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題名 多期基金之最適資產配置：擬似動態規劃之應用
Optimal Asset Allocation In Multi-period Fund Management: An Application of Quasi-Dynamic Programming
作者 鄧益俗
貢獻者 張士傑
鄧益俗
關鍵詞 效用函數
動態完備市場
最適成長資產組合
擬似動態規劃
utility
dynamic complete market
optimal growth portfolio
quasi-dynamic
日期 2002
上傳時間 9-May-2016 16:30:55 (UTC+8)
摘要 　　本研究探討長期信託基金（諸如退休基金，人壽保險公司等）之固定收益債券多期資產配置，利用時間可加性之效用函數描述投資者於投資期限時對財富大小之風險偏好程度，滿足基金之長期最適效益目標，為避免模型過於複雜，本文假設於動態完備市場中針對基金所持有之資產執行動態資產配置，建立財務動態調整機制以評量基金到期之獲利表現。為實際反應市場之風險程度，持有資產將利用隨機擴散過程表示，短期市場利率採用單因子Vasicek隨機模型表示，本文以給定金融市場之情境假設，說明不同到期日之債券為適當之獲利投資及避險工具，本研究之多期資產配置模型主要參考Cox與Huang (1989, 1991)與Sorensen (1999)，將未來財富過程利用平賭過程表示，給定不同投資限制條件、風險偏好程度與市場系統風險，以擬似動態規劃實際計算與比較每期之最適資產配置。
　　This study attempts to investigate the hedging behavior through multi-period asset allocation strategy for the long-term fund manager, i.e., pension fund managers, life insurers, etc. Time additive utility function is employed to depict the risk preference of the investors during his investment time horizon. Based on their long-duration liabilities, assets held by the fund manager are employed in hedging and speculating under dynamic complete market assumption. To fully reflect the financial risks from the market, a risk management mechanism is implemented to monitor the long-term financial soundness. Short-term interest rate model proposed by Vasicek is employed to characterize the diffusion pattern of the invested assets. Current financial market information are incorporated and investigated to portray the hedging strategy through fixed income securities with various maturities. The quasi-dynamic approach proposed in Cox and Huang (1989, 1991) and Sorensen (1999) are implemented to construct the optimal asset allocation model. The optimal strategy is examined through maximizing the indirect utility function through the optimal growth portfolio. Finally, the hedging behaviors are compared and fully explored under various market scenarios.
參考文獻 Agarwal, V. and Naik, N. Y., “Multi-Period Performance Persistence Analysis of Hedge Fund”, Journal of Financial and Quantitative Analysis. 35 (2000), 327-342.
Boyle, P. and H. Yang, ”Asset Allocation With Time Variation in Excepted Returns.” Insurance: Mathematics and Economics, 21 (1997), 201-218.
Brennan, M. J.；E.S. Schwartz “The Use of Treasure Bill Futures in Strategic Asset Allocation.” World Wide Asset and Liability Modeling, 1996.
Brennan, M. J.；E.S. Schwartz；and R. Lagnado “Strategic Asset Allocation.” Journal of Economic Dynamics and Control, 21 (1997), 1377-1403.
Campbell, J. Y ”Stock Returns and Term Structure.” Journal of Financial Economics, 18 (1987), 373-399.
Chan, K. C.; G.. A. Karolyi; F. A. Longstaff; and A. B. Sanders. “An Empirical comparison of Alternative Models of the Short-Term Interest Rate.” Journal of Finance, 47 (1992), 1209-1227.
Cox, J.C. and C.F. Huang. “Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process.” Journal of Economic Theory, 49 (1989), 33-83.
Cox, J. C. and C. F. Huang “A Variational Problem Arising in Financial Economics.” Journal of Mathematical Economics, 20 (1991), 465-487.
Cox J. C., J. E. Ingersoll and S. A. Ross “An Intertemporal General Equilibrium Model of Asset Prices.” Econometrica 53 (1985), 363-384.
Duffie, J. D. and C. F. Huang. “Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities.” Econometrica, 53 (1985), 1337-1356.
Fama, E. F., and K. R. French. “Business Condition and Excepted Returns on Stocks and Bonds.” Journal of Financial Economics, 25 (1989), 23-49.
Harrison M. and Kreps D. “Martingales and Arbitrage in Multiperiod Securities Markets. ” Journal of Economic Theory, 20 (1979), 381-408.
Harrison M. and Pliska S. “Martingales and Stochastic Integrals in The Theory of Continuous Trading.” Stochastic Process and Their Application. 11 (1981), 215-260.
Hakansson H. “Optimal Investment and Consumption Strategies under Risk For a Class of Utility Function.” Econometrica 38 (1970), 587-607.
Hakansson H. “Capital Growth and The Mean-Variance Approach to Portfolio Selection.”, Journal of Financial and Quantitative Analysis. 6 (1971), 517-57.
Hakansson H. and Ziemba T. “Capital Growth Theory” Handbooks in Operations Research and Management Science. Volume 9:Finance: Amsterdam, Elsevier, 1995.
Ingersoll E. “Theory of Financial Decision Marking” Maryland, Rowman & Littlefield Publishers, 1987.
Kim, T. S. and E. Omberg. “Dynamic Nonmyopic Portfolio Behavior. ” Review of Financial Studies, 9 (1996), 141-161.
Markowitz, H. “Portfolio Selection.” Journal of Finance, 7(1952), 77-91.
Merton, R. C. ”Optimal Consumption and Portfolio Rules in a Continuous-Time Model.” Journal of Economic Theory, 3(1971) , 373-413.
Merton, R.C. ”Lifetime portfolio Selection Under Uncertainty：The Continuous-Time Case.” Review of Economic and Statistics, 51 (1969), 247-257.
Merton, R. C. “Continuous-Time Finance,” Cambridge, Blackwell, 1990.
Pratt W. “Risk Aversion in a Small and in a Large.” Econometrica, 32 (1964), 122-136.
Rubinstein, M., ”Alternative Paths to Portfolio Insurance.” Financial Analysts Journal, 41 (1985), 42-52.
Samuelson, P. A., “Lifetime Portfolio Selection by Dynamic Stochastic Programming.” Review of Economics and Statistic, 51(1969), 239-246.
Samuelson, P. A. “The Long-term Case for Equities. And How it Can Be Oversold”. Journal of Portfolio Management, 21 (1994), 15-24.
Shiller, R. J. and A. E. Beltratti. “Stock Prices and Bond Yields: Can Their Comovements be Explained in Terms of Present Value Models?” Journal of Monetary Economics, 30 (1992), 25-46.
Sorensen, C., “Dynamic Asset Allocation and Fixed Income Management.” Journal of Financial and Quantitative Analysis, 34 (1999), 513-531.
Sorensen, C., “Paying For Minimum Interest Rate Guarantee﹕Who Should Compensate Who? ” European Financial Management, 7 (2001), 183-211.
Vasicek, O., “An Equilibrium Characterization of The Term Structure.” Journal Of Financial Economics, 5 (1977), 177-188.
Wachter, J. A., “Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets.” Journal of Financial and Quantitative Analysis, 37 (2002), 63-91.
描述 碩士
國立政治大學
風險管理與保險研究所
89358010
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000303
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 鄧益俗zh_TW
dc.creator (作者) 鄧益俗zh_TW
dc.date (日期) 2002en_US
dc.date.accessioned 9-May-2016 16:30:55 (UTC+8)-
dc.date.available 9-May-2016 16:30:55 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 16:30:55 (UTC+8)-
dc.identifier (Other Identifiers) A2010000303en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95556-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 89358010zh_TW
dc.description.abstract (摘要) 　　本研究探討長期信託基金（諸如退休基金，人壽保險公司等）之固定收益債券多期資產配置，利用時間可加性之效用函數描述投資者於投資期限時對財富大小之風險偏好程度，滿足基金之長期最適效益目標，為避免模型過於複雜，本文假設於動態完備市場中針對基金所持有之資產執行動態資產配置，建立財務動態調整機制以評量基金到期之獲利表現。為實際反應市場之風險程度，持有資產將利用隨機擴散過程表示，短期市場利率採用單因子Vasicek隨機模型表示，本文以給定金融市場之情境假設，說明不同到期日之債券為適當之獲利投資及避險工具，本研究之多期資產配置模型主要參考Cox與Huang (1989, 1991)與Sorensen (1999)，將未來財富過程利用平賭過程表示，給定不同投資限制條件、風險偏好程度與市場系統風險，以擬似動態規劃實際計算與比較每期之最適資產配置。zh_TW
dc.description.abstract (摘要) 　　This study attempts to investigate the hedging behavior through multi-period asset allocation strategy for the long-term fund manager, i.e., pension fund managers, life insurers, etc. Time additive utility function is employed to depict the risk preference of the investors during his investment time horizon. Based on their long-duration liabilities, assets held by the fund manager are employed in hedging and speculating under dynamic complete market assumption. To fully reflect the financial risks from the market, a risk management mechanism is implemented to monitor the long-term financial soundness. Short-term interest rate model proposed by Vasicek is employed to characterize the diffusion pattern of the invested assets. Current financial market information are incorporated and investigated to portray the hedging strategy through fixed income securities with various maturities. The quasi-dynamic approach proposed in Cox and Huang (1989, 1991) and Sorensen (1999) are implemented to construct the optimal asset allocation model. The optimal strategy is examined through maximizing the indirect utility function through the optimal growth portfolio. Finally, the hedging behaviors are compared and fully explored under various market scenarios.en_US
dc.description.tableofcontents 謝辭
摘要
Abstract
目錄-----I
圖表目錄-----III
第一章 緒論-----1
　　1.1 研究動機-----1
　　1.2 研究目的-----3
　　1.3 研究方法-----4
第二章 文獻回顧-----8
　　2.1 隨機控制理論-----8
　　2.2 動態規劃方法-----9
　　2.3 平賭過程-----10
　　2.4 動態資產配置最適解問題-----11
第三章 投資問題-----14
　　3.1 投資人之效用函數-----14
　　3.2 投資標的物之模型-----16
第四章 完備市場假設-----21
　　4.1 完備市場假設-----21
　　4.2 未來財富過程與間接效用函數-----22
　　4.3 擬似動態規劃方法-----29
第五章 模擬分析-----32
　　5.1 市場假設-----32
　　5.2 情境分析-----33
　　　　5.2.1 風險趨避程度對於資產配置之影響-----34
　　　　5.2.2 投資上限對於資產配置之影響-----34
　　　　5.2.3 股票市場波動性對於資產配置之影響-----35
　　　　5.2.4 初始設定之利率值對於資產配置之影響-----36
　　　　5.2.5 利率波動性對於資產配置之影響-----37
第六章 結論-----38
　　6.1 結論-----38
　　6.2 後續研究建議-----39
參考文獻-----58

圖表目錄
圖1　給定γ=2、σr=0.02、σs=0.4、r=0.04對於不同投資上限之資產配置圖-----41
圖2　給定γ=5、σr=0.02、σs=0.4、r=0.04對於不同投資上限之資產配置圖-----42
圖3　給定γ=10、σr=0.02、σs=0.4、r=0.04對於不同投資上限之資產配置-----43
圖4　無投資上限時給定σr=0.02、σs=0.2、r=0.04 對於不同風險趨避程度之資產配置圖-----44
表1.1　給定投資上限0.1、σr=0.02、σs=0.2、r=0.04對於不同風險趨避程度之資產配置圖-----45
表1.2　給定投資上限0.25、σr=0.02、σs=0.2、r=0.04對於不同風險趨避程度之資產配置圖-----45
表1.3　給定投資上限0.5、σr=0.02、σs=0.2、r=0.04對於不同風險趨避程度之資產配置圖-----45
表2.1　給定投資上限0.1、σr=0.02、σs=0.3、r=0.04對於不同風險趨避程度之資產配置圖-----46
表2.2　給定投資上限0.25、σr=0.02、σs=0.3、r=0.04 對於不同風險趨避程度之資產配置圖-----46
表2.3　給定投資上限0.5、σr=0.02、σs=0.3、r=0.04 對於不同風險趨避程度之資產配置圖-----46
表3.1　給定投資上限0.1、σr=0.02、σs=0.4、r=0.04 對於不同風險趨避程度之資產配置圖-----47
表3.2　給定投資上限0.25、σr=0.02、σs=0.4、r=0.04 對於不同風險趨避程度之資產配置圖-----47
表3.3　給定投資上限0.5、σr=0.02、σs=0.4、r=0.04 對於不同風險趨避程度之資產配置圖-----47
表4.1　給定投資上限0.1、σr=0.02、σs=0.2、r=0.05 對於不同風險趨避程度之資產配置圖-----48
表4.2　給定投資上限0.25、σr=0.02、σs=0.2、r=0.05 對於不同風險趨避程度之資產配置圖-----48
表4.3　給定投資上限0.5、σr=0.02、σs=0.2、r=0.05 對於不同風險趨避程度之資產配置圖-----48
表5.1　給定投資上限0.1、σr=0.02、σs=0.3、r=0.05 對於不同風險趨避程度之資產配置圖-----49
表5.2　給定投資上限0.25、σr=0.02、σs=0.3、r=0.05 對於不同風險趨避程度之資產配置圖-----49
表5.3　給定投資上限0.5、σr=0.02、σs=0.3、r=0.05 對於不同風險趨避程度之資產配置圖-----49
表6.1　給定投資上限0.1、σr=0.02、σs=0.4、r=0.05 對於不同風險趨避程度之資產配置圖-----50
表6.2　給定投資上限0.25、σr=0.02、σs=0.4、r=0.05 對於不同風險趨避程度之資產配置圖-----50
表6.3　給定投資上限0.5、σr=0.02、σs=0.4、r=0.05 對於不同風險趨避程度之資產配置圖-----50
表7.1　給定投資上限0.1、σr=0.02、σs=0.2、r=0.06 對於不同風險趨避程度之資產配置圖-----51
表7.2　給定投資上限0.25、σr=0.02、σs=0.2、r=0.06 對於不同風險趨避程度之資產配置圖-----51
表7.3　給定投資上限0.5、σr=0.02、σs=0.2、r=0.06 對於不同風險趨避程度之資產配置圖-----51
表8.1　給定投資上限0.1、σr=0.02、σs=0.3、r=0.06 對於不同風險趨避程度之資產配置圖-----52
表8.2　給定投資上限0.25、σr=0.02、σs=0.3、r=0.06 對於不同風險趨避程度之資產配置圖-----52
表8.3　給定投資上限0.5、σr=0.02、σs=0.3、r=0.06 對於不同風險趨避程度之資產配置圖-----52
表9.1　給定投資上限0.1、σr=0.02、σs=0.4、r=0.06 對於不同風險趨避程度之資產配置圖-----53
表9.2　給定投資上限0.25、σr=0.02、σs=0.4、r=0.06 對於不同風險趨避程度之資產配置圖-----53
表9.3　給定投資上限0.5、σr=0.02、σs=0.4、r=0.06 對於不同風險趨避程度之資產配置圖-----53
表10.1　無投資上限時給定σr=0.02、σs=0.2、r=0.04 對於不同風險趨避程度之資產配置圖-----54
表10.2　無投資上限時給定σr=0.02、σs=0.3、r=0.04 對於不同風險趨避程度之資產配置圖-----54
表10.3　無投資上限時給定σr=0.02、σs=0.4、r=0.04 對於不同風險趨避程度之資產配置圖-----54
表11.1　無投資上限時給定σr=0.02、σs=0.2、r=0.05 對於不同風險趨避程度之資產配置圖-----55
表11.2　無投資上限時給定σr=0.02、σs=0.3、r=0.05 對於不同風險趨避程度之資產配置圖-----55
表11.3　無投資上限時給定σr=0.02、σs=0.4、r=0.05 對於不同風險趨避程度之資產配置圖-----55
表12.1　無投資上限時給定σr=0.02、σs=0.2、r=0.06 對於不同風險趨避程度之資產配置圖-----56
表12.2　無投資上限時給定σr=0.02、σs=0.3、r=0.06 對於不同風險趨避程度之資產配置圖-----56
表12.3　無投資上限時給定σr=0.02、σs=0.4、r=0.06 對於不同風險趨避程度之資產配置圖-----56
表13.1　投資上限0.1時給定σr=0.03、σs=0.2、r=0.04 對於不同風險趨避程度之資產配置圖-----57
表13.2　投資上限0.25時給σr=0.03、σs=0.2、r=0.05 對於不同風險趨避程度之資產配置圖-----57
表13.3　投資上限0.5時給定σr=0.03、σs=0.2、r=0.06 對於不同風險趨避程度之資產配置圖-----57		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000303en_US
dc.subject (關鍵詞) 效用函數zh_TW
dc.subject (關鍵詞) 動態完備市場zh_TW
dc.subject (關鍵詞) 最適成長資產組合zh_TW
dc.subject (關鍵詞) 擬似動態規劃zh_TW
dc.subject (關鍵詞) utilityen_US
dc.subject (關鍵詞) dynamic complete marketen_US
dc.subject (關鍵詞) optimal growth portfolioen_US
dc.subject (關鍵詞) quasi-dynamicen_US
dc.title (題名) 多期基金之最適資產配置：擬似動態規劃之應用zh_TW
dc.title (題名) Optimal Asset Allocation In Multi-period Fund Management: An Application of Quasi-Dynamic Programmingen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Agarwal, V. and Naik, N. Y., “Multi-Period Performance Persistence Analysis of Hedge Fund”, Journal of Financial and Quantitative Analysis. 35 (2000), 327-342.
Boyle, P. and H. Yang, ”Asset Allocation With Time Variation in Excepted Returns.” Insurance: Mathematics and Economics, 21 (1997), 201-218.
Brennan, M. J.；E.S. Schwartz “The Use of Treasure Bill Futures in Strategic Asset Allocation.” World Wide Asset and Liability Modeling, 1996.
Brennan, M. J.；E.S. Schwartz；and R. Lagnado “Strategic Asset Allocation.” Journal of Economic Dynamics and Control, 21 (1997), 1377-1403.
Campbell, J. Y ”Stock Returns and Term Structure.” Journal of Financial Economics, 18 (1987), 373-399.
Chan, K. C.; G.. A. Karolyi; F. A. Longstaff; and A. B. Sanders. “An Empirical comparison of Alternative Models of the Short-Term Interest Rate.” Journal of Finance, 47 (1992), 1209-1227.
Cox, J.C. and C.F. Huang. “Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process.” Journal of Economic Theory, 49 (1989), 33-83.
Cox, J. C. and C. F. Huang “A Variational Problem Arising in Financial Economics.” Journal of Mathematical Economics, 20 (1991), 465-487.
Cox J. C., J. E. Ingersoll and S. A. Ross “An Intertemporal General Equilibrium Model of Asset Prices.” Econometrica 53 (1985), 363-384.
Duffie, J. D. and C. F. Huang. “Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities.” Econometrica, 53 (1985), 1337-1356.
Fama, E. F., and K. R. French. “Business Condition and Excepted Returns on Stocks and Bonds.” Journal of Financial Economics, 25 (1989), 23-49.
Harrison M. and Kreps D. “Martingales and Arbitrage in Multiperiod Securities Markets. ” Journal of Economic Theory, 20 (1979), 381-408.
Harrison M. and Pliska S. “Martingales and Stochastic Integrals in The Theory of Continuous Trading.” Stochastic Process and Their Application. 11 (1981), 215-260.
Hakansson H. “Optimal Investment and Consumption Strategies under Risk For a Class of Utility Function.” Econometrica 38 (1970), 587-607.
Hakansson H. “Capital Growth and The Mean-Variance Approach to Portfolio Selection.”, Journal of Financial and Quantitative Analysis. 6 (1971), 517-57.
Hakansson H. and Ziemba T. “Capital Growth Theory” Handbooks in Operations Research and Management Science. Volume 9:Finance: Amsterdam, Elsevier, 1995.
Ingersoll E. “Theory of Financial Decision Marking” Maryland, Rowman & Littlefield Publishers, 1987.
Kim, T. S. and E. Omberg. “Dynamic Nonmyopic Portfolio Behavior. ” Review of Financial Studies, 9 (1996), 141-161.
Markowitz, H. “Portfolio Selection.” Journal of Finance, 7(1952), 77-91.
Merton, R. C. ”Optimal Consumption and Portfolio Rules in a Continuous-Time Model.” Journal of Economic Theory, 3(1971) , 373-413.
Merton, R.C. ”Lifetime portfolio Selection Under Uncertainty：The Continuous-Time Case.” Review of Economic and Statistics, 51 (1969), 247-257.
Merton, R. C. “Continuous-Time Finance,” Cambridge, Blackwell, 1990.
Pratt W. “Risk Aversion in a Small and in a Large.” Econometrica, 32 (1964), 122-136.
Rubinstein, M., ”Alternative Paths to Portfolio Insurance.” Financial Analysts Journal, 41 (1985), 42-52.
Samuelson, P. A., “Lifetime Portfolio Selection by Dynamic Stochastic Programming.” Review of Economics and Statistic, 51(1969), 239-246.
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