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題名 負債導向資產配置與固定收益組合
Liability Driven Asset Allocation and Fixed Income Management作者 廖珂平 貢獻者 張士傑<br>鄭宗記
廖珂平關鍵詞 間接效用函數
負債複製投資組合
擬似動態過程
債券定價誤差日期 2013 上傳時間 3-Feb-2015 10:19:08 (UTC+8) 摘要 本研究探討固定收益債券為主的多期資產配置,假設不同風險偏好程度的投 資人,於設定之投資期限內,達到最適投資策略。本研究之模型主要參考 Cox & Huang(1989, 1991)所提出之平賭概念與 Sorensen(1999)利用 Vasicek 模型模擬市場 利率,在完備市場假設下,建構間接效用函數,利用擬似動態規劃方法,求得最 適配置結果。且考量債券定價誤差下,討論投資組合之變化,以及給定負債組合 及預估現金流量下之最適配置結果。\n本研究結果顯示,債券訂價誤差之假設對於投資組合有明顯影響,在誤差愈 大時,因債券所含之隱藏獲利愈高,影響配置結果,透過假設不同債券定價誤差, 分析影響整體投資組合之結果以及對於股票和現金部位之影響,而在考量負債面 下,對於投資組合最適化之方法與前述相同,因考量負債現金流量,使原始投資 組合再加入所能符合負債現金流之債券項目即可。 參考文獻 Bange, M. M., and Thomas W. M. Jr. "Return momentum and global portfolio allocations." Journal of Empirical Finance 11.4 (2004): 429-459.\nBrennan, M. J., and Eduardo S. S.. "The use of Treasury bill futures in strategic asset allocation programs." Worldwide asset and liability modeling 10 (1998): 205.\nBrennan, M. J. "The role of learning in dynamic portfolio decisions." European Finance Review 1.3 (1998): 295-306.\nBrennan, M. J., Eduardo S. S., and Ronald L. "Strategic asset allocation." Journal of Economic Dynamics and Control 21.8 (1997): 1377-1403.\nCampbell, J. Y. "Stock returns and the term structure." Journal of financial economics 18.2 (1987): 373-399.\nCanestrelli, E. , and Sebastiano P. "Inquiries on the applications of multidimensional stochastic processes to financial investments." preprint (1998).\nCox, J. C., and C.-F. Huang. "Optimal consumption and portfolio policies when asset prices follow a diffusion process." Journal of economic theory 49.1 (1989): 33-83.\nCox, J. C., and C.-F. Huang. "A variational problem arising in financial economics." Journal of Mathematical Economics 20.5 (1991): 465-487.\nDagıstan, C. (2010). QUANTIFYING THE INTEREST RATE RISK OF BONDS BY SIMULATION (Doctoral dissertation, Bogaziçi University).\nDuffie, D., and C.-F. Huang. "Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities." Econometrica: Journal of the Econometric\nSociety (1985): 1337-1356.\nDuffie, D. , Dynamic asset pricing theory. Princeton University Press, 2010.Evidence for pension funds." Journal of Financial Economics 65.2 (2002) " Ferson, W., Tyler R. H., and Darren J. K. "Evaluating government bond fund\nperformance with stochastic discount factors." Review of Financial Studies 19.2\n(2006): 423-455.\nFama, E. F., and Kenneth R. F. "Business conditions and expected returns on stocks\nand bonds." Journal of financial economics 25.1 (1989): 23-49.\nFerson, W., and Kenneth K. "Conditional performance measurement using\nportfolio weights"\nFischer, G. "Outlook for Bonds in a Challenging Yield Environment." (2013). Fisher, L., and Roman L. W. "Coping with the risk of interest-rate fluctuations:\nreturns to bondholders from naive and optimal strategies." Journal of business\n(1971): 408-431.\nGoetzmann, W., Jonathan I., and Zuran I. "Monthly Measurement of." (2000). Hicks, J. R. Value and capital. Vol. 2. Oxford: Clarendon Press, 1946. Hopewell, M., and G. Kaufman. "Bond Price Volatility and Term to Maturity: A\nGeneralized Respecification." American Economic Review (September 1973)\n749.53 (1973): 268-80.\nKaratzas, I. S., and Steven S. "S. 1988 Brownian Motion and stochastic calculus."\nGraduate Texts in Mathematics 113.\nKim, T. S., and Edward O. "Dynamic nonmyopic portfolio behavior." Review of\nfinancial studies 9.1 (1996): 141-161.\nMacaulay, F. R. "Some theoretical problems suggested by the movements of interest\nrates, bond yields and stock prices in the United States since 1856." NBER Books(1938).\nMarkowitz, H. "Portfolio selection*." The journal of finance 7.1 (1952): 77-91. Merton, R. C. "Theory of rational option pricing." (1971): 141-183.\nSong, N., Siu, T. K., Alavi Fard, F., Ching, W. K., & Fung, E. S. (2012). Risk\nmeasures and behaviors for bonds under stochastic interest rate models.\nMathematical and Computer Modelling, 56(9), 204-217.\nRedington, F. M. "Review of the principles of life-office valuations." Journal of the\nInstitute of Actuaries (1952): 286-340.\nRogers, L. C., and Wolfgang S. "Consistent fitting of one-factor models to interest\nrate data." Insurance: Mathematics and Economics 27.1 (2000): 45-63.\nShiller, R. J., and Andrea E. B. "Stock prices and bond yields: Can their comovements\nbe explained in terms of present value models?." Journal of Monetary Economics\n30.1 (1992): 25-46.\nSong, N., et al. "Risk measures and behaviors for bonds under stochastic interest rate\nmodels." Mathematical and Computer Modelling 56.9 (2012): 204-217. Sørensen, C. "Dynamic asset allocation and fixed income management." Journal of\nfinancial and quantitative analysis 34.04 (1999): 513-531.\nVasicek, O. "An equilibrium characterization of the term structure." Journal of\nfinancial economics 5.2 (1977): 177-188. 黃美慧,"人壽保險公司之最適盈餘管理(Optimal Surplus Management for Life\nInsurance) "(2002) 張士傑、杜昌燁、鄧昌俗,"最適跨期投資策略之套利與避險分析",保險專刊第十\n九卷第一期 (2003) 描述 碩士
國立政治大學
風險管理與保險研究所
101358026
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101358026 資料類型 thesis dc.contributor.advisor 張士傑<br>鄭宗記 zh_TW dc.contributor.author (Authors) 廖珂平 zh_TW dc.creator (作者) 廖珂平 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 3-Feb-2015 10:19:08 (UTC+8) - dc.date.available 3-Feb-2015 10:19:08 (UTC+8) - dc.date.issued (上傳時間) 3-Feb-2015 10:19:08 (UTC+8) - dc.identifier (Other Identifiers) G0101358026 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=81868 - 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) 101358026 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 本研究探討固定收益債券為主的多期資產配置,假設不同風險偏好程度的投 資人,於設定之投資期限內,達到最適投資策略。本研究之模型主要參考 Cox & Huang(1989, 1991)所提出之平賭概念與 Sorensen(1999)利用 Vasicek 模型模擬市場 利率,在完備市場假設下,建構間接效用函數,利用擬似動態規劃方法,求得最 適配置結果。且考量債券定價誤差下,討論投資組合之變化,以及給定負債組合 及預估現金流量下之最適配置結果。\n本研究結果顯示,債券訂價誤差之假設對於投資組合有明顯影響,在誤差愈 大時,因債券所含之隱藏獲利愈高,影響配置結果,透過假設不同債券定價誤差, 分析影響整體投資組合之結果以及對於股票和現金部位之影響,而在考量負債面 下,對於投資組合最適化之方法與前述相同,因考量負債現金流量,使原始投資 組合再加入所能符合負債現金流之債券項目即可。 zh_TW dc.description.tableofcontents 第一章 緒論........................................................................................................................................6 第一節 研究動機...................................................................................................................... 6 第二節 研究目的....................................................................................................................12\n第二章 文獻回顧............................................................................................................................13 第一節 投資組合最適化研究............................................................................................13 第二節 連續時間最適化研究............................................................................................14\n第三章 研究方法............................................................................................................................16 第一節 投資人效用...............................................................................................................16 第二節 利率模型與投資標的............................................................................................17 第三節 動態完備市場假設 ................................................................................................ 19 第四節 間接效用函數..........................................................................................................20 第五節 擬似動態規劃..........................................................................................................23 第六節 債券價格定價誤差 ................................................................................................ 25\n第四章 數值模擬結果...................................................................................................................27 第一節 市場概述....................................................................................................................27 第二節 模型參數選取..........................................................................................................28 第三節 數值結果....................................................................................................................29 第四節 債券價格定價誤差模擬結果與分析..............................................................31 第五節 負債複製投資組合 ................................................................................................ 34\n第五章 結論與建議........................................................................................................................37 第一節 結論..............................................................................................................................37 第二節 建議..............................................................................................................................38\n參考文獻......................................................................................................................39 zh_TW dc.format.extent 2561552 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101358026 en_US dc.subject (關鍵詞) 間接效用函數 zh_TW dc.subject (關鍵詞) 負債複製投資組合 zh_TW dc.subject (關鍵詞) 擬似動態過程 zh_TW dc.subject (關鍵詞) 債券定價誤差 zh_TW dc.title (題名) 負債導向資產配置與固定收益組合 zh_TW dc.title (題名) Liability Driven Asset Allocation and Fixed Income Management en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Bange, M. M., and Thomas W. M. Jr. "Return momentum and global portfolio allocations." Journal of Empirical Finance 11.4 (2004): 429-459.\nBrennan, M. J., and Eduardo S. S.. "The use of Treasury bill futures in strategic asset allocation programs." Worldwide asset and liability modeling 10 (1998): 205.\nBrennan, M. J. "The role of learning in dynamic portfolio decisions." European Finance Review 1.3 (1998): 295-306.\nBrennan, M. J., Eduardo S. S., and Ronald L. "Strategic asset allocation." Journal of Economic Dynamics and Control 21.8 (1997): 1377-1403.\nCampbell, J. Y. "Stock returns and the term structure." Journal of financial economics 18.2 (1987): 373-399.\nCanestrelli, E. , and Sebastiano P. "Inquiries on the applications of multidimensional stochastic processes to financial investments." preprint (1998).\nCox, J. C., and C.-F. Huang. "Optimal consumption and portfolio policies when asset prices follow a diffusion process." Journal of economic theory 49.1 (1989): 33-83.\nCox, J. C., and C.-F. Huang. "A variational problem arising in financial economics." Journal of Mathematical Economics 20.5 (1991): 465-487.\nDagıstan, C. (2010). QUANTIFYING THE INTEREST RATE RISK OF BONDS BY SIMULATION (Doctoral dissertation, Bogaziçi University).\nDuffie, D., and C.-F. Huang. "Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities." Econometrica: Journal of the Econometric\nSociety (1985): 1337-1356.\nDuffie, D. , Dynamic asset pricing theory. Princeton University Press, 2010.Evidence for pension funds." Journal of Financial Economics 65.2 (2002) " Ferson, W., Tyler R. H., and Darren J. K. "Evaluating government bond fund\nperformance with stochastic discount factors." Review of Financial Studies 19.2\n(2006): 423-455.\nFama, E. F., and Kenneth R. F. "Business conditions and expected returns on stocks\nand bonds." Journal of financial economics 25.1 (1989): 23-49.\nFerson, W., and Kenneth K. "Conditional performance measurement using\nportfolio weights"\nFischer, G. "Outlook for Bonds in a Challenging Yield Environment." (2013). Fisher, L., and Roman L. W. "Coping with the risk of interest-rate fluctuations:\nreturns to bondholders from naive and optimal strategies." Journal of business\n(1971): 408-431.\nGoetzmann, W., Jonathan I., and Zuran I. "Monthly Measurement of." (2000). Hicks, J. R. Value and capital. Vol. 2. Oxford: Clarendon Press, 1946. Hopewell, M., and G. Kaufman. "Bond Price Volatility and Term to Maturity: A\nGeneralized Respecification." American Economic Review (September 1973)\n749.53 (1973): 268-80.\nKaratzas, I. S., and Steven S. "S. 1988 Brownian Motion and stochastic calculus."\nGraduate Texts in Mathematics 113.\nKim, T. S., and Edward O. "Dynamic nonmyopic portfolio behavior." Review of\nfinancial studies 9.1 (1996): 141-161.\nMacaulay, F. R. "Some theoretical problems suggested by the movements of interest\nrates, bond yields and stock prices in the United States since 1856." NBER Books(1938).\nMarkowitz, H. "Portfolio selection*." The journal of finance 7.1 (1952): 77-91. Merton, R. C. "Theory of rational option pricing." (1971): 141-183.\nSong, N., Siu, T. K., Alavi Fard, F., Ching, W. K., & Fung, E. S. (2012). Risk\nmeasures and behaviors for bonds under stochastic interest rate models.\nMathematical and Computer Modelling, 56(9), 204-217.\nRedington, F. M. "Review of the principles of life-office valuations." Journal of the\nInstitute of Actuaries (1952): 286-340.\nRogers, L. C., and Wolfgang S. "Consistent fitting of one-factor models to interest\nrate data." Insurance: Mathematics and Economics 27.1 (2000): 45-63.\nShiller, R. J., and Andrea E. B. "Stock prices and bond yields: Can their comovements\nbe explained in terms of present value models?." Journal of Monetary Economics\n30.1 (1992): 25-46.\nSong, N., et al. "Risk measures and behaviors for bonds under stochastic interest rate\nmodels." Mathematical and Computer Modelling 56.9 (2012): 204-217. Sørensen, C. "Dynamic asset allocation and fixed income management." Journal of\nfinancial and quantitative analysis 34.04 (1999): 513-531.\nVasicek, O. "An equilibrium characterization of the term structure." Journal of\nfinancial economics 5.2 (1977): 177-188. 黃美慧,"人壽保險公司之最適盈餘管理(Optimal Surplus Management for Life\nInsurance) "(2002) 張士傑、杜昌燁、鄧昌俗,"最適跨期投資策略之套利與避險分析",保險專刊第十\n九卷第一期 (2003) zh_TW
