| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao,Szu Lang | en_US |
| dc.contributor.author (作者) | 陳正暉 | zh_TW |
| dc.contributor.author (作者) | 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 | 8-十二月-2010 16:08:12 (UTC+8) | - |
| dc.date.available | 8-十二月-2010 16:08:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-十二月-2010 16:08:12 (UTC+8) | - |
| dc.identifier (其他 識別碼) | 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 |
| dc.relation.reference (參考文獻) | Ané, T., and H. Geman, 2000, "Order Flow, Transaction Clock, and Normality of Asset Re-turns." Journal of Finance 55, 2259-2284. | zh_TW |
| dc.relation.reference (參考文獻) | Applebaum, D, 2004, Lévy processes and stochastic calculus (Cambridge Univ Press). | zh_TW |
| dc.relation.reference (參考文獻) | Barndorff-Nielsen, O, 1998, "Processes of Normal Inverse Gaussian type." Finance and Sto-chastics 2, 41-68. | zh_TW |
| dc.relation.reference (參考文獻) | Barndorff-Nielsen, O., and N. Shephard, 2001, "Non-Gaussian Ornstein-Uhlenbeck-based mod-els and some of their uses in financial economics." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 63, 167-241. | zh_TW |
| dc.relation.reference (參考文獻) | Bekaert, G., and G. Wu, 2000 "Asymmetric volatility and risk in equity markets." Review of Financial Studies 13, 1-42. | zh_TW |
| dc.relation.reference (參考文獻) | Benth, F., K. Karlsen and K. Reikvam, 2001, "A Note on Portfolio Management under Non-Gaussian Logreturns." International Journal of Theoretical and Applied Finance 4, 711-732. | zh_TW |
| dc.relation.reference (參考文獻) | —, 2003, "Merton’s Portfolio Optimization Problem in a Black and Scholes Market with Non-Gaussian Stochastic Volatility." Mathematical Finance 13, 215-244. | zh_TW |
| dc.relation.reference (參考文獻) | Bertoin, J, 1996, Lévy processes (Cambridge Univ Press). | zh_TW |
| dc.relation.reference (參考文獻) | Black, F., 1976, "Studies of stock price volatility changes." In Meeting of the American Statistical Association, Business and Economical Statistics Section. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, J. Y. and L. Hentschel, 1992, ‘’No News is Good News. An Asymmetric Model of Changing Volatility in Stock Return.’’ Journal of Financial Economics 31, 281-318. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, J., A. Lo, and A. MacKinlay, 1997, The Econometrics of Financial Markets (Prince-ton University Press). | zh_TW |
| dc.relation.reference (參考文獻) | Carr, P., H. Geman, D. Madan, and M. Yor, 2002, "The Fine Structure of Asset Returns: An Empirical Investigation." Journal of Business 75, 305-332. | zh_TW |
| dc.relation.reference (參考文獻) | —, 2003, "Stochastic Volatility for Lévy Processes." Mathematical Finance 13, 345-382. | zh_TW |
| dc.relation.reference (參考文獻) | Carr, P., and L. Wu, 2004, "Time-changed Lévy Processes and Option Pricing." Journal of Fi-nancial Economics 71, 113-141. | zh_TW |
| dc.relation.reference (參考文獻) | —, 2007, "Stochastic Skew in Currency Options." Journal of Financial Economics 86, 213-247. | zh_TW |
| dc.relation.reference (參考文獻) | —, 2008 "Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions: Disen-tangling the Multi-Dimensional s in S&P 500 Index Options." Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Cartea, Á., and S. Howison, 2003, Distinguished limits of Lévy-Stable processes, and applica-tions to option pricing: Mathematical Institute, University of Oxford,. | zh_TW |
| dc.relation.reference (參考文獻) | Chacko, G., and L. Viceira, 2005, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets." Review of Financial Studies 18, 1369-1402. | zh_TW |
| dc.relation.reference (參考文獻) | —, 2003, "Spectral GMM estimation of continuous-time processes." Journal of Econometrics 116, 259-292. | zh_TW |
| dc.relation.reference (參考文獻) | Chernov, M., A. Ronald Gallant, E. Ghysels and G. Tauchen, 2003, "Alternative models for stock price dynamics." Journal of Econometrics 116, 225-257. | zh_TW |
| dc.relation.reference (參考文獻) | Christie, A, 1982, "The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects." Journal of Financial Economics 10, 407-432. | zh_TW |
| dc.relation.reference (參考文獻) | Chung, C. F., B. S. Kuo and C. Y. Yeh, 2008, "How does the Volatility Feedback Effect Affect Asymmetric Volatility and Dynamic Asset Allocation." Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Chunhachinda, P., K. Dandapani, S. Hamid and A. Prakash, 1997, "Portfolio Selection and Skewness: Evidence from International Stock Markets." Journal of Banking & Finance 21, 143-168. | zh_TW |
| dc.relation.reference (參考文獻) | Clark, P, 1973, "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica 41, 135-155. | zh_TW |
| dc.relation.reference (參考文獻) | Cont, R, 2001, "Empirical properties of asset returns: stylized facts and statistical issues." Quan-titative Finance 1, 223-236. | zh_TW |
| dc.relation.reference (參考文獻) | Cont, R., and P. Tankov, 2004, Financial Modelling with Jump Processes (CRC Press). | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J., J. Ingersoll Jr, and S. Ross, 1985, "A Theory of the Term Structure of Interest Rates." Econometrica 53, 385-407. | zh_TW |
| dc.relation.reference (參考文獻) | Cvitanić, J., V. Polimenis and F. Zapatero, 2008, "Optimal Portfolio Allocation with Higher Moments." Annals of Finance 4, 1-28. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, D., J. Pan and K. Singleton, 2000, "Transform Analysis and Asset Pricing for Affine Jump-diffusions." Econometrica 68, 1343-1376. | zh_TW |
| dc.relation.reference (參考文獻) | Eberlein, E., and U. Keller, 1995, "Hyperbolic Distributions in Finance." Bernoulli 281-299. | zh_TW |
| dc.relation.reference (參考文獻) | Engle, R, 1982, "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica 50, 987-1007. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, E. F, 1965, "The Behavior of Stock-market Prices." Journal of Business 38, 34-105. | zh_TW |
| dc.relation.reference (參考文獻) | Geman, H, 2002, "Pure Jump Lévy Processes for Asset Price Modelling." Journal of Banking & Finance 26, 1297-1316. | zh_TW |
| dc.relation.reference (參考文獻) | —, 2005, "From Measure Changes to Time Changes in Asset Pricing." Journal of Banking &Finance 29, 2701-2722. | zh_TW |
| dc.relation.reference (參考文獻) | Geman, H. and T. Ané, 1996, "Stochastic Subordination." Risk 9, 145-149. | zh_TW |
| dc.relation.reference (參考文獻) | Geman, H., D. Madan and M. Yor, 2001, "Time Changes for Lévy Processes." Mathematical Finance 11, 79-96. | zh_TW |
| dc.relation.reference (參考文獻) | Gron, A., B. Jørgensen and N. Polson, 2004, "Optimal Portfolio Choice and Stochastic Volatili-ty." Working Paper. | zh_TW |
| dc.relation.reference (參考文獻) | Huang, J. and L. Wu, 2004, "Specification analysis of option pricing models based on time-changed Lévy processes." Journal of Finance 59, 1405-1439. | zh_TW |
| dc.relation.reference (參考文獻) | Jacob, J. and A. Shiryaev, 2003, Limit Theorems for Stochastic Processes, 2nd (Berlin: Sprin-ger-Verlag). | zh_TW |
| dc.relation.reference (參考文獻) | Jondeau, E., S. Poon and M. Rockinger, 2007, Financial Modeling under Non-Gaussian Distri-butions (Springer Verlag). | zh_TW |
| dc.relation.reference (參考文獻) | Kallsen, J, 2000, "Optimal Portfolios for Exponential Lévy Processes." Mathematical Methods of Operations Research 51, 357-374. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I. and S. Shreve, 1991, Brownian motion and stochastic calculus (Springer). | zh_TW |
| dc.relation.reference (參考文獻) | Kraus, A. and R. Litzenberger, 1976, "Skewness Preference and the Valuation of Risk Assets." Journal of Finance 1085-1100. | zh_TW |
| dc.relation.reference (參考文獻) | Liu, J, 2007, "Portfolio Selection in Stochastic Environments." Review of Financial Studies 20, 1-39. | zh_TW |
| dc.relation.reference (參考文獻) | Liu, J., F. Longstaff and J. Pan, 2003, "Dynamic Asset Allocation with Event Risk." Journal of Finance 231-259. | zh_TW |
| dc.relation.reference (參考文獻) | Ma, J., and J. Yong, 1999, Forward-backward Stochastic Differential Equations and Their Ap-plications: Differential Equations and Their Applications (Springer Verlag). | zh_TW |
| dc.relation.reference (參考文獻) | Madan, D., P. Carr and E. Chang, 1998, "The variance gamma process and option pricing." Eu-ropean Finance Review 2, 79-105. | zh_TW |
| dc.relation.reference (參考文獻) | Madan, D., and E. Seneta, 1990, "The Variance Gamma (VG) Model for Share Market Returns." Journal of Business 63, 511-524. | zh_TW |
| dc.relation.reference (參考文獻) | Madan, D. and M. Yor, 2008, "Representing CGMY and Meixner Lévy Processes as Time Change Brownian Motions." Journal of Computational Finance 12, 27-47. | zh_TW |
| dc.relation.reference (參考文獻) | Mandelbrot, B, 1963, "The of Certain Speculative Prices." Journal of Business 36, 394-419. | zh_TW |
| dc.relation.reference (參考文獻) | Mendoza, R., P. Carr and V. Linetsky, 2008, "Time Changed Markov Processes in Unified Cre-dit-Equity Modeling." Mathematical Finance, forthcoming. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R, 1971, "Optimum Consumption and Portfolio Rules in a Continuous-time Model." Journal of Economic Theory 3, 373–413. | zh_TW |
| dc.relation.reference (參考文獻) | Mo, H. and L. Wu, 2007, "International Capital Asset Pricing: Theory and Evidence from Index Options." Journal of Empirical Finance 14, 465-498. | zh_TW |
| dc.relation.reference (參考文獻) | Monroe, I, 1978, "Processes that Can Be Embedded in Brownian Motion." Annals of Probability 6, 42-56. | zh_TW |
| dc.relation.reference (參考文獻) | Nelson, D, 1991, "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econo-metrica 59, 347-370. | zh_TW |
| dc.relation.reference (參考文獻) | Nunno, G., T. Meyer-Brandis, B. Øksendal and F. Proske, 2006, "Optimal Portfolio for an In-sider in a Market Driven by Lévy processes." Quantitative Finance 6, 83-94. | zh_TW |
| dc.relation.reference (參考文獻) | Øksendal, B. and A. Sulem, 2005, Applied Stochastic Control of Jump Diffusions (Sprin-ger-Verlag Berlin Heidelberg). | zh_TW |
| dc.relation.reference (參考文獻) | Rydberg, T, 1999, "Generalized Hyperbolic Diffusion Processes with Applications in Finance." Mathematical Finance 9, 183-201. | zh_TW |
| dc.relation.reference (參考文獻) | Sato, K, 1999, Lévy processes and infinitely divisible distributions (Cambridge Univ Press). | zh_TW |
| dc.relation.reference (參考文獻) | Wachter, J, 2002, "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets." Journal of Financial and Quantitative Analysis 37, 63-91. | zh_TW |
| dc.relation.reference (參考文獻) | Wu, G, 2001, "The Determinants of Asymmetric Volatility." Review of Financial Studies 14, 837-859. | zh_TW |
| dc.relation.reference (參考文獻) | Wu, L, 2003, "Jumps and Dynamic Asset Allocation." Review of Quantitative Finance and Ac-counting 20, 207-243. | zh_TW |
| dc.relation.reference (參考文獻) | —, 2006 "Dampened Power Law: Reconciling the Tail Behavior of Financial Asset Returns." Journal of Business 79, 1445-1474. | zh_TW |
| dc.relation.reference (參考文獻) | —, 2008, "Modeling financial security returns using Lévy processes." In Handbook of Financial Engineering, J. Birge and V. Linetsky, eds. Elsevie | zh_TW |
