", Journal of Business,44, 1971 PP324-34。
     14.Hakansson, Nils," Convergence to Isoelastic Utility and Policy in multiperiod Choice", Journal of Financial Economics, I, 1974 PP201-24。
     15.Henry A. Latune,"Criteria for Choice Among Risky Ventures", Journal of Political Economy, 1959,PP.144-155。
     16.Jack Clark Francis, Stephen, H, Archer, "Portfolio Analysis",Ch12. Second Edition, by Ezra Soloman,Stanford University, 1979。
     17.Jan Mossin," Optimal Multiperiod Portfolio Policies",Journal of Business,41, April, 1968, PP.215-290
     18.Leland, H," On Turnpike Portfolios, in Mathematical Methods in Investmentand Finance", ed by G.P. Szego and Karl Shell, Amsterdam:North-Holland,1972。
     19.Lessard, D. "World, Contry and Industry Relationships in Equity Returns" Implications for Risk Reduction Through International Diversification",Financial Analysts Journal January/February, 1976,PP.32-38。
     20.M. Barry Goldman,"A Negative Report on The Near Optimality of The Max-expeted-log Policy as Applied to Bounded Utilities for Long Lived Programs",
     Journal of Financial Economics, 1974, PP.97-103。
     21.Philipe Jorion,"International Porofolio Diversification With Estmation risk, Journal of Business,58,1985, PP.259-278。
     22.Stephen A. Ross," Portfolio Turnpike Theorems for Constant Policies",Journal of Financial Economics,1, 1974,PP.171-198。		zh_TW