| dc.contributor.advisor | 顏錫銘 | zh_TW |
| dc.contributor.author (Authors) | 徐辜元宏 | zh_TW |
| dc.creator (作者) | 徐辜元宏 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:06:57 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:06:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:06:57 (UTC+8) | - |
| dc.identifier (Other Identifiers) | N2003000003 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31040 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 87357501 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 本論文主要探討時變環境下之最適動態資產配置策略。由於對許多跨期的投資者而言，其所關心的不只是資產當期的報酬與風險，更關心隨著時間的經過，報酬與風險的改變方向。過去許多財務實證利用不同的時間序列模型發現風險性資產，尤其是股票市場存在著某些特性，例如：均數復歸 (Mean-reverting) 與隨機波動等現象，這些實證現象對於跨期的投資者在進行資產配置時尤為重要。本文即在此時變環境架構下探討三個資產配置上的問題。並利用擾動法以求解隨機設定下之封閉解，進而提出直接的資產配置建議。 第二章主要在探討不完全市場與時變環境下，跨期退休基金管理之最適動態資產配置策略。在納入退休基金管理中二項重要的特性：多期投資與退休基金負債的考量後，提出退休基金的最適跨期資產配置策略，本文並同時利用Sharpe and Tint (1990) 所提出的彈性考量退休基金負債的觀念，納入本文之模型設定當中，使本文能同時涵蓋不同退休基金管理者之不同負債考量進入資產配置之最適配置策略。本文所提出之跨期退休基金管理之最適動態資產配置策略，除了包含單期與面對時變環境下之跨期避險成分外，更提出退休基金管理者如何依據其退休基金之特性，如基金負債比率(funding ratio)等來建構其資產配置中之退休基金負債避險成分。 第三章主要在隨機環境設定下利用跨期避險與不可交易資產求解「資產配置的迷思」。Canner, Mankiw and Weil (1997) 指出，一般財務顧問公司對於投資者風險態度的差異所提出之投資建議與財務理論間存在著嚴重的不一致性，其將之稱為「資產配置的迷思(An asset allocation puzzle)」。於第三章中提出一理性的長期投資者模型，在考量投資者之不可交易資產與隨機投資機會下，提出最適動態資產配置策略，並解決了此資產配置的迷思，與現今之一般財務顧問公司對於投資者之投資建議相一致。 第四章主要在探討利率隨時改變下，一持有不動產抵押貸款負債之家計單位或投資者，如何進行跨期的動態資產配置策略。由於購屋置產對許多家庭或個人而言是相當重要的投資決策，但一般由於缺乏足夠的資金或為了維持一穩定的消費過程，一般均會利用不動產抵押取得貸款，但隨著市場利率的越漸波動，投資者如何進行跨期的資產配置以達到獲取報酬並規避利率波動的目的為本章之討論重點。利用可交易資產來對其所持有之不動產抵押貸款負債進行避險，依不同投資者風險態度、跨期偏好、抵押期限等之設定，對於持有不動產抵押貸款負債之投資者提出資產配置及避險的建議。 | zh_TW |
| dc.description.tableofcontents | Chapter 1 Introduction 4 I. Purpose of this dissertation………………………………………4 II. Literature Review……………………………………………………6 III. Contents………………………………………………………………8 Chapter 2 Dynamic Asset Allocation Strategy for Intertemporal Pension Fund Management with Stochastic Volatility in Incomplete Markets 11 I Introduction……………………………………………………………11 II A revised model from Sharpe and Tint (1990)…………………16 II.1 Overview the approach of Sharpe and Tint (1990)…………16 II.2 Asset price and liability dynamics…………………………17 II.3 Volatility process………………………………………………19 II.4 Utility of the pension fund…………………………………20 III Optimal dynamic asset allocation strategy…………………21 III.1 Special case of the optimal dynamic asset allocation strategy……22 III.2 Approximate results by perturbation methods……………27 IV The comparative statics of the optimal dynamic asset allocation strategy…31 V Conclusions…………………………………………………………35 Chapter 3 Resolving the Asset Allocation Puzzle with Intertemporal Hedging and Nontraded Assets in the Stochastic Environment 37 I Introduction…………………………………………………………37 II A model to resolve the asset allocation puzzle……………42 II.1 Asset price and human capital dynamics……………………42 II.2 Volatility process and the investment opportunity set…44 II.3 Utility of the long-horizon investor………………………45 III Optimal dynamic asset allocation strategy for bonds, stocks and cash……47 III.1 Special case of the optimal dynamic asset allocation strategy……47 III.2 The approximate solutions by perturbation methods……52 IV The analyses on the optimal dynamic asset allocation strategy and the solution of the asset allocation puzzle……58 V Conclusions……………………………………………………………62 Chapter 4 Dynamic Asset Allocation Strategy for Investors with Mortgage Liability in the Environment of Time-Varying Interest Rates 65 I Introduction……………………………………………………………65 II The model………………………………………………………………70 II.1 Asset price and mortgage dynamics……………………………70 II.2 Time-varying interest rates and the investment opportunity set…71 II.3 Utility of the long-horizon investor………………………73 III Optimal strategic asset allocation for long-term investors with mortgage liability…………………………………………………74 III.1 Special case of the optimal strategic asset allocation……………74 III.2 Approximate closed-form solution by perturbation methods…79 IV The comparative statics of the optimal dynamic asset allocation strategy………………………………………………………86 V Conclusions……………………………………………………………91 Chapter 5 Conclusions 93 I Summary…………………………………………………………………93 II Suggestions…………………………………………………………95 References 98 Appendix A: Introduction to Perturbation Methods 106 Appendix B: The simulation results in Chapter 2 108 Appendix C: The simulation results in Chapter 3 112 Appendix D: The relationship of (2.1) with (2.2) 116 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#N2003000003 | en_US |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.subject (關鍵詞) | 時變環境 | zh_TW |
| dc.subject (關鍵詞) | Asset Allocation | en_US |
| dc.subject (關鍵詞) | Time-Varying Environments | en_US |
| dc.title (題名) | 時變環境下之最適動態資產配置策略 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Adler, Michael and Bernard Dumas, 1983, International Portfolio Choice and Corporation Finance: A Synthesis, Journal of Finance 38, 925-984. | zh_TW |
| dc.relation.reference (參考文獻) | Ang, Andrew and Geert Bekaert, 2002, International Asset Allocation with Regime Shifts, Review of Financial Studies, 15, 1137-1187. | zh_TW |
| dc.relation.reference (參考文獻) | Bajeux-Besnainou, I, James V. Jordan and Roland Portait, 2001, An Asset Allocation Puzzle: Comment, American Economic Review 91, 1170-1179. | zh_TW |
| dc.relation.reference (參考文獻) | Balvers, Ronald, Yangru Wu and Gilliland Erik, 2000, Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies, Journal of Finance, 55,745-772. | zh_TW |
| dc.relation.reference (參考文獻) | Barberis, Nicholas, 2000, Investing for the Long Run when Returns are Predictable, Journal of Finance 55, 225-264. | zh_TW |
| dc.relation.reference (參考文獻) | Basak, Suleyman, 1999, On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis, Journal of Economic Dynamics and Control 23, 1029–1064. | zh_TW |
| dc.relation.reference (參考文獻) | Bekaert, G, and G. Wu, 2000, "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Vol. 13 (1), pp. 1-42. | zh_TW |
| dc.relation.reference (參考文獻) | Black, Fisher, 1989, Should You Use Stocks to Hedge Your Pension Liability? Financial Analysts Journal 22, 10-12. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, Michael, and Yihong Xia, 2000, Stochastic Interest Rates and Bond-Stock Mix, European Finance Review 4, 197-210. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, Michael, and Yihong Xia, 2002, Dynamic Asset Allocation under Inflation, Journal of Finance, forthcoming. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, Michael, Eduardo Schwartz and Lagnado, 1997, Strategic Asset Allocation, Journal of Economic Dynamics and Control 21, 1377–1403. | zh_TW |
| dc.relation.reference (參考文獻) | Brooks, C., and U. T. Henry, 2000, “Linear and Non-Linear Transmission of Equity Return Volatility: Evidence from the US, Japan and Australia,”Economic Modeling, 174, pp. 497-513. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, John Y. and Cocco Joao, 2002, Household Risk Management and Optimal Mortgage Choice, unpublished paper, Harvard University. Campbell, John Y. and Hyeng Keun Koo, 1997, A Comparison of Numerical and nalytical Approximate Solutions to an Intertemporal Consumption Choice Problem, Journal of Economic Dynamics and Control 21, 273-295. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, John Y. and Luis Viceira, 1999, Consumption and Portfolio Decisions when Expected Returns are Time Varying, Quarterly Journal of Economics 114, 433-495. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, John Y. and Luis Viceira, 2001, Who Should Buy Long-Term Bonds, The American Economic Review 91, 99-127. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, John Y., 1987, Stock Returns and the Term Structure, Journal of Financial Economics, 18, 373-399. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, John Y., 1993, Intertemporal Asset Pricing without Consumption Data, The American Economic Review 83, 487-512. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, John Y., 2000, Asset Pricing at the Millennium, Journal of Finance 55, 1515-1567. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, John Y., George Chacko, Jorge Rodriguez and Luis M. Viceira, 2002, Strategic Asset Allocation in a Continuous-Time VAR Model, unpublished paper, Harvard University. | zh_TW |
| dc.relation.reference (參考文獻) | Canner, N., N. G. Mankiw and D. N. Weil, 1997, An Asset Allocation Puzzle, American Economic Review 87, 181-191. | zh_TW |
| dc.relation.reference (參考文獻) | Cecchetti, Stephen G., Pok Sang Lam and Mark Nelson, 1990, Mean Reversion in Equilibrium Asset Prices, American Economic Review, 80, 398-418. | zh_TW |
| dc.relation.reference (參考文獻) | Chacko, George and Luis Viceira, 2002, Dynamic Consumption and Portfolio Choice, Working Paper, Harvard Business School. | zh_TW |
| dc.relation.reference (參考文獻) | Chen, Son Nan and Jeon Kisuk, 1998, Mean Reversion Behavior of the Returns on Currency Assets, International Review of Economics and Finance 7 ,185-200. | zh_TW |
| dc.relation.reference (參考文獻) | Christiansen, C., 2000, “Macroeconomic Announcement Effects on the Covariance Structure of Government Bond Returns,” Journal of Empirical Finance, 75, pp.479-507. | zh_TW |
| dc.relation.reference (參考文獻) | Cocco, Joao F., 2000, Hedging House Price Risk with Incomplete Markets, unpublished paper, London Business School. | zh_TW |
| dc.relation.reference (參考文獻) | Cocco, Joao F., Francisco J. Gomes and Pascal J. Maenhout, 1999, Consumption and Portfolio Choice over the Life-Cycle, unpublished paper, London Business School and Harvard University. | zh_TW |
| dc.relation.reference (參考文獻) | Constantinides, George M., 1993, Optimal Investment Strategies for University Endowment Funds: Comment. Studies of Supply and Demand in Higher Education, 236-242. | zh_TW |
| dc.relation.reference (參考文獻) | Cox, John C. and Chi-fu Huang, 1989, Optional Consumption and Portfolio Policies when Assets Prices Follow a Diffusion Process, Journal of Economic Theory 49, 33-83. | zh_TW |
| dc.relation.reference (參考文獻) | Cuoco, Domenico, 1997, Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income, Journal of Economic Theory 72, 33-73. | zh_TW |
| dc.relation.reference (參考文獻) | Das, S., and R. Uppal, 2001, “Systemic risk and international portfolio choice,” Manuscript, Harvard University. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, Darrell and Larry Epstein, 1992a, Stochastic Differential Utility, Econometrica, 60, 353-394. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, Darrell and Larry Epstein, 1992b, Asset Pricing with Stochastic Differential Utility, Review of Financial Studies, 5, 411-436. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, Darrell and Kenneth Singleton, 1997, An Econometric Model of the Term Structure of Interest Rate Swap Yields, Journal of Finance 52, 1287–1323. | zh_TW |
| dc.relation.reference (參考文獻) | Elton, E. J. and Gruber, 2000, The Rationality of Asset Allocation Recommendations, Journal of Financial and Quantitative Analysis 35, 27-42. | zh_TW |
| dc.relation.reference (參考文獻) | Engle, R. F., and K. Sheppard, 2001, “Theoretical and Empirical Properties of Dynamic Conditional Correlation MVGARCH”, UCSD Working Paper No. 2001-15. | zh_TW |
| dc.relation.reference (參考文獻) | Epstein, Larry G. and Stanley E. Zin, 1989, Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework, Econometrica, 57, 937-969. | zh_TW |
| dc.relation.reference (參考文獻) | Epstein, Larry G. and Stanley E. Zin, 1991, Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: An Empirical Investigation, Journal of Political Economy, 99, 263-286. | zh_TW |
| dc.relation.reference (參考文獻) | Ezra, D. Don, 1991, Asset Allocation by Surplus Optimization, Financial Analysts Journal 24, 51-57. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, Eugene F. and French Kenneth, 1988, Permanent and Temporary Components of Stock Prices, Journal of Political Economy 96, 246-273. | zh_TW |
| dc.relation.reference (參考文獻) | Fisher, Mark and Christian Gilles, 1999, Consumption and Asset Prices with Recursive Preferences, Working Paper, Board of Governors of the Federal Reserve System (Atlanta). | zh_TW |
| dc.relation.reference (參考文獻) | Flavin, Marjorie and Takashi Yamashita, 1999, Owner-Occupied Housing and the Composition of the Household Portfolio, unpublished paper, University of California San Diego. | zh_TW |
| dc.relation.reference (參考文獻) | Fleming, W. H. and T. Zariphopoulou, 1991, An Optimal Investment Consumption Model with Borrowing, Mathematics of Operations Research 16, 802–822. | zh_TW |
| dc.relation.reference (參考文獻) | Glosten, Lawrence R., Ravi Jagannathan and David E. Runkle, 1993, On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance 48, 1779-1801. | zh_TW |
| dc.relation.reference (參考文獻) | Grossman, Sanford and Z. Zhou, 1996, Equilibrium Analysis of Portfolio Insurance, Journal of Finance 51, 1379–1403. | zh_TW |
| dc.relation.reference (參考文獻) | Harvey, Campbell R., 1989, Time-Varying Conditional Covariances in Tests of Asset Pricing Models, Journal of Financial Economics 24, 289-317. | zh_TW |
| dc.relation.reference (參考文獻) | Harvey, Campbell R., 1991, The World Price of Covariance Risk, Journal of Finance 46,111-157. | zh_TW |
| dc.relation.reference (參考文獻) | Holmes, Mark H., 1995, Introduction to Perturbation Methods, New York : Springer-Verlag. | zh_TW |
| dc.relation.reference (參考文獻) | Jagannathan, R. and Zhenyu Wang, 1996, The Conditional CAPM and The Cross- Section of Expected Returns, Journal of Finance, 51, 3-53. | zh_TW |
| dc.relation.reference (參考文獻) | Judd, Kenneth L. and Sy-Ming Guu, 1997, Asymptotic Methods for Aggregate Growth Models, Journal of Economic Dynamics and Control 21, 1025-1042. | zh_TW |
| dc.relation.reference (參考文獻) | Judd, Kenneth L. and Sy-Ming Guu, 2000, The Economic effects of new assets: An asymptotic approach, Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Judd, Kenneth L., 1998, Numerical Methods in Economics, MIT Press, Cambridge, MA. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I., J. P. Lehoczky, and S. E. Shreve, 1987, Optimal Portfolio and Consumption Decisions for a Small Investor on a Finite Horizon, SIAM Journal of Control and Optimization 25, 1157–1186. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I., J. P. Lehoczky and Steven E. Shreve, 1990, Existence and Uniqueness of Multi-Agent Equilibrium in A Stochastic, Dynamic Consumption Investment Model, Mathematics of Operations Research, 15, 80–128. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I., J. P. Lehoczky, S. P. Sethi and S. E. Shreve, 1986, Explicit Solutions of a General Consumption Investment Problem, Mathematics of Operations Research 11, 261–294. | zh_TW |
| dc.relation.reference (參考文獻) | Kim, T. and E. Omberg, 1996, Dynamic Nonmyopic Portfolio Behavior, Review of Financial Studies 9, 141–161. | zh_TW |
| dc.relation.reference (參考文獻) | Leibowitz, Martin L. and Roy D. Henriksson, 1988, Portfolio Optimization within a Surplus Framework, Financial Analysts Journal 21, 43-51. | zh_TW |
| dc.relation.reference (參考文獻) | Liu, Jun, 2001, Portfolio Selection in Stochastic Environments, Working Paper, University of California, Los Angeles. | zh_TW |
| dc.relation.reference (參考文獻) | Mayers, D., 1972, Non-Marketable Assets and the Capital Market Equilibrium under Uncertainty, in Michael C. Jensen, Ed., Studies in the Theory of Capital Markets. Praeger, New York, 223-248. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, Robert C., 1969, Lifetime Portfolio Selection under Uncertainty: The Continuous Time Case, Review of Economics and Statistics 51, 247-257. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, Robert C., 1971, Optimum Consumption and Portfolio Rules in a Continuous Time Model, Journal of Economic Theory 3, 373-413. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, Robert C., 1973, An Intertemporal Capital Asset Pricing Model, Econometrica 41, 867-888. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, Robert C., 1990, Continuous Time Finance, Basil Blackwell, Cambridge, MA. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, Robert C., 1993, Optimal Investment Strategies for University Endowment Funds. In Studies of Supply and Demand in Higher Education, edited by C. Clotfelter and M. Rothschild, University of Chicago Press. | zh_TW |
| dc.relation.reference (參考文獻) | Moskowitz, T., 2002, “An Analysis of Covariance Risk and Pricing Anomalies,”Manuscript, Graduate School of Business, University of Chicago. | zh_TW |
| dc.relation.reference (參考文獻) | Olney, Martha, 1999, Avoiding Default: The Role of Credit in the Consumption Collapse of 1930, Quarterly Journal of Economics 114, 319–335. | zh_TW |
| dc.relation.reference (參考文獻) | Omberg, Edward, 2001, Non-Myopic Asset-Allocation with Stochastic Interest Rates, unpublished paper, San Diego State University. | zh_TW |
| dc.relation.reference (參考文獻) | Pliska, Stanley, 1986, A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios, Mathematics of Operations Research 11, 371–382. | zh_TW |
| dc.relation.reference (參考文獻) | Poterba, James M. and Lawrence H. Summers, 1988, Mean Reversion in Stock Prices, Journal of Financial Economics 22, 27-59. | zh_TW |
| dc.relation.reference (參考文獻) | Sharpe, William F. and Lawrence G. Tint, 1990, Liabilities - A New Approach, Journal of Portfolio Management 17, 5-10. | zh_TW |
| dc.relation.reference (參考文獻) | Shiller, Robert J., 1998, Macro Markets: Creating Institutions for Managing Society`s Largest Economic Risks, Oxford University Press, New York, NY. | zh_TW |
| dc.relation.reference (參考文獻) | Sorensen, Carsten, 1999, Dynamic Asset Allocation and Fixed Income Management, Journal of Financial and Quantitative Analysis 34, 513-531. | zh_TW |
| dc.relation.reference (參考文獻) | Sundaresan, Suresh M. and Fernando Zapatero, 1997, Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans, Review of Financial Studies 10, 631–660. | zh_TW |
| dc.relation.reference (參考文獻) | Vasicek, O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics 5, 177–188. | zh_TW |
| dc.relation.reference (參考文獻) | Viceira, Luis M., 2001, Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income, Journal of Finance, 56, 433-470. | zh_TW |
| dc.relation.reference (參考文獻) | Vila, J. L. and T. Zariphopoulou, 1997, Optimal Consumption and Portfolio Choice with Borrowing Constraints, Journal of Economic Theory 77, 402–431. | zh_TW |
| dc.relation.reference (參考文獻) | Wachter, Jessica, 2001, Risk aversion and allocation to long-term bonds, unpublished paper, New York University. | zh_TW |
| dc.relation.reference (參考文獻) | Wachter, Jessica, 2002, Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets, Journal of Financial and Quantitative Analysis, 37, 63-92. | zh_TW |
