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題名 考慮極值與VaR限制之最適資產配置
其他題名 Optimal Asset Allocation with Extreme Returns and a VaR Constraint
作者 顏錫銘;李美杏
Yen,Simon H.;Lee,Mei-Hsing
貢獻者 財管系
關鍵詞 極值 ; 左偏 ; 肥尾
Gram-Charlier expansion ; value-at-risk-based risk management ; leptokurtic asset returns
日期 2006
上傳時間 5-十一月-2008 16:56:13 (UTC+8)
摘要 許多實證研究顯示資產報酬分配呈左偏和肥尾。本文探討當資產報酬分配呈左偏和肥尾時,對風險管理者資產配置之影響。Basak與Shapiro(2001)是首位將風險限制式(VaR)納入效用函數內,再極大化投資人之效用函數而求出最適資產配置。本文依據他們的方法,採用Gram-Charlier expansion描述資產報酬左偏和肥尾之特性,探討當資產報酬分配在非常態分配下,其資產配置的變化。對風險管理者而言,最重要的工作就是準確預測損失與發生損失的機率。瞭解資產報酬的型態將有助於準確的預測損失,我們無法降低損失,但可以降低發生損失的機率,本文建議可以降低α值(期末財富損失大於VaR之機率)來達成,而降低α值會使期末財富在好的狀態與壞的狀態的財富稍減。
This study investigates how deviations from normality affect asset choices made by risk managers. This study applies the Gram-Charlier expansion for negatively skewed and excess kurtosis. Following Basak and Shapiro (2001), this study examines how negatively skewed and excess kurtosis affects asset allocations when investors manage market-risk exposure using Value-at-Risk-based risk management (VaR-RM). It is important for risk managers to precisely forecast the loss. The analytical results imply that the impact of leptokurtic asset returns is based on the shape of asset returns, and a correct measurement of leptokurtic asset returns is helpful to risk managers seeking to precisely forecast the loss. A risk manager cannot reduce the loss in bad states, but can reduce the value of α, the probability that a loss exceeds VaR, and the agent will suffer from reduced terminal wealth in both the good and bad states.
關聯 臺大管理論叢,17(2),41-68
資料類型 article
dc.contributor 財管系-
dc.creator (作者) 顏錫銘;李美杏zh_TW
dc.creator (作者) Yen,Simon H.;Lee,Mei-Hsing-
dc.date (日期) 2006en_US
dc.date.accessioned 5-十一月-2008 16:56:13 (UTC+8)-
dc.date.available 5-十一月-2008 16:56:13 (UTC+8)-
dc.date.issued (上傳時間) 5-十一月-2008 16:56:13 (UTC+8)-
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/6106-
dc.description.abstract (摘要) 許多實證研究顯示資產報酬分配呈左偏和肥尾。本文探討當資產報酬分配呈左偏和肥尾時,對風險管理者資產配置之影響。Basak與Shapiro(2001)是首位將風險限制式(VaR)納入效用函數內,再極大化投資人之效用函數而求出最適資產配置。本文依據他們的方法,採用Gram-Charlier expansion描述資產報酬左偏和肥尾之特性,探討當資產報酬分配在非常態分配下,其資產配置的變化。對風險管理者而言,最重要的工作就是準確預測損失與發生損失的機率。瞭解資產報酬的型態將有助於準確的預測損失,我們無法降低損失,但可以降低發生損失的機率,本文建議可以降低α值(期末財富損失大於VaR之機率)來達成,而降低α值會使期末財富在好的狀態與壞的狀態的財富稍減。-
dc.description.abstract (摘要) This study investigates how deviations from normality affect asset choices made by risk managers. This study applies the Gram-Charlier expansion for negatively skewed and excess kurtosis. Following Basak and Shapiro (2001), this study examines how negatively skewed and excess kurtosis affects asset allocations when investors manage market-risk exposure using Value-at-Risk-based risk management (VaR-RM). It is important for risk managers to precisely forecast the loss. The analytical results imply that the impact of leptokurtic asset returns is based on the shape of asset returns, and a correct measurement of leptokurtic asset returns is helpful to risk managers seeking to precisely forecast the loss. A risk manager cannot reduce the loss in bad states, but can reduce the value of α, the probability that a loss exceeds VaR, and the agent will suffer from reduced terminal wealth in both the good and bad states.-
dc.format application/en_US
dc.language enen_US
dc.language en-USen_US
dc.language.iso en_US-
dc.relation (關聯) 臺大管理論叢,17(2),41-68en_US
dc.subject (關鍵詞) 極值 ; 左偏 ; 肥尾-
dc.subject (關鍵詞) Gram-Charlier expansion ; value-at-risk-based risk management ; leptokurtic asset returns-
dc.title (題名) 考慮極值與VaR限制之最適資產配置zh_TW
dc.title.alternative (其他題名) Optimal Asset Allocation with Extreme Returns and a VaR Constraint-
dc.type (資料類型) articleen