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題名 加入不動產標的之最適資產配置
Optimal Asset Allocation Incorporating Real Estate作者 盧侑萱 貢獻者 張士傑
盧侑萱關鍵詞 效用函數
動態完備市場
最適成長資產組合
擬似動態規劃日期 2013 上傳時間 6-Aug-2014 13:22:55 (UTC+8) 摘要 本研究探討經理人加入不動產標的後之多期資產配置，利用間接效用函數描述投資者於投資期限時對財富大小之風險偏好程度，滿足基金之長期最適資產配置，為避免模型過於複雜，本文假設於動態完備市場中針對基金所持有之資產執行動態資產配置，建立財務動態調整機制以評量基金得期之獲利表現。為實際反應市場之風險程度，持有資產將利用隨機擴散過程表示，短期市場利率採用單因子Vasicek 隨機模型表示，本文給定金融市場之情境假設，多期資產配置模型主要參考Cox 與Huang (1989, 1991)與Sorensen (1999)，將未來財富過程利用平賭過程表示，給定不同投資限制條件、風險偏好程度與市場系統風險，以擬似動態規劃實際計算與比較每期之最適資產配置。其數值結果如下：(1)加入不動產標的後，經理人將在股票以及債券各減碼8.22%與8.97%投資比例以加入不動產標的；(2)風險規避程度增加時，投資於風險性資產之比例將下降，不動產與股票之比例將下降，長年期債券之比例將增加； (3)不動產波動度增加時，經理人將減少不動產比例，增加投資債券市場與股票市場之比例；(4) 在有投資上限規定下，利率波動性變大時，經理人應減少投資於股票之比例，增加不動產之比例； (5) 在無投資上限的情境下，無論何種風險趨避程度，經理人投資於不動產的比例隨時間呈現遞增狀態；在有投資上限規定下，經理人隨時間投資不動產的比例，在經理人風險趨避程度變大時，其投資不動產的比例則會隨時間減少。關鍵字: 效用函數; 動態完備市場; 最適成長資產組合; 擬似動態規劃 參考文獻 一、 英文部分：Campbell, J. Y.(1987)“Stock Returns and Term Structure.” Journal of Financial Economics 18, 373-399. Kau, J. B., D.C. Keenan, W.J.Muller Ⅲ, and J.F. Epperson, (1992), “A Generalized Valuation Model for Fixed-Rate Residential Mortgages,” Journal of Money, Credit, and Banking,Vol.24, NO.3,pp.279-298.Cox, J. C. and C. F. Huang, C. F.(1991)“A Variational Problem Arising in inancial E conomics.” Journal of Mathematical Economics 20, 465-487. Cox, J. C. and Huang, C. F.(1989)“Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process.” Journal of Economic Theory, 49, 33-83. Chang, Tu and Deng(2003) “Speculating and Hedging in Optimal Investment Strategy for Multi-period Fund Management.” Insurance Monograph19(1),2003.Diewert, W. E., O. N. Alice & L. I. Nakamura (2009) “The Housing Bubble and a New Approach to Accounting for Housing in a CPI,”Journal of Housing Economics. 18: 156-171.Dokko, Y.,Edelstein, R. H., Lacayo,A. J.and Lee,D.C.(1999) “Real Estate Income and Value Cycles: A Model of Market Dynamics,” Journal of Real Estate Research, 18(1):69-95.Duffie, J. D. (1996) “Dynamic Asset Pricing Theory, Second Edition.” Princeton University Press, Princeton, N.J.Fama, E. F., and French, K. R(1898) “Business Condition and Excepted Returns on Stocks and Bonds .”Journal of Financial Economics 25,23-49.Jesen, B. A. and Sorensen, C.(2001) “Paying For Minimum Interest Rate Guarantee :Who Should Compensate Who? ”European Financial Management 7,183-211.Jud, G. D. and Winkle, D. T.(2002), “The Dynamics of Metropolitan Housing Prices,” Journal of Real Estate Research, 23(1/2):29-45. K. Chan, G. A. Karolyi, F. Longstaff, Sanders A. “Empirical Comparison of Alternative Models of the Short-term Interest Rate, ” Journal of Finance, Vol.47, pp.1209-1227, 1992.Karatzas, I., Shreve, S. E.(1988) “Brownian Motion and Stochastic Calculus.” Springer, New YorkLioui, A. and Poncet, P. (2003). International asset allocation: a new perspective.Journal of Banking and Finance, 27, 2203-2230.Markowitz, H. (1959). “ Portfolio Selection: Efficient Diversification of Investment, ”Wiley, New York.Meen, G..(2000), “Housing Cycles and Efficiency,” Scottish Journal of Political Economy, ”47(2): 114-140Merton, R. C. (1971), “Optimum Consumption and portfolio Rules in a Continuous Time Model,” Journal of Economic and Statistics, Vol.3,373-413.Mueller, and Pauley. (1995) “The Effect of Interest-Rate Movements on Real Estate Investment Trusts”.Shiller,and Beltratti(1992) “Stock Prices and Bond Yield: Can Their Comovements be Explained in Terms of Present Value Models? ” Journal of Monetary Economics 30,25-46.Sorensen, C.(1999)“Dynamic Asset Allocation and Fixed Income Management.” J ournal of Financial and Quantitative Analysis 34, 513-531. Szymanoski, E.J.( 1994) “Risk and the Home Equity Conversion Mortgage, ” Journalof American Real Estate Urban Economics Association 22(2), 347-366.Vasicek, O.(1977)“An Equilibrium Characterization of The Term Structure.” Journal Of Financial Economics 5, 177-188. Vasicek, O.(1977)“An Equilibrium Characterization of The Term Structure.” Journal Of Financial Economics 5, 177-188. Witkiewicz, W. (2002), “The Use of the HP-filter in Constructing Real Estate Cycle Indicators.” Journal of Real Estate Research, 23(1/2):65-87.二、 中文部分：林秋瑾、楊宗憲、張金鵬，「住宅價格指數之研究－以台北市為例」，住宅學報，1996。陳明吉、蔡怡純、李曉盈，「不動產投資信託基金在投資組合中之角色與貢獻度分析」，亞太經濟管理評論，2009 。彭建文、張金鶚，「總體經濟對房地產景氣之影響」，國科會人文及社會科學研究彙刊，第10卷第3期，2000。黃介良，「台灣退休基金資產配置之研究」， 證券市場發展季刊第十卷第三期，1998。黃泓智、吳文傑、林左裕、鄭雅丰，「反向房屋貸款在高齡社會的應用」，風險管理學報，第10 卷，第3 期，2007 年，293-314。 描述 碩士
國立政治大學
風險管理與保險研究所
101358013
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101358013 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.author (Authors) 盧侑萱 zh_TW dc.creator (作者) 盧侑萱 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 6-Aug-2014 13:22:55 (UTC+8) - dc.date.available 6-Aug-2014 13:22:55 (UTC+8) - dc.date.issued (上傳時間) 6-Aug-2014 13:22:55 (UTC+8) - dc.identifier (Other Identifiers) G0101358013 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/68325 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 101358013 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 本研究探討經理人加入不動產標的後之多期資產配置，利用間接效用函數描述投資者於投資期限時對財富大小之風險偏好程度，滿足基金之長期最適資產配置，為避免模型過於複雜，本文假設於動態完備市場中針對基金所持有之資產執行動態資產配置，建立財務動態調整機制以評量基金得期之獲利表現。為實際反應市場之風險程度，持有資產將利用隨機擴散過程表示，短期市場利率採用單因子Vasicek 隨機模型表示，本文給定金融市場之情境假設，多期資產配置模型主要參考Cox 與Huang (1989, 1991)與Sorensen (1999)，將未來財富過程利用平賭過程表示，給定不同投資限制條件、風險偏好程度與市場系統風險，以擬似動態規劃實際計算與比較每期之最適資產配置。其數值結果如下：(1)加入不動產標的後，經理人將在股票以及債券各減碼8.22%與8.97%投資比例以加入不動產標的；(2)風險規避程度增加時，投資於風險性資產之比例將下降，不動產與股票之比例將下降，長年期債券之比例將增加； (3)不動產波動度增加時，經理人將減少不動產比例，增加投資債券市場與股票市場之比例；(4) 在有投資上限規定下，利率波動性變大時，經理人應減少投資於股票之比例，增加不動產之比例； (5) 在無投資上限的情境下，無論何種風險趨避程度，經理人投資於不動產的比例隨時間呈現遞增狀態；在有投資上限規定下，經理人隨時間投資不動產的比例，在經理人風險趨避程度變大時，其投資不動產的比例則會隨時間減少。關鍵字: 效用函數; 動態完備市場; 最適成長資產組合; 擬似動態規劃 zh_TW dc.description.tableofcontents 壹、 緒論 1一、研究動機與目的 1二、台灣不動產市場概況 4三、壽險業商用不動產租金收益 6四、資金運用限制 7貳、文獻回顧 10一、最適投資策略 10二、效用函數 11三、不動產模型建構 12參、模型分析 14一、投資標的物之模型 14二、動態完備市場假設 16三、間接效用函數 16四、擬似動態規劃 18肆、數值計算 20一、數值計算假設 20二、情境分析 21三、結果分析 27伍、結論與建議 30一、結論 30二、研究限制與建議 30參考文獻 31一、英文部分： 31二、中文部分： 33 zh_TW dc.format.extent 737808 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101358013 en_US dc.subject (關鍵詞) 效用函數 zh_TW dc.subject (關鍵詞) 動態完備市場 zh_TW dc.subject (關鍵詞) 最適成長資產組合 zh_TW dc.subject (關鍵詞) 擬似動態規劃 zh_TW dc.title (題名) 加入不動產標的之最適資產配置 zh_TW dc.title (題名) Optimal Asset Allocation Incorporating Real Estate en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 一、 英文部分：Campbell, J. Y.(1987)“Stock Returns and Term Structure.” Journal of Financial Economics 18, 373-399. Kau, J. B., D.C. Keenan, W.J.Muller Ⅲ, and J.F. Epperson, (1992), “A Generalized Valuation Model for Fixed-Rate Residential Mortgages,” Journal of Money, Credit, and Banking,Vol.24, NO.3,pp.279-298.Cox, J. C. and C. F. Huang, C. F.(1991)“A Variational Problem Arising in inancial E conomics.” Journal of Mathematical Economics 20, 465-487. Cox, J. C. and Huang, C. F.(1989)“Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process.” Journal of Economic Theory, 49, 33-83. Chang, Tu and Deng(2003) “Speculating and Hedging in Optimal Investment Strategy for Multi-period Fund Management.” Insurance Monograph19(1),2003.Diewert, W. E., O. N. Alice & L. I. Nakamura (2009) “The Housing Bubble and a New Approach to Accounting for Housing in a CPI,”Journal of Housing Economics. 18: 156-171.Dokko, Y.,Edelstein, R. H., Lacayo,A. J.and Lee,D.C.(1999) “Real Estate Income and Value Cycles: A Model of Market Dynamics,” Journal of Real Estate Research, 18(1):69-95.Duffie, J. D. (1996) “Dynamic Asset Pricing Theory, Second Edition.” Princeton University Press, Princeton, N.J.Fama, E. F., and French, K. R(1898) “Business Condition and Excepted Returns on Stocks and Bonds .”Journal of Financial Economics 25,23-49.Jesen, B. A. and Sorensen, C.(2001) “Paying For Minimum Interest Rate Guarantee :Who Should Compensate Who? ”European Financial Management 7,183-211.Jud, G. D. and Winkle, D. T.(2002), “The Dynamics of Metropolitan Housing Prices,” Journal of Real Estate Research, 23(1/2):29-45. K. Chan, G. A. Karolyi, F. Longstaff, Sanders A. “Empirical Comparison of Alternative Models of the Short-term Interest Rate, ” Journal of Finance, Vol.47, pp.1209-1227, 1992.Karatzas, I., Shreve, S. E.(1988) “Brownian Motion and Stochastic Calculus.” Springer, New YorkLioui, A. and Poncet, P. (2003). International asset allocation: a new perspective.Journal of Banking and Finance, 27, 2203-2230.Markowitz, H. (1959). “ Portfolio Selection: Efficient Diversification of Investment, ”Wiley, New York.Meen, G..(2000), “Housing Cycles and Efficiency,” Scottish Journal of Political Economy, ”47(2): 114-140Merton, R. C. (1971), “Optimum Consumption and portfolio Rules in a Continuous Time Model,” Journal of Economic and Statistics, Vol.3,373-413.Mueller, and Pauley. (1995) “The Effect of Interest-Rate Movements on Real Estate Investment Trusts”.Shiller,and Beltratti(1992) “Stock Prices and Bond Yield: Can Their Comovements be Explained in Terms of Present Value Models? ” Journal of Monetary Economics 30,25-46.Sorensen, C.(1999)“Dynamic Asset Allocation and Fixed Income Management.” J ournal of Financial and Quantitative Analysis 34, 513-531. Szymanoski, E.J.( 1994) “Risk and the Home Equity Conversion Mortgage, ” Journalof American Real Estate Urban Economics Association 22(2), 347-366.Vasicek, O.(1977)“An Equilibrium Characterization of The Term Structure.” Journal Of Financial Economics 5, 177-188. Vasicek, O.(1977)“An Equilibrium Characterization of The Term Structure.” Journal Of Financial Economics 5, 177-188. Witkiewicz, W. (2002), “The Use of the HP-filter in Constructing Real Estate Cycle Indicators.” Journal of Real Estate Research, 23(1/2):65-87.二、 中文部分：林秋瑾、楊宗憲、張金鵬，「住宅價格指數之研究－以台北市為例」，住宅學報，1996。陳明吉、蔡怡純、李曉盈，「不動產投資信託基金在投資組合中之角色與貢獻度分析」，亞太經濟管理評論，2009 。彭建文、張金鶚，「總體經濟對房地產景氣之影響」，國科會人文及社會科學研究彙刊，第10卷第3期，2000。黃介良，「台灣退休基金資產配置之研究」， 證券市場發展季刊第十卷第三期，1998。黃泓智、吳文傑、林左裕、鄭雅丰，「反向房屋貸款在高齡社會的應用」，風險管理學報，第10 卷，第3 期，2007 年，293-314。 zh_TW
