| dc.creator (作者) | 徐辜元宏;顏錫銘 | zh_TW |
| dc.creator (作者) | Hsu Ku,Yuan-Hung ; Yen, Simon H. | - |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 5-Nov-2008 16:52:56 (UTC+8) | - |
| dc.date.available | 5-Nov-2008 16:52:56 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-Nov-2008 16:52:56 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/6092 | - |
| dc.description.abstract (摘要) | This paper provides a model of dynamic asset allocation strategy for investors with mortgage liability facing time-varying interest rates. We adopt the Duffie-Epstein (1992b) formulation to describe investors` preferences by a recursive utility function defined over consumption flows and use perturbation methods to get linear approximate solutions in continuous-time. We show that the long-term investor will have a positive intertemporal hedging demand on bonds coming from pure changes in interest rates. We provide other distinguishable hedging components in the equity portfolio and long-term real bonds of the optimal dynamic asset allocation for hedging investors` mortgage liability in this paper. Key words: Stochastic investment opportunities, mortgage liability, intertemporal model. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Financial Studies, 15(1), 31-64 | en_US |
| dc.subject (關鍵詞) | Stochastic investment opportunities; mortgage liability; intertemporal model | - |
| dc.title (題名) | Dynamic Asset Allocation Strategies for Investors with Mortgage Liability in the Environment of Time-Varying Interest Rates | en_US |
| dc.type (資料類型) | article | en |
