| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.advisor | Chang, Shih-Chieh | en_US |
| dc.contributor.author (Authors) | 楊尚穎 | zh_TW |
| dc.contributor.author (Authors) | YangS, hang-Yin | en_US |
| dc.creator (作者) | 楊尚穎 | zh_TW |
| dc.creator (作者) | YangS, hang-Yin | en_US |
| 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) | G0923580081 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34163 | - |
| 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) | 92358008 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 本研究探討於連續時間下，跨國投資者於匯率可預測下之最適投資決策問題。我們假設隨著時間改變，利用可預測之資訊動態修正投資決策。首先我們假設匯率可經由利率過程預測，探討相對風險趨避(CRRA)之投資經理人於跨國投資時之避險需求。研究方法是結合Cox與Huang (1989)之平賭方法與Lioui與Poncet (2003)於跨國投資所建構之財務模型。本研究歸納學習效果會影響匯率期望報酬，利用利率資訊會修正匯率過程之風險市場價值。最適投資決策因此受到調整因子之影響。因此投資人必須依照過濾進來的財務訊息(利率對匯率的改變)動態的調控持有之投資部位。最後，理論結果顯示投資部位必須針對可預測性下匯率避險效果作調整。 | zh_TW |
| dc.description.abstract (摘要) | In this study, we explore the effects of uncertainty about the exchange rate predictability on international portfolio choice in a continuous time setting. Uncertainty regarding to the predictive relation affects the optimal portfolio choice through dynamic learning, and leads to a state-dependent relation between the optimal portfolio choice and the investment time horizon. First we investigate the hedge demands in international portfolio management for constant relative risk averse investors where the exchange rate can be predicted by the change of interest rate. Then our approach is implemented through the use of the martingale methodology developed by Cox and Huang (1989) as proposed in the work of Lioui and Poncet (2003). Since the learning processes influence the premium of exchange rate movements, the crucial changes lie in the difference of market price of risk of the interest rate movements to the updated exchange rates. The constructed optimal investment strategy is influenced by the adjusted factors. Hence the investors should dynamically rebalance their holding portfolio according to the filtering mechanism. Finally, the theoretical results show that the adjustment for the optimal weights are required to reflect the prediction effects in hedging the exchange rate risks. | en_US |
| dc.description.tableofcontents | 中文摘要英文摘要1. Introduction 12. The Market Framework and the Model 73. Learning Process 134. The Martingale Method 165. The Optimization Program 196. Constant Parameter Models 237. Conclusion 378. Appendix 40Reference | 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/#G0923580081 | en_US |
| dc.subject (關鍵詞) | 學習效果 | zh_TW |
| dc.subject (關鍵詞) | 隨機變分 | zh_TW |
| dc.subject (關鍵詞) | 利率風險 | zh_TW |
| dc.subject (關鍵詞) | 市場中立測度 | zh_TW |
| dc.subject (關鍵詞) | 共同基金 | zh_TW |
| dc.subject (關鍵詞) | learning effects | en_US |
| dc.subject (關鍵詞) | stochastic variation | en_US |
| dc.subject (關鍵詞) | interest rate risk | en_US |
| dc.subject (關鍵詞) | market neutral valuation | en_US |
| dc.subject (關鍵詞) | mutual fund | en_US |
| dc.title (題名) | Learning Effects in International Portfolio Selection Incorporating Interest Rate and Exchange Rate Risks | zh_TW |
| dc.title (題名) | 考慮利率與匯率風險學習效果對跨國投資的影響 | zh_TW |
| dc.type (資料類型) | thesis | en |
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