| dc.contributor | 風管系 | en_US |
| dc.creator (作者) | 黃泓智 | zh_TW |
| dc.creator (作者) | Huang, Hong-Chih | en_US |
| dc.date (日期) | 2009-03 | en_US |
| dc.date.accessioned | 12-Mar-2014 16:03:30 (UTC+8) | - |
| dc.date.available | 12-Mar-2014 16:03:30 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-Mar-2014 16:03:30 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64601 | - |
| dc.description.abstract (摘要) | Recently, Asset liability management gains more attentions. Asset allocation has become a critical issue in financial institution. Conventionally, literatures of portfolio selections mainly focus on the issue of single-period. However, it is not appropriate to hedge a long-term liability by the means of single-period investment strategy. The main purpose of this paper is to find optimal multi-period dynamic hedging strategies which minimize the riskiness of the investment portfolio relative to the equity-linked liability. Theoretical optimal solution is obtained by the backward method of risk-minimizing hedging strategy. This paper finds that matching is concerned with the selection of assets which most closely resemble the liability cash flows, whereas multi-period optimal asset allocation is concerned with selection of assets which attain an optimal level of risk. | en_US |
| dc.format.extent | 120 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 財務金融學刊, 17(1), 75-106 | en_US |
| dc.subject (關鍵詞) | multi-period asset allocation; dynamic hedging; backward method | en_US |
| dc.title (題名) | 股價指數連結型商品之投資避險策略 | zh_TW |
| dc.title.alternative (其他題名) | Optimal Hedging Strategy of Equity-Linked Products | en_US |
| dc.type (資料類型) | article | en |
