| dc.contributor.advisor | 廖四郎<br>江彌修 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (Authors) | 陳志成 | zh_TW |
| dc.creator (作者) | 陳志成 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 17-Sep-2009 18:59:28 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 18:59:28 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 18:59:28 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090352006 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33975 | - |
| dc.description (描述) | 碩士 | 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) | 90352006 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | This paper provides an analytical framework for dynamic portfolio strategies that are mean-variance efficient and subjected to a principal-guaranteed rate. Specifying a numeraire known as growth-optimal portfolio, we apply martingale method instead of dynamic programming approach to solve the optimal problem. Under the general assumptions of the price dynamics being a semi-martingale with finite expectation and variance, the efficient strategies are identified as a combination of put options on minimum norm portfolio and zero coupon bonds with the maturity of investment horizon. In the case of a single factor interest rate model, we derive the closed-form formula for optimal weights on securities. We conduct numerical simulations to illustrate the performance of the optimal strategies in the case of an economy comprising a stock index fund, a bond index fund and a money market account. In addition, for different investors with various interests like principal guaranted rate and investment horizon, we also show how investors ought to allocate their funds. | zh_TW |
| dc.description.abstract (摘要) | This paper provides an analytical framework for dynamic portfolio strategies that are mean-variance efficient and subjected to a principal-guaranteed rate. Specifying a numeraire known as growth-optimal portfolio, we apply martingale method instead of dynamic programming approach to solve the optimal problem. Under the general assumptions of the price dynamics being a semi-martingale with finite expectation and variance, the efficient strategies are identified as a combination of put options on minimum norm portfolio and zero coupon bonds with the maturity of investment horizon. In the case of a single factor interest rate model, we derive the closed-form formula for optimal weights on securities. We conduct numerical simulations to illustrate the performance of the optimal strategies in the case of an economy comprising a stock index fund, a bond index fund and a money market account. In addition, for different investors with various interests like principal guaranted rate and investment horizon, we also show how investors ought to allocate their funds. | en_US |
| dc.description.tableofcontents | I. Introduction…………………………………………………1II.The Continuous-Time Portfolio Problem…………………3A. The Problems and Approaches……………………………3B. Technical Background：Numeraire Portfolio and Minimum Norm Portfolio…………….……….3B.1 The Numeraire Portfolio…………………………………4B.2 Dynamic Mean-Variance Efficient Asset Allocation Without Constraint………………………………………6B.3 The Minimum Norm Portfolio…………………………...9III. Dynamic Mean-Variance Efficient Asset Allocation under Principal-Guaranteed Constraint…………..12IV. Simulation Examples…………………………………….17 Simulation Results……………………………………...20V. Conclusion…………………………………………………25Appendix A…………………………………………………...26Appendix B…………………………………………………...27Appendix C…………………………………………………...28References…………………………………………………….30 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090352006 | en_US |
| dc.subject (關鍵詞) | 動態配置 | zh_TW |
| dc.subject (關鍵詞) | 下方風險有限 | zh_TW |
| dc.title (題名) | Dynamic Asset Allocation under Controlled Downside Risk | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | Bajeux-Besnainou I. and R. Portait, 1997, The Numeraire Portfolio: a new Methodology for Financial Theory, The European Journal of Finance 3, 291-309. | zh_TW |
| dc.relation.reference (參考文獻) | Bajeux-Besnainou I. and R. Portait, 1998, Dynamic Asset Allocation in a Mean-Variance Framework, Management Science 44, S79-S95. | zh_TW |
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| dc.relation.reference (參考文獻) | 民91,台灣大學財務金融研究所 | zh_TW |
