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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。
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.
Brennan, 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.
Brennan, M. J. "The role of learning in dynamic portfolio decisions." European Finance Review 1.3 (1998): 295-306.
Brennan, M. J., Eduardo S. S., and Ronald L. "Strategic asset allocation." Journal of Economic Dynamics and Control 21.8 (1997): 1377-1403.
Campbell, J. Y. "Stock returns and the term structure." Journal of financial economics 18.2 (1987): 373-399.
Canestrelli, E. , and Sebastiano P. "Inquiries on the applications of multidimensional stochastic processes to financial investments." preprint (1998).
Cox, 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.
Cox, J. C., and C.-F. Huang. "A variational problem arising in financial economics." Journal of Mathematical Economics 20.5 (1991): 465-487.
Dagıstan, C. (2010). QUANTIFYING THE INTEREST RATE RISK OF BONDS BY SIMULATION (Doctoral dissertation, Bogaziçi University).
Duffie, D., and C.-F. Huang. "Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities." Econometrica: Journal of the Econometric
Society (1985): 1337-1356.
Duffie, 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
performance with stochastic discount factors." Review of Financial Studies 19.2
(2006): 423-455.
Fama, E. F., and Kenneth R. F. "Business conditions and expected returns on stocks
and bonds." Journal of financial economics 25.1 (1989): 23-49.
Ferson, W., and Kenneth K. "Conditional performance measurement using
portfolio weights"
Fischer, G. "Outlook for Bonds in a Challenging Yield Environment." (2013). Fisher, L., and Roman L. W. "Coping with the risk of interest-rate fluctuations:
returns to bondholders from naive and optimal strategies." Journal of business
(1971): 408-431.
Goetzmann, 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
Generalized Respecification." American Economic Review (September 1973)
749.53 (1973): 268-80.
Karatzas, I. S., and Steven S. "S. 1988 Brownian Motion and stochastic calculus."
Graduate Texts in Mathematics 113.
Kim, T. S., and Edward O. "Dynamic nonmyopic portfolio behavior." Review of
financial studies 9.1 (1996): 141-161.
Macaulay, F. R. "Some theoretical problems suggested by the movements of interest
rates, bond yields and stock prices in the United States since 1856." NBER Books(1938).
Markowitz, H. "Portfolio selection*." The journal of finance 7.1 (1952): 77-91. Merton, R. C. "Theory of rational option pricing." (1971): 141-183.
Song, N., Siu, T. K., Alavi Fard, F., Ching, W. K., & Fung, E. S. (2012). Risk
measures and behaviors for bonds under stochastic interest rate models.
Mathematical and Computer Modelling, 56(9), 204-217.
Redington, F. M. "Review of the principles of life-office valuations." Journal of the
Institute of Actuaries (1952): 286-340.
Rogers, L. C., and Wolfgang S. "Consistent fitting of one-factor models to interest
rate data." Insurance: Mathematics and Economics 27.1 (2000): 45-63.
Shiller, R. J., and Andrea E. B. "Stock prices and bond yields: Can their comovements
be explained in terms of present value models?." Journal of Monetary Economics
30.1 (1992): 25-46.
Song, N., et al. "Risk measures and behaviors for bonds under stochastic interest rate
models." Mathematical and Computer Modelling 56.9 (2012): 204-217. Sørensen, C. "Dynamic asset allocation and fixed income management." Journal of
financial and quantitative analysis 34.04 (1999): 513-531.
Vasicek, O. "An equilibrium characterization of the term structure." Journal of
financial 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
Insurance) "(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
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) 2013en_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) G0101358026en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73245-
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) 101358026zh_TW
dc.description (描述) 102zh_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。
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
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
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
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
第五章 結論與建議........................................................................................................................37 第一節 結論..............................................................................................................................37 第二節 建議..............................................................................................................................38
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/#G0101358026en_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 Managementen_US
dc.type (資料類型) thesisen
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.
Brennan, 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.
Brennan, M. J. "The role of learning in dynamic portfolio decisions." European Finance Review 1.3 (1998): 295-306.
Brennan, M. J., Eduardo S. S., and Ronald L. "Strategic asset allocation." Journal of Economic Dynamics and Control 21.8 (1997): 1377-1403.
Campbell, J. Y. "Stock returns and the term structure." Journal of financial economics 18.2 (1987): 373-399.
Canestrelli, E. , and Sebastiano P. "Inquiries on the applications of multidimensional stochastic processes to financial investments." preprint (1998).
Cox, 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.
Cox, J. C., and C.-F. Huang. "A variational problem arising in financial economics." Journal of Mathematical Economics 20.5 (1991): 465-487.
Dagıstan, C. (2010). QUANTIFYING THE INTEREST RATE RISK OF BONDS BY SIMULATION (Doctoral dissertation, Bogaziçi University).
Duffie, D., and C.-F. Huang. "Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities." Econometrica: Journal of the Econometric
Society (1985): 1337-1356.
Duffie, 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
performance with stochastic discount factors." Review of Financial Studies 19.2
(2006): 423-455.
Fama, E. F., and Kenneth R. F. "Business conditions and expected returns on stocks
and bonds." Journal of financial economics 25.1 (1989): 23-49.
Ferson, W., and Kenneth K. "Conditional performance measurement using
portfolio weights"
Fischer, G. "Outlook for Bonds in a Challenging Yield Environment." (2013). Fisher, L., and Roman L. W. "Coping with the risk of interest-rate fluctuations:
returns to bondholders from naive and optimal strategies." Journal of business
(1971): 408-431.
Goetzmann, 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
Generalized Respecification." American Economic Review (September 1973)
749.53 (1973): 268-80.
Karatzas, I. S., and Steven S. "S. 1988 Brownian Motion and stochastic calculus."
Graduate Texts in Mathematics 113.
Kim, T. S., and Edward O. "Dynamic nonmyopic portfolio behavior." Review of
financial studies 9.1 (1996): 141-161.
Macaulay, F. R. "Some theoretical problems suggested by the movements of interest
rates, bond yields and stock prices in the United States since 1856." NBER Books(1938).
Markowitz, H. "Portfolio selection*." The journal of finance 7.1 (1952): 77-91. Merton, R. C. "Theory of rational option pricing." (1971): 141-183.
Song, N., Siu, T. K., Alavi Fard, F., Ching, W. K., & Fung, E. S. (2012). Risk
measures and behaviors for bonds under stochastic interest rate models.
Mathematical and Computer Modelling, 56(9), 204-217.
Redington, F. M. "Review of the principles of life-office valuations." Journal of the
Institute of Actuaries (1952): 286-340.
Rogers, L. C., and Wolfgang S. "Consistent fitting of one-factor models to interest
rate data." Insurance: Mathematics and Economics 27.1 (2000): 45-63.
Shiller, R. J., and Andrea E. B. "Stock prices and bond yields: Can their comovements
be explained in terms of present value models?." Journal of Monetary Economics
30.1 (1992): 25-46.
Song, N., et al. "Risk measures and behaviors for bonds under stochastic interest rate
models." Mathematical and Computer Modelling 56.9 (2012): 204-217. Sørensen, C. "Dynamic asset allocation and fixed income management." Journal of
financial and quantitative analysis 34.04 (1999): 513-531.
Vasicek, O. "An equilibrium characterization of the term structure." Journal of
financial 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
Insurance) "(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
九卷第一期 (2003)		zh_TW