| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (作者) | 林銘寬 | zh_TW |
| dc.creator (作者) | 林銘寬 | zh_TW |
| dc.date (日期) | 2005 | 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 (其他 識別碼) | G0093358025 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34129 | - |
| 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) | 93358025 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本文討論長期投資人，考量國外資產之最適動態投資策略。延續Lioui & Pocent(2003)對於跨國最適投資組合問題，本文假設預期匯率為兩國利率差異與非隨機變動之時間函數之和，針對CRRA效用投資人，探討極大化期末預期效用之最適投資策略。假設兩國利率與通貨膨脹率對匯率存在線性關係下，利用學習效果來預測匯率變化；透過動態學習過程，獲得匯率之市場風險價值為非隨機變動之結果。 第一：最適策略可分為三個部分，分別是單期市場基金、規避利率風險與通貨膨脹率風險之債券避險基金與兩國貨幣帳戶基金，其中規避本國實質利率風險與通貨膨脹率風險之債券與投資期限長短有關。 第二：考量學習效果下，規避匯率風險之部位納入市場投資組合，透過動態投資組合以規避匯率風險，仔細說明Lioui & Pocent(2003)對於最適投資策略中匯率風險之避險部位。 第三：數值顯示在風險市場價值為常數時，投資人最適組合為握有固定比例之兩國股票部位，一組持有比例變動的本國債券組合與兩國貨幣市場的部位。 | zh_TW |
| dc.description.tableofcontents | 目錄第一章 前言 2第二章 模型 72.1 市場結構 72.2 匯率的學習效果 82.3 投資機會集合 13第三章 隨機折現因子 與 債券過程 163.1 隨機折現因子 163.2 名目債券動態過程 183.3 風險之市場價值 19第四章 最適投資組合問題 214.1 CRRA投資人之最適投資策略 224.2 討論 25第五章 數值說明 27第六章 結論 33參考文獻： 35附錄 1. 匯率的學習效果 36附錄 2. 隨機折現因子 39附錄 3. 零息債券之價格 與 零息債券之動態過程 40附錄 4. 最適投資策略 44表目錄表1：數值說明中對於模型參數值的設定……………………………27表2：數值說明中對於模型中相關係數之參數值設定………………31圖目錄圖 1：於表1中參數設定值下，最適策略………………………………29圖 2：本國通貨膨脹之均數迴歸速率大於本國實質利率之均數迴歸速率 時，最適投資策略………………………………30圖 3：風險趨避係數為0.05之投資人，最適投資策略………………31圖 4：當風險間相關係數均為正時，最適投資略………………32 | 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/#G0093358025 | en_US |
| dc.subject (關鍵詞) | 跨國投資 | zh_TW |
| dc.subject (關鍵詞) | 匯率 | zh_TW |
| dc.subject (關鍵詞) | 通貨膨脹 | zh_TW |
| dc.subject (關鍵詞) | 貝式過濾法 | zh_TW |
| dc.subject (關鍵詞) | 平賭方法 | zh_TW |
| dc.title (題名) | 考量匯率風險下跨期投資之最適策略 | zh_TW |
| dc.type (資料類型) | thesis | en |
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