| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao,Szu Lang | en_US |
| dc.contributor.author (Authors) | 陳正暉 | zh_TW |
| dc.contributor.author (Authors) | Chen,Zheng Hui | en_US |
| dc.creator (作者) | 陳正暉 | zh_TW |
| dc.creator (作者) | Chen,Zheng Hui | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:08:12 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:08:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:08:12 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093352510 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49661 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 93352510 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本研究顯著地發展時間轉換Lévy過程在最適投資組合的運用性。在連續Lévy過程模型設定下，槓桿效果直接地產生跨期波動度不對稱避險需求，而波動度回饋效果則透過槓桿效果間接地發生影響。另外，關於無窮跳躍Lévy過程模型設定部分，槓桿效果仍扮演重要的影響角色，而波動度回饋效果僅在短期投資決策中發生作用。最後，在本研究所提出之一般化隨機波動度不對稱資產報酬動態模型下，得出在無窮跳躍的資產動態模型設定下，擴散項仍為重要的決定項。 | zh_TW |
| dc.description.abstract (摘要) | This study significantly extends the applicability of time-changed Lévy processes to the portfolio optimization. The leverage effect directly induces the intertemporal asymmetric volatility hedging demand, while the volatility feedback effect exerts a minor influence via the leverage effect under the pure-continuous time-changed Lévy process. Furthermore, the leverage effect still plays a major role while the volatility feedback effect just works over the short-term investment horizon under the infinite-jump Lévy process. Based on the proposed general stochastic asymmetric volatility asset return model, we conclude that the diffusion term is an essential determinant of financial modeling for index dynamics given infinite-activity jump structure. | en_US |
| dc.description.tableofcontents | 1. Introduction 12. Time-Changed Lévy Processes with Asymmetric Volatility 82.1 Fundamental Properties of Lévy Process 82.2 Stochastic Time Changes for Lévy Processes 102.3 Time-Changed Asset Price Processes with Asymmetric Volatility 122.3.1 Pure-Continuous Asset Dynamic Process 142.3.2 Infinite-jump Asset Dynamic Process 163. Dynamic Asset Allocation 233.1 Investment Opportunity Set and Investor Preference 233.2 Pure-Continuous Asset Dynamic Process 253.2.1 Numerical Examples 283.3 Infinite-Jump Asset Dynamic Process 343.3.1 Reduced Time-Changed Lévy Process 393.3.2 Numerical Examples 424. Empirical Results 484.1 The General Stochastic Asymmetric Volatility Model 484.2 Data and Model Parameter Estimation 505. Concluding Remarks 60References 63Appendices 69 | zh_TW |
| dc.format.extent | 589263 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093352510 | en_US |
| dc.subject (關鍵詞) | 最適投資組合 | zh_TW |
| dc.subject (關鍵詞) | 隨機波動度 | zh_TW |
| dc.subject (關鍵詞) | 時間轉換Lévy過程 | zh_TW |
| dc.subject (關鍵詞) | 槓桿效果 | zh_TW |
| dc.subject (關鍵詞) | 波動度回饋效果 | zh_TW |
| dc.subject (關鍵詞) | 波動度不對稱 | zh_TW |
| dc.subject (關鍵詞) | Optimal portfolio choice | en_US |
| dc.subject (關鍵詞) | stochastic volatility | en_US |
| dc.subject (關鍵詞) | time-changed Lévy processes | en_US |
| dc.subject (關鍵詞) | leverage effect | en_US |
| dc.subject (關鍵詞) | volatility feedback effect | en_US |
| dc.subject (關鍵詞) | asymmetric volatility | en_US |
| dc.title (題名) | 資產報酬率波動度不對稱性與動態資產配置 | zh_TW |
| dc.title (題名) | Asymmetric Volatility in Asset Returns and Dynamic Asset Allocation | en_US |
| dc.type (資料類型) | thesis | en |
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