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 股價指數連結型商品之投資避險策略
其他題名 Optimal Hedging Strategy of Equity-Linked Products
作者 黃泓智
Huang, Hong-Chih
貢獻者 風管系
關鍵詞 multi-period asset allocation; dynamic hedging; backward method
日期 2009-03
上傳時間 12-三月-2014 16:03:30 (UTC+8)
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.
關聯 財務金融學刊, 17(1), 75-106
資料類型 article
dc.contributor 風管系en_US
dc.creator (作者) 黃泓智zh_TW
dc.creator (作者) Huang, Hong-Chihen_US
dc.date (日期) 2009-03en_US
dc.date.accessioned 12-三月-2014 16:03:30 (UTC+8)-
dc.date.available 12-三月-2014 16:03:30 (UTC+8)-
dc.date.issued (上傳時間) 12-三月-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), 75-106en_US
dc.subject (關鍵詞) multi-period asset allocation; dynamic hedging; backward methoden_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 Productsen_US
dc.type (資料類型) articleen