| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | 陳正暉;廖四郎 | zh_TW |
| dc.creator (作者) | Chen, Zheng-Hui ; Liao, Szu-Lang | en_US |
| dc.date (日期) | 2010-06 | en_US |
| dc.date.accessioned | 24-Mar-2014 13:50:59 (UTC+8) | - |
| dc.date.available | 24-Mar-2014 13:50:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 24-Mar-2014 13:50:59 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64845 | - |
| dc.description.abstract (摘要) | This study significantly extends the applicability of time-changed Lévy processes to the portfolio optimization. The leverage effect directly induces the intertemporal asymmetric volatility hedging demand, while the volatility feedback effect exerts a minor influence via the leverage effect under the pure-continuous time-changed Lévy process. Furthermore, the leverage effect still plays a major role while the volatility feedback effect just works over the short-term investment horizon under the infinite-jump Lévy process. Based on the proposed general stochastic asymmetric volatility asset return model, we conclude that the diffusion term is an essential determinant of financial modeling for index dynamics given infinite-activity jump structure. | 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, 18(2), 135-166 | en_US |
| dc.subject (關鍵詞) | Optimal portfolio choice; stochastic volatility; time-changed Lévy processes; leverage effect; volatility feedback effect; asymmetric volatility | en_US |
| dc.title (題名) | Elucidating Asymmetric Volatility in Asset Returns and Optimizing Portfolio Choice Using Time-Changed Lévy Processes | en_US |
| dc.type (資料類型) | article | en |
