| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.advisor | Chang, Shi-Cheil | en_US |
| dc.contributor.author (Authors) | 陳姵吟 | zh_TW |
| dc.contributor.author (Authors) | Chen,Pei-Yin | en_US |
| dc.creator (作者) | 陳姵吟 | zh_TW |
| dc.creator (作者) | Chen,Pei-Yin | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:24:01 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:24:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:24:01 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091358019 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36732 | - |
| 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) | 91358019 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 本研究中，考慮連續時間下，附最低保證之長期最適投資策略；在利率模型中，為較能符合現實狀況，我們採用CIR模型；另外，在此策略中，我們將投資人之風險偏好加入模型中研究，最適化投資人到期時財富之效用函數，並用Cox & Huang之市場中立評價方法來解決數學模型問題。此篇研究顯示，最適之投資策略可以等價於某些共同基金之投資組合，這些共同基金能利用金融市場上之主要資產(market primary assets)來複製。 | zh_TW |
| dc.description.abstract (摘要) | In this study, we consider a portfolio selection problem for long-term investors. Dynamic investmentstrategy with the continuous-time framework incorporating the minimum guarantees areconstructed. Maximizing expected utility of the terminal wealth is employed by investors to tradeoff profits in good future state against losses incurred in worse states. Follow the previous worksof Deelstra et al. (2003), we concentrate on the simplest case of a one-factor Cox-Ingersoll-Ross(CIR) model in formulating the stochastic variation from the interest rate risks. Under the marketcompleteness assumption, the fund growth is modelled under the market neutral valuation andthe optimal rules are mapped into the static variational problem of Cox and Huang (1989). Inthis study, we show that the optimal portfolio is equivalent to a certain mutual fund that can bereplicated by the market primary assets | en_US |
| dc.description.tableofcontents | Chapter 1 Introduction 1Chapter 2 The Model 4 2.1 The Financial Market 4 2.2 The Optimization Program 10Chapter 3 Transformation of The Initial Problem 13Chapter 4 Explicit Solution in Iso-elastic Utility 14Chapter 5 Solution of The Initial Problem 20Chapter 6 Numerical Illustrations 256.1 The Investment Time Horizon 436.2 Minimum Interest Rate Guarantee 446.3 Risk Aversion Parameter 44Chapter 7 Conclusion 45References 45Appendix A 47 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0091358019 | en_US |
| dc.subject (關鍵詞) | minimum guarantee | 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) | Optimal Asset Allocation with Minimum Guarantees | zh_TW |
| dc.title (題名) | 附最低保證下之最適資產配置 | zh_TW |
| dc.type (資料類型) | thesis | en |
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