| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (Authors) | 游貞怡 | zh_TW |
| dc.contributor.author (Authors) | Yu, Chen-Yi | en_US |
| dc.creator (作者) | 游貞怡 | zh_TW |
| dc.creator (作者) | Yu, Chen-Yi | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:43:12 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:43:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:43:12 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923580201 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49686 | - |
| 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) | 92358020 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 本研究探討通貨膨脹風險下長期投資人之最適資產配置。由於長年期通貨膨脹之估計誤差於投資決策上容易產生顯著差異，我們延伸 Brennan and Xia (2002)的模型，嘗試以消費者物價指數預估及修正通貨膨脹率，利用貝氏過濾方法預估未來通貨膨脹率。以平賭過程描述基金的限制條件，最適化投資人之效用值求得加入可預測性效果後之最適多期資產組合模型。研究結果顯示，長期投資人之最適策略可表示為固定比例股票指數基金及不同存續期間固定收益基金之組合。以不同存續期間之固定收益債券可以有效建構規避通貨膨脹風險之避險組合。本研究並提供數值計算與分析。 | zh_TW |
| dc.description.abstract (摘要) | This paper examines the optimal portfolio selection for a long-term investor. In order to consider the uncertainty of inflation rate, we extend the work in Brennan and Xia (2002) and use the consumer price index (CPI) to estimate and update the inflation rate through the filtering mechanism. The stochastic real interest rate is assumed to follow the Vasicek-type model. The investor’s optimal portfolio selection is solved through the Martingale method. The result is given in a simple closed form solution. We show that the optimal strategy for the fund manager in hedging the inflation uncertainty is to incorporate a dynamic fixed income portfolio with different durations. Numerical illustration is provided to clarify our findings. | en_US |
| dc.description.tableofcontents | 1. Introduction ................................. 12. The model .................................... 62.1 Effect of Learning about inflation............ 62.2 The inflation rate ......................... 72.3 Market structure ...........................122.4 Dynamics of the Investment Opportunity Set ...133. The optimization criterion ...................214 Solution to the optimization problem .........235 Numerical analysis ...........................296. Conclusion ...................................37Appendix .......................................39Reference .......................................46 | zh_TW |
| dc.format.extent | 14876 bytes | - |
| dc.format.extent | 17040 bytes | - |
| dc.format.extent | 22852 bytes | - |
| dc.format.extent | 33534 bytes | - |
| dc.format.extent | 111892 bytes | - |
| dc.format.extent | 43871 bytes | - |
| dc.format.extent | 80416 bytes | - |
| dc.format.extent | 101926 bytes | - |
| dc.format.extent | 22312 bytes | - |
| dc.format.extent | 74321 bytes | - |
| dc.format.extent | 35206 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923580201 | en_US |
| dc.subject (關鍵詞) | 通貨膨脹風險 | zh_TW |
| dc.subject (關鍵詞) | 貝氏過濾 | zh_TW |
| dc.subject (關鍵詞) | 平賭過程 | zh_TW |
| dc.subject (關鍵詞) | 避險組合 | zh_TW |
| dc.subject (關鍵詞) | inflation rate risk | en_US |
| dc.subject (關鍵詞) | filter process | en_US |
| dc.subject (關鍵詞) | martingale method | en_US |
| dc.subject (關鍵詞) | hedge portfolio | en_US |
| dc.title (題名) | 通貨膨脹可預測效果下之跨期投資組合 | zh_TW |
| dc.title (題名) | Incorporating the Learning Effects in Hedging the Inflation Risks for Long-Term Fund Management | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Alles, L. and Horton, D., 1999. An evaluation of alternative methods of forecasting Australian infation. The Australian Economic Review 32, 237-248. | zh_TW |
| dc.relation.reference (參考文獻) | Barbeirs, N., 2000. Investing for the long run when returns are predictable. Journal of Finance 55, 225-264. | zh_TW |
| dc.relation.reference (參考文獻) | Basel, M. A., Ahmad S. A. and Wafaa M. S., 2004. Modelling the CPI using a lognormal diffusion process and implications on forecasting inflation. Journal of Management Mathematics 15, 39-51. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, M. J. and Xia, Y. H., 2002. Dynamic asset allocation under inflation. Journal of Finance 57, 1201-1238. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, M. J. and Xia, Y. H., 2000. Stochastic interest rates and the bond-stock mix. European Financial Review 4, 197-210. | zh_TW |
| dc.relation.reference (參考文獻) | Brinson, G. P., Singer, B. D. and Beebower, G. L., 1991. Determinants of portfolio performance II: An update. Financial Analyst Journal, 40-48. | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J. C. and Huang, C. F., 1989. Optimum consumption and portfolio policies when asset price follow a di¤usion process. Journal of Economic Theory 49, 33-83. | zh_TW |
| dc.relation.reference (參考文獻) | Cox, J. C., Ingersoll, J. E. and Ross, S. A., 1985. A theory of the term structure of interest rates. Econometrica 53, 385-408. | zh_TW |
| dc.relation.reference (參考文獻) | Campbell, J. Y. and Viceira, L. M., 2001. Who should buy long-term bonds? American Economic Review 91, 99-127. | zh_TW |
| dc.relation.reference (參考文獻) | Deelstra, G., Grasselli, M. and Koehl, P. F., 2000. Optimal investment strategies in a CIR framework. Journal of Applied Probability 37, 936-946. | zh_TW |
| dc.relation.reference (參考文獻) | Deelstra, G., Grasselli, M. and Koehl, P. F., 2003. Optimal investment strategies in the presence of a minimum guarantee. Insurance:Mathematics and Economics 33, 189-207. | zh_TW |
| dc.relation.reference (參考文獻) | Duffie, J. D. and Huang, C. F., 1985. Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities. Econometrica 53, 1337-1356. | zh_TW |
| dc.relation.reference (參考文獻) | Isabelle, B. B., James,V. J. and Roland P., 2003. Dynamic asset allocation for stocks, bonds and cash. Journal of Business 76, 263-287. | zh_TW |
| dc.relation.reference (參考文獻) | Karatzas, I., Lehoczky, J. P. and Shreve, S., 1987. Optimal portfolio and consumption decision for a ’small investor’on a finite horizon. SIAM. Journal on Control and Optimization 25, 1557-1586. | zh_TW |
| dc.relation.reference (參考文獻) | Latane, H. A. and Tuttle, D. L., 1967. Criteria for portfolio building. Journal of Finance 22, 359-373. | zh_TW |
| dc.relation.reference (參考文獻) | Lipster R. S. and Shiryayev A. N., 1978. Statistics of Random Process I: General Theory, Springer-Verlag, New York. | zh_TW |
| dc.relation.reference (參考文獻) | Lipster R. S. and Shiryayev A. N., 1978. Statistics of Random Process II: Applications, Springer-Verlag, New York. | zh_TW |
| dc.relation.reference (參考文獻) | Markowitz, H., 1959. Portfolio Selection: Efficient diversification of investment, John Wiley, New York. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. C., 1969. Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economics and Statistics 51, 247–257. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. C., 1971. Optimum consumption and portfolio rules in a continuous-time case. Journal of Economy Theory 3, 373-413. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. C., 1973. An intertemporal capital asset pricing model. Econometrica 41, 867–887. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. C., 1992. Continuous Time Finance. Blackwell, Oxford. | zh_TW |
| dc.relation.reference (參考文獻) | Mossin, J., 1968. Optimal multi-period portfolio policies. Journal of Business 41, 215-229. | zh_TW |
| dc.relation.reference (參考文獻) | Pliska, S., 1986. A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research 11, 371–382. | zh_TW |
| dc.relation.reference (參考文獻) | Samuelson, P. A., 1969. Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics 51, 239-246. | zh_TW |
| dc.relation.reference (參考文獻) | Sorensen, C., 1999. Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis 34, 513-531. | zh_TW |
| dc.relation.reference (參考文獻) | Vasicek, O., 1977. An equilibrium characterization of the term structure. Journal of Financial Economics 5, 177-188. | zh_TW |
| dc.relation.reference (參考文獻) | Xia, Y. H., 2001. Learning about predictability: the effects of parameter uncertainty on dynamic asset allocation. Journal of Finance 56, 205-246. | zh_TW |
