| dc.contributor.advisor | 李桐豪 | zh_TW |
| dc.contributor.advisor | Lee, Tung Hao | en_US |
| dc.contributor.author (作者) | 廖志峰 | zh_TW |
| dc.contributor.author (作者) | Liao, Chih Feng | en_US |
| dc.creator (作者) | 廖志峰 | zh_TW |
| dc.creator (作者) | Liao, Chih Feng | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 14-九月-2009 09:33:24 (UTC+8) | - |
| dc.date.available | 14-九月-2009 09:33:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-九月-2009 09:33:24 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0913525051 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31220 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 91352505 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor`s portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject. | zh_TW |
| dc.description.abstract (摘要) | The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor`s portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject. | en_US |
| dc.description.tableofcontents | 1 Introduction. . . . . . . . . . . . . . . . . . . . . 1 1.1 Motivation of this dissertation . . . . . . . . . . 1 1.2 Brief review of international portfolio allocation and home bias puzzle . . . . . . . . . . .. . . . . . . . . 2 1.3 Purposes of this dissertation . . . . . . . . . . . 4 1.4 Limitations of this dissertation . . . . . . . . . 5 1.5 Contents of this dissertation . . . . . . . . . . . 6 2 International Portfolio Allocation: The Importance of Foreign Consumption. . . . . . . . . . . . . . . . . . 9 2.1 Introduction . . . . . . . . . . . . . . . . . . . .9 2.2 Model assumptions . . . . . . . . . . . . . . . . . 12 2.3 Optimal international portfolio allocation . . . .. 16 2.4 Numerical illustration . . . . . . . . . .. . . . . . . . . . . . 20 2.4.1 Estimates for model parameters . . . . . . . . . 21 2.4.2 The impact of consumption on portfolio allocation in calibration. . . . . . . . . . . . . . . . . . . . . . 23 2.4.3 The effects of volatilities in interest rates and the exchange rate on portfolio allocations . . . . . . . . 26 2.5 Conclusion . . . . . . . . . . . . . . . . . . . . 30 3 Optimal Dynamic Portfolio Allocation under International Investment Restriction . . . . . . . . . . . . . . . . 31 3.1 Introduction . . . . . . . . . . . . . . . . . . . 31 3.2 International financial market framework and assumptions . . . . . . . . . . . . . . . . . . . . . . 34 3.3 Optimal portfolio allocation in unconstrained situation . . . . . . . . . . . . . . . . . . . . . . . 38 3.3.1 The investor`s problem . . . . . . . . . . . . . 38 3.3.2 Solution . . . . . . . . . . . . . . . . . . . . 39 3.3.3 Discussion . . . . . . . . . . . . . . . . . . . 40 3.4 Optimal portfolio allocation in constrained situation . . . . . . . . . . . . . . . . . . . . . . . 41 3.4.1 The solution method in incomplete markets . . . . 42 3.4.2 The investor’s problem in the constrained situation . . . . . . . . . . . . . . . . . . . . . . . 45 3.4.3 The solution in the constrained situation . . . . 45 3.5 Conclusion . . . . . . . . . . . . . . . . . . . . 47 4 International PortfolioAllocation under Mild Segmentation and Stochastic Interest rates . . . . . . . . . . . . . 49 4.1 Introduction . . . . . . . . . . . . . . . . . . . 49 4.2 Model settings . . . . . . . . . . . . . . . . . . 51 4.3 Optimal international portfolio allocation problem 54 4.4 Numerical illustration . . . . . . . . . . . . . . 60 4.5 Conclusion . . . . . . . . . . . . . . . . . . . . 67 5 Concluding Remarks and Future Researches . . . . . . 68 Bibliography . . . . . . . . . . . . . . . . . . . . . 71 Appendix . . . . . . . . . . . . . . . . . . . . . . . 77 A. Appendix to Chpater 2 . . . . . . . . . . . . . . . 77 A.1 Transformation of Brownian motion . . . . . . . . . 77 A.2 Proof of Proposition 2.1 . . . . . . . . . . . . . 77 B. Appendix to Chpater 3 . . . . . . . . . . . . . . . 80 B.1 Domestic and foreign zero coupon bond price . . . . 81 B.2 Proof of Proposition 3.1 . . . . . . . . . . . . . 82 B.3 Proof of Proposition 3.2 . . . . . . . . . . . . . 84 C. Appendix to Chpater 4 . . . . . . . . . . . . . . . 85 C.1 Proof of Proposition 4.1 . . . . . . . . . . . . . 86 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913525051 | en_US |
| dc.subject (關鍵詞) | 國際資產配置 | zh_TW |
| dc.subject (關鍵詞) | 市場區隔 | zh_TW |
| dc.subject (關鍵詞) | 平賭過程 | zh_TW |
| dc.subject (關鍵詞) | 投資限制 | zh_TW |
| dc.subject (關鍵詞) | 資產投資障礙 | zh_TW |
| dc.subject (關鍵詞) | Dynamic international portfolio allocation | en_US |
| dc.subject (關鍵詞) | Mild segmentation | en_US |
| dc.subject (關鍵詞) | Martingale | en_US |
| dc.subject (關鍵詞) | Investment restrictions | en_US |
| dc.subject (關鍵詞) | Portfolio constraints | en_US |
| dc.title (題名) | 國際投資組合研究 | zh_TW |
| dc.title (題名) | Essays on International Portfolio Allocation | en_US |
| dc.type (資料類型) | thesis | en |
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