| dc.contributor | 財管系 | |
| dc.creator (作者) | 顏錫銘;李美杏 | zh_TW |
| dc.date (日期) | 2007 | |
| dc.date.accessioned | 8-Jan-2015 17:50:29 (UTC+8) | - |
| dc.date.available | 8-Jan-2015 17:50:29 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Jan-2015 17:50:29 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/72694 | - |
| dc.description.abstract (摘要) | 許多實證研究顯示資產報酬分配呈左偏和肥尾。本文探討當資產報酬分配呈左偏和肥尾時，對風險管理者資產配置之影響。Basak與Shapiro(2001)是首位將風險限制式(VaR)納入效用函數內，再極大化投資人之效用函數而求出最適資產配置。本文依據他們的方法，採用Gram-Charlier expansion描述資產報酬左偏和肥尾之特性，探討當資產報酬分配在非常態分配下，其資產配置的變化。對風險管理者而言，最重要的工作就是準確預測損失與發生損失的機率。瞭解資產報酬的型態將有助於準確的預測損失，我們無法降低損失，但可以降低發生損失的機率，本文建議可以降低α值（期末財富損失大於VaR之機率）來達成，而降低α值會使期末財富在好的狀態與壞的狀態的財富稍減。 | |
| dc.description.abstract (摘要) | This study investigates how deviations from normality affect asset choices made by risk managers. This study applies the Gram-Charlier expansion for negatively skewed and excess kurtosis. Following Basak and Shapiro (2001), this study examines how negatively skewed and excess kurtosis affects asset allocations when investors manage market-risk exposure using Value-at-Risk-based risk management (VaR-RM). It is important for risk managers to precisely forecast the loss. The analytical results imply that the impact of leptokurtic asset returns is based on the shape of asset returns, and a correct measurement of leptokurtic asset returns is helpful to risk managers seeking to precisely forecast the loss. A risk manager cannot reduce the loss in bad states, but can reduce the value of α, the probability that a loss exceeds VaR, and the agent will suffer from reduced terminal wealth in both the good and bad states. | |
| dc.format.extent | 5683871 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | NTU Management Review, 17(2), 41-68 | |
| dc.subject (關鍵詞) | 極值 ; 左偏 ; 肥尾 | |
| dc.subject (關鍵詞) | Gram-Charlier expansion ; value-at-risk-based risk management ; leptokurtic asset returns | |
| dc.title (題名) | Optimal Asset Allocation with Extreme Returns and a VaR Constraint | |
| dc.title.alternative (其他題名) | 考慮極値與VaR限制之最適資產配置 | |
| dc.type (資料類型) | article | en |
