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| Title | 跨期國際投資組合之模型建構 International Portfolio Management for Long Term Investors: Models and Illustrations |
| Creator | 宣葳 |
| Contributor | 張士傑 宣葳 |
| Key Words | 跨國投資組合 馬可夫隨機過程 資產管理 International Portfolio Management Markov Processes |
| Date | 2004 |
| Date Issued | 2009-09-18 |
| Summary | 在此篇論文中我們考慮連續時間架構下, 加入匯差風險與利率風險之跨國投資組合問題. 延續 Lioui, Poncet (2003) 的研究架構, 我們考慮 國內外債券股票與現金的投資組合, 以martingale方法求解避險操作與最佳投資策略. In this study, we investigate the hedge demands in international portfolio management under a general continuous time framework for constant relative risk averse investors where, in particular, exchange rate risk and the interest rate risk are incorporated. Within this international economy, the changes of real exchange rates, real interest rates and stock prices are assumed to follow the Markovian processes whose drifts and diffusion parameters are driven by certain state variables. Our approach is through the use of the martingale methodology developed by Cox and Huang (1989, 1991) as proposed in the work of Lioui and Poncet (2003). Following their framework, we consider the economy of the investors that consists of one foreign currency and the domestic one, together with their bond portfolios and stock indices. Adding to the previous works, we have compared the obtained optimal strategies with some prevailing ad hoc ones in order to clarify the hedge effects in financial decision from the long term perspective. |
| 參考文獻 | [1] Balassa, B. (1964) The purchasing power parity doctrine: a reappraisal. Journal of Political Economy, 72(6), 584-96. [2] Balduzzi, P. and Lynch, A. (1999) Transaction costs and predictability: some utility cost calculations. Journal of Financial Economics 52 (1), 47–78. [3] Barberis, N. (2000) Investing for the long run when returns are predictable. Journal of Finance 55 (1), 225-264. [4] Breeden, D. (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7 (3), 265–296. [5] Cassel, G. (1921) The world’s money problems. E.P. Dutton and Co., New York. [6] Cox, J., Huang, C. F. (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process, Journal of Economic Theory 49, 33-83. [7] Cox, J., Huang, C. F. (1991) A variational problem arising in financial economics. Journal of Mathematical Economics 20, 465-487. [8] Duffie, J.D. and Huang, C.F. (1985). Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities, Econometrica, 53 1337-1356 [9] Heath, D., Jarrow, R., Morton, A. (1992) Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica 60, 77–105. [10] Karatzas, I., Shreve, S. (1991) Brownian motion and stochastic calculus, second edition. Springer-Verlag, New York. [11] Lamberton, D., Lapeyre, B. (1991) Introduction au calcul stochastique appliqué à la finance. Ellipses, Paris. [12] Long, J.B. (1990) The numeraire portfolio. Journal of Financial Economics 26, 29–69. [13] Lioui, A., Poncet, P. (2001) On optimal portfolio choice under stochastic interest rates. Journal of Economic Dynamics and Control 25, 1841-1865. [14] Lioui, A., Poncet, P. (2003) International asset allocation: a new perspective. Journal of Banking and Finance 27, 2203-2230. [15] Merton, R. (1971) Optimum consumption and portfolio rules in a continuoustime model. Journal of Economic Theory 3, 373-413. [16] Merton, R. (1973) An intertemporal capital asset pricing model. Econometrica 41 (5), 867–887. [17] Øksendal, B. (2003) Stochastic differential equations : an introduction with applications, sixth edition. Springer-Verlag, New York. [18] Pakko, M., Pollard, S. (1996) For here or to go? Purchasing power parity and the big Mac. Review, Federal Reserve Bank of St. Louis. 1-21. [19] Pliska, S. (1986) A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research 11, 371–382. [20] Samuelson, P. (1964) Theoretical notes on trade problems. Review of Economics and Statistics, 46(2), 145-64. [21] Shreve, S. (1996) Stochastic calculus and finance. Class note. [22] Sorensen, C. (1999) Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis 34, 513-531. |
| Description | 碩士 國立政治大學 風險管理與保險研究所 91358027 93 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0091358027 |
| Type | thesis |
| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (Authors) | 宣葳 | zh_TW |
| dc.creator (作者) | 宣葳 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 2009-09-18 | - |
| dc.date.available | 2009-09-18 | - |
| dc.date.issued (上傳時間) | 2009-09-18 | - |
| dc.identifier (Other Identifiers) | G0091358027 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34121 | - |
| 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) | 91358027 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 在此篇論文中我們考慮連續時間架構下, 加入匯差風險與利率風險之跨國投資組合問題. 延續 Lioui, Poncet (2003) 的研究架構, 我們考慮 國內外債券股票與現金的投資組合, 以martingale方法求解避險操作與最佳投資策略. | zh_TW |
| dc.description.abstract (摘要) | In this study, we investigate the hedge demands in international portfolio management under a general continuous time framework for constant relative risk averse investors where, in particular, exchange rate risk and the interest rate risk are incorporated. Within this international economy, the changes of real exchange rates, real interest rates and stock prices are assumed to follow the Markovian processes whose drifts and diffusion parameters are driven by certain state variables. Our approach is through the use of the martingale methodology developed by Cox and Huang (1989, 1991) as proposed in the work of Lioui and Poncet (2003). Following their framework, we consider the economy of the investors that consists of one foreign currency and the domestic one, together with their bond portfolios and stock indices. Adding to the previous works, we have compared the obtained optimal strategies with some prevailing ad hoc ones in order to clarify the hedge effects in financial decision from the long term perspective. | en_US |
| dc.description.tableofcontents | Introduction 1 1 The Model 8 2 The Optimizing Program of the Investor 13 3 Explicit Solution of Constant Case 16 4 Discussions 21 5 Conclusion 25 References 27 Appendix A Proof of the Main Proposition 29 B Evaluation of a Certain Conditional Expectation 36 | 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/#G0091358027 | en_US |
| dc.subject (關鍵詞) | 跨國投資組合 | zh_TW |
| dc.subject (關鍵詞) | 馬可夫隨機過程 | zh_TW |
| dc.subject (關鍵詞) | 資產管理 | zh_TW |
| dc.subject (關鍵詞) | International Portfolio Management | en_US |
| dc.subject (關鍵詞) | Markov Processes | en_US |
| dc.title (題名) | 跨期國際投資組合之模型建構 | zh_TW |
| dc.title (題名) | International Portfolio Management for Long Term Investors: Models and Illustrations | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | [1] Balassa, B. (1964) The purchasing power parity doctrine: a reappraisal. Journal of Political Economy, 72(6), 584-96. | zh_TW |
| dc.relation.reference (參考文獻) | [2] Balduzzi, P. and Lynch, A. (1999) Transaction costs and predictability: some utility cost calculations. Journal of Financial Economics 52 (1), 47–78. | zh_TW |
| dc.relation.reference (參考文獻) | [3] Barberis, N. (2000) Investing for the long run when returns are predictable. Journal of Finance 55 (1), 225-264. | zh_TW |
| dc.relation.reference (參考文獻) | [4] Breeden, D. (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7 (3), 265–296. | zh_TW |
| dc.relation.reference (參考文獻) | [5] Cassel, G. (1921) The world’s money problems. E.P. Dutton and Co., New York. | zh_TW |
| dc.relation.reference (參考文獻) | [6] Cox, J., Huang, C. F. (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process, Journal of Economic Theory 49, 33-83. | zh_TW |
| dc.relation.reference (參考文獻) | [7] Cox, J., Huang, C. F. (1991) A variational problem arising in financial economics. Journal of Mathematical Economics 20, 465-487. | zh_TW |
| dc.relation.reference (參考文獻) | [8] Duffie, J.D. and Huang, C.F. (1985). Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities, Econometrica, 53 1337-1356 | zh_TW |
| dc.relation.reference (參考文獻) | [9] Heath, D., Jarrow, R., Morton, A. (1992) Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica 60, 77–105. | zh_TW |
| dc.relation.reference (參考文獻) | [10] Karatzas, I., Shreve, S. (1991) Brownian motion and stochastic calculus, second edition. Springer-Verlag, New York. | zh_TW |
| dc.relation.reference (參考文獻) | [11] Lamberton, D., Lapeyre, B. (1991) Introduction au calcul stochastique appliqué à la finance. Ellipses, Paris. | zh_TW |
| dc.relation.reference (參考文獻) | [12] Long, J.B. (1990) The numeraire portfolio. Journal of Financial Economics 26, 29–69. | zh_TW |
| dc.relation.reference (參考文獻) | [13] Lioui, A., Poncet, P. (2001) On optimal portfolio choice under stochastic interest rates. Journal of Economic Dynamics and Control 25, 1841-1865. | zh_TW |
| dc.relation.reference (參考文獻) | [14] Lioui, A., Poncet, P. (2003) International asset allocation: a new perspective. Journal of Banking and Finance 27, 2203-2230. | zh_TW |
| dc.relation.reference (參考文獻) | [15] Merton, R. (1971) Optimum consumption and portfolio rules in a continuoustime model. Journal of Economic Theory 3, 373-413. | zh_TW |
| dc.relation.reference (參考文獻) | [16] Merton, R. (1973) An intertemporal capital asset pricing model. Econometrica 41 (5), 867–887. | zh_TW |
| dc.relation.reference (參考文獻) | [17] Øksendal, B. (2003) Stochastic differential equations : an introduction with applications, sixth edition. Springer-Verlag, New York. | zh_TW |
| dc.relation.reference (參考文獻) | [18] Pakko, M., Pollard, S. (1996) For here or to go? Purchasing power parity and the big Mac. Review, Federal Reserve Bank of St. Louis. 1-21. | zh_TW |
| dc.relation.reference (參考文獻) | [19] Pliska, S. (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) | [20] Samuelson, P. (1964) Theoretical notes on trade problems. Review of Economics and Statistics, 46(2), 145-64. | zh_TW |
| dc.relation.reference (參考文獻) | [21] Shreve, S. (1996) Stochastic calculus and finance. Class note. | zh_TW |
| dc.relation.reference (參考文獻) | [22] Sorensen, C. (1999) Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis 34, 513-531. | zh_TW |