| 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 averseinvestors 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 11 The Model 82 The Optimizing Program of the Investor 133 Explicit Solution of Constant Case 164 Discussions 215 Conclusion 25References 27AppendixA Proof of the Main Proposition 29B 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 |
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