| dc.contributor.advisor | 顏錫銘 | zh_TW |
| dc.contributor.author (作者) | 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 | 14-九月-2009 09:06:57 (UTC+8) | - |
| dc.date.available | 14-九月-2009 09:06:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-九月-2009 09:06:57 (UTC+8) | - |
| dc.identifier (其他 識別碼) | 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 |
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