| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (Authors) | 黃于玶 | zh_TW |
| dc.creator (作者) | 黃于玶 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:34:49 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:34:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:34:49 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096358020 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49680 | - |
| 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) | 96358020 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本文研究保險人於匯率風險下之最適跨期投資組合。隨著資本市場全球化發展，從事國外投資受到匯率風險之影響加劇。本研究提出動態投資組合模型，針對壽險業之利變型商品，分析保險人於匯率風險之下之最適跨期投資組合。考慮資產集合包含本國現金、本國指數型股票基金、外國現金和外國指數型股票基金四項標的。本文研究方法主要以Cox & Huang(1989, 1991)平賭理論處理最適投資議題，將多期問題變為單期，求得保險人之最適投資組合。最後本文針對不同的匯率走勢與匯率風險波動度，利用電腦模擬，觀察不同風險趨避程度保險人之投資組合變化。本文結果歸納如下：1. 於風險市場價值、波動度和國內外無風險短期利率為定值下，保險人最適組合分別是擁有固定比例本國股票部位，外國股票部位則與匯率走勢呈負相關，而本國現金部位與外國現金部位呈現相反趨勢。發現匯率增量趨勢與外國現金帳戶、外國指數型股票基金和本國現金部位趨勢相同。2. 匯率風險將影響保險人持有外國資產意願。若匯率風險波動度由0.1提高至0.3，則外國現金部位之最大值會從6.23下降到0.66。而外國股票持有部位於短期會增加，但隨著投資期限增加而逐漸遞減。同時短期增加之幅度小於外國現金減少之部分。整體而言，持有外國資產比例隨匯率風險波動度變大而遞減。關鍵字：匯率風險、跨期投資組合、平賭理論、風險波動度、電腦模擬 | zh_TW |
| dc.description.tableofcontents | 第一章 研究動機與目的 1第二章 文獻回顧 6第一節 最適投資策略 6第二節 效用函數 7第三章 模型 8第一節 投資組合 8第二節 平賭方法 10第三節 最適化問題 13第四章 數值分析 18第一節 匯率風險的增量為正---a=0.02,b=0.00056 19第二節 匯率風險的增量為負---a=0.02,b=-0.00056 22第三節 匯率風險的增量以多項式表達 25第四節 匯率風險波動度的改變 29第五章 結論與建議 34參考文獻 36附錄A 最適投資成長組合 (Optimal Growth Portfolio) 38附錄B 最適投資成長組合之動態過程 40 | 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/#G0096358020 | en_US |
| dc.subject (關鍵詞) | 匯率風險 | zh_TW |
| dc.subject (關鍵詞) | 跨期投資組合 | zh_TW |
| dc.subject (關鍵詞) | 平賭理論 | zh_TW |
| dc.subject (關鍵詞) | 風險波動度 | zh_TW |
| dc.subject (關鍵詞) | 電腦模擬 | zh_TW |
| dc.subject (關鍵詞) | exchange rate risk | en_US |
| dc.subject (關鍵詞) | intertemporal investment | en_US |
| dc.subject (關鍵詞) | martingale | en_US |
| dc.subject (關鍵詞) | volatility | en_US |
| dc.subject (關鍵詞) | simulation | en_US |
| dc.title (題名) | 匯率風險下之最適跨期投資組合 | zh_TW |
| dc.type (資料類型) | thesis | en |
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