| dc.contributor.advisor | 盧敬植 | zh_TW |
| dc.contributor.advisor | Lu, Ching Chih | en_US |
| dc.contributor.author (作者) | 林文凱 | zh_TW |
| dc.contributor.author (作者) | Lin, Wen Kai | en_US |
| dc.creator (作者) | 林文凱 | zh_TW |
| dc.creator (作者) | Lin, Wen Kai | en_US |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-十二月-2010 15:38:05 (UTC+8) | - |
| dc.date.available | 8-十二月-2010 15:38:05 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-十二月-2010 15:38:05 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0094357029 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49640 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 94357029 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | In this thesis, we discuss the possible diversification benefits offered by commodity futures, especially in the extreme equity market conditions. We see that adding commodity investments into portfolios could improve their performance with better diversification efficiency. However, with correlation estimation by methods developed by Longin and Solnik(2001) and Ang and Chen(2002), we see correlations between equity and commodity investments increase while they are on downside moves . The results suggest that the diversification benefits offered by commodity investment may change in different market conditions. For further examination, we divide our sample in groups ranked by the home market (U.S. equity investments) returns to see if the commodity-equity portfolio could still perform better over all-equity portfolio in different times. The statistical test shows that the commodity-equity portfolios still perform better than all-equity portfolios. We conclude that commodity investments could make portfolios better-diversified, no matter how the market conditions are. | en_US |
| dc.description.tableofcontents | 1. Introduction 11.1 Motivation 11.2 Objectives of the Study 21.3 Thesis Outline 32. Literature Review 53. Data and Methodology 93.1. Data: 93.1.1 Morgan Stanley Capital International Equity Indices 113.1.2 Standard Poor’s Goldman Sachs Commodity Indices (GSCI) 133.2 Methodology: 173.2.1 Longin and Solnik’s Exceedance Correlation Estimation 173.2.2 Ang and Chan’s Correlation Estimation 203.2.3 Portfolio Allocation and Portfolio Performance Measurement 214. Empirical Results 244.1 Asset allocation with and without commodity 244.2 Correlation on extreme returns 274.3 Portfolio performance under different market conditions 305. Conclusion 33Reference 35 | zh_TW |
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| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094357029 | en_US |
| dc.subject (關鍵詞) | 原物料投資 | zh_TW |
| dc.subject (關鍵詞) | 投資組合 | zh_TW |
| dc.subject (關鍵詞) | 極端市場 | zh_TW |
| dc.subject (關鍵詞) | Commodity Investment | en_US |
| dc.subject (關鍵詞) | Portfolio Allocation | en_US |
| dc.title (題名) | 極端市場狀況下原物料商品加入投資組合的表現 | zh_TW |
| dc.title (題名) | Portfolio performance with commodity investments: an extreme market case | en_US |
| dc.type (資料類型) | thesis | en |
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