1. NCCU Academic Hub
  2. 學術產出
  3. 商學院
  4. 期刊論文
  5. Item

學術產出-期刊論文

文章檢視/開啟

書目匯出

Google ScholarTM

政大圖書館

引文資訊

TAIR相關學術產出

題名 Revisit the Cross-Country Asset Allocation in Portfolio Choice
作者 Chang,Shih-Chieh ; Hwang,Ya-Wen;Hsuan,Wei
張士傑;黃雅文;萱葳
貢獻者 風管系
關鍵詞 currency rate ; interest rate; hedging; separation theorem ; Purchase Power Parity
日期 2007-07
上傳時間 4-三月-2014 16:58:14 (UTC+8)
摘要 In this study, we review the investment choice problem in international portfolio management for long-term investors (i.e., institutional investors, asset managers, financial planners, and wealthy individuals) where, in particular, the exchange rate risk and the interest rate risk are incorporated. While the theoretical literature has made significant development, the case with exact solution are still relatively few. Starting with the new perspective in Lioui and Poncet (2003), they show that the optimal portfolio can be divided into three parts: the international speculative portfolio, the domestic interest rate hedging portfolio and the cross-country interest rate differential hedging portfolio. Since the second hedging component presented in Lioui and Poncet (2003) is an indirect solution, we adopt a specific case that all diffusion coefficients in the dynamics of the state variables is constant to clarify the hedging implications. The results show that the optimal strategy follows a four-fund separation theorem and the number of the funds is irrelevant to the amount of the assets. For non-myopic investors, the currency risk-hedging component will not vanish due to the Purchase Power Parity (PPP) deviation and the hedging demand becomes smaller when the investors shorten his time horizon.
關聯 中國統計學報, 45(3), 254-282
資料類型 article
dc.contributor 風管系en_US
dc.creator (作者) Chang,Shih-Chieh ; Hwang,Ya-Wen;Hsuan,Weien_US
dc.creator (作者) 張士傑;黃雅文;萱葳zh_TW
dc.date (日期) 2007-07en_US
dc.date.accessioned 4-三月-2014 16:58:14 (UTC+8)-
dc.date.available 4-三月-2014 16:58:14 (UTC+8)-
dc.date.issued (上傳時間) 4-三月-2014 16:58:14 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64429-
dc.description.abstract (摘要) In this study, we review the investment choice problem in international portfolio management for long-term investors (i.e., institutional investors, asset managers, financial planners, and wealthy individuals) where, in particular, the exchange rate risk and the interest rate risk are incorporated. While the theoretical literature has made significant development, the case with exact solution are still relatively few. Starting with the new perspective in Lioui and Poncet (2003), they show that the optimal portfolio can be divided into three parts: the international speculative portfolio, the domestic interest rate hedging portfolio and the cross-country interest rate differential hedging portfolio. Since the second hedging component presented in Lioui and Poncet (2003) is an indirect solution, we adopt a specific case that all diffusion coefficients in the dynamics of the state variables is constant to clarify the hedging implications. The results show that the optimal strategy follows a four-fund separation theorem and the number of the funds is irrelevant to the amount of the assets. For non-myopic investors, the currency risk-hedging component will not vanish due to the Purchase Power Parity (PPP) deviation and the hedging demand becomes smaller when the investors shorten his time horizon.en_US
dc.format.extent 266025 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) 中國統計學報, 45(3), 254-282en_US
dc.subject (關鍵詞) currency rate ; interest rate; hedging; separation theorem ; Purchase Power Parityen_US
dc.title (題名) Revisit the Cross-Country Asset Allocation in Portfolio Choiceen_US
dc.type (資料類型) articleen