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題名 保本信託基金之評價與分析--以怡富日本美元還本收益基金為例
Valuation and Analysis of Principal Guaranteed Fund--A Case Study on JF Japan Capital Guaranteed Trust
作者 江明鐘
Chiang, Ming-Chong
貢獻者 周行一<br>陳威光
Chow, Edward<br>Chen, W.K. Paul
江明鐘
Chiang, Ming-Chong
關鍵詞 保本基金
新金融商品
平均式選擇權
保本金融商品
金融商品之評價
共同基金
Principal Guaranteed Fund
financial product
average-rate option
principal guaranteed product
valution of financial product
mutual fund
日期 1995
上傳時間 28-Apr-2016 15:11:19 (UTC+8)
摘要 本研究主要從金融創新的角度分析保本基金之證券設計，並藉由零息債券與指數選擇權兩種投資工具，複製成為具有與保本基金相同到期價值之投資組合，用以評價保本基金，再進一步以該投資組合為基礎，分析保本基金的金融創新價值及基金操作之投資績效。本研究以怡富日本美元還本收益基金為例，提出上述有關保本基金之評價、金融創新價值及投資績效之討論。
參考文獻 一、中文部分:
     1 李存修編著，選擇權之交易實務、投資策略與評價模式，證券暨期貨市場發展基金會，民國82年8月
     2. 李存修編著，金融創新與操作策略，商周文化，民國83年6月
     3 財政部金融局金融法規通函彙編編輯委員會，常用金融法規彙編(第一、二冊) ，第三版，民國83 年修訂
     4 財政部稅制委員會編印，所得稅法彙編，民國83年
     5 財團法人金融人員研究訓練中心，銀行法令彙編，金融研訓叢書之44，民國83 年
     6 陳春山，「設券投資信託保本基金之研究」，台灣證券季刊，48期(民國85年1 月)， pp.1-9
     
     二、英文部分
     1. Allen, F. , "Security Design Special Issue : Introduction", Financial Management, Summer 1993, pp.32-33.
     2. Allen, F. & Gale, D., "Financial Innovation and Risk Sharing", Cambridge, MA, MIT Press, 1994.
     3. Bennett, J.A., Chen, A.H. & McGuinness, P., "An Analysis of Capital Guaranteed Funds", International Review of Economics and Finance, Forthcoming.
     4. Black, F. & Scholes, M., "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, May-June 1973, pp.637-654.
     5. Boot, A.W.A. & Thakor, A.V., "Security Design", The Journal of Finance, September 1993, pp.1349-1378.
     6. Boyle, P.P., "Options: A Monte Carlo Approach", Journal of Financial Economics, May 1977, pp.323-338
     7. Chance, D.M. & Broughton,J.B., "Market Index Depository
     Liabilities: Analysis, Interpretation, and Performance", Journal of Financial Services Research, December 1988, pp.335-352.
     8. Chen, A.H. & Kensinger, J.W., "An Analysis of Market-Index Certificates of Deposit", Journal of Financial Services Research, July 1990, pp.93-110.
     9. Chen, K.C. & Sears, R.S., "Pricing the SPIN", Financial Management, Summer 1990, pp.36·A7.
     10. Cox,J.C. & Ross, S.A., "The Valuation of Options for Alternative Stochastic Processes", Journal of Financial Economics, 3(1976), pp.145-166.
     11. Cummins, D. & Geman, H., "A Asian Option Approach to the
     Valuation of Insurance Futures Contracts", The Review of Futures Markets, Volume 13, Number 2,1994, pp.517-557.
     12. Curran, M., "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price", Management Science, Dec 1994, pp.1705-1711.
     13. De, S. & Kale, J.R., "Contingent Payments and Debt Contracts", Financial Management, Summer 1993, pp.l06-122.
     14. Demange, G. & Laroque, G., "Private Information and the Design of Securities", Journal of Economic Theory, February 1995, pp.233-257.
     15. Duffie, D. & Rahi, R., "Financial Market Innovation and Security Design : An Introduction", Journal of Economic Theory, February 1995, pp.1-42.
     16. Dubofsky, D.A., Options and Financial Futures, Valuation and Uses, McGraw-Hall international edition 1992.
     17. Finnerty, J.D., "Interpreting SIGNs", Financial Management, Summer 1993, pp.34-47.
     18. Harris, M. & Raviv, A., "The Design of Securities", Journal of Financial Economics, 24 (1989), pp.255-287.
     19. Haslem, lA., The Investor`s Guide to Mutual Funds, Prentice-Hall, Inc., 1988.
     20. Hull, 1., Options, Futures, and Other Derivative Securities. Englewood Cliffs, N.J. : Prentice-Hall, Inc., 1993.
     2l. Hunter, W. & Stowe, D.W., "Path-Dependent Options", Economic Review[Federal Reserve Band of Atlanta], Mar/Apr 1992, pp.29-34.
     22. Hunter, W. & Stowe, D.W., "Path-Dependent Options: Valuation and Applications" Economic Review[Federal Reserve Band of Atlanta], Jul/Aug 1992, ppJO-43.
     23. Jardine Fleming Management Limited, JF Japan Capital Guaranteed Trust due Apr 10,1997, explanatory memorandum, Mar 20,1994.
     24. Jarrow, R.A. & Rudd, A., Option Pricing, 1983, BARRA and
     University of California-Berkeley.
     25. Jensen, M.C. & Meckling, W.H., "Theory of the Firm : Managerial
     Behavior, Agency Costs, and Ownership Structure", Journal of
     Financial Economics, October 1976, pp.350-360.
     26. Jones, P. & Mason, S.P., "Equity-Linked Debt", Mikland Cororate Finance Journal, Winter 1986, pp.47-58.
     27. Kemna, A.G.Z. & Vorst, A.C.F. "A pricing Method for Options Based on Average Asset Values", Journal of Banding and Finance, 14(Mar 1990), pp.l13-129.
     28. Levy, E., "Pricing European Average Rate Currency Options", Journal of International Money and Finance, 11(1992), pp.474-491.
     29. Merton, R.C., "Theory of Rational Option Pricing", Bell Journal of Econmics and Management Science, Spring 1973, pp .141-183.
     30. Merton, R.C., "The Financial System and Economic Performance", Journal of Financial Services Research, 1990, pp.263-300.
     3l. Miller, M.H., "Financial Innovation: The Last Twenty Years and the Next", Journal of Financial and Quantitative Analysis, December 1986, pp.460-471.
     32. Leland, H.E., "Option Pricing and Replication with Transactions
     Costs", Journal of Finance, December 1985, pp.1283-1301.
     33. Ritchken, P., Sankarasubramanian, L. & Vijh, A.M., "The luation of Path Dependent Contracts on the Average", Management Science, Vo1.39, No.10, October 1993, pp.1202-1213.
     34. Romer, C.D. & Romer, D.H., "Credit Channel or Credit Action? An Interpretation of the Postwar Transmission Mechanism"
     35. Roth, H., LEAPS(Long-Term Equity Anticipation Securities), Richard D. IRWIN Inc., 1994.
     36. Rubinstein, M. & Leland, H.E., "Replicating Options with Positions in Stock and Cash", Financial Anlysis Journal, July-August 1981, pp.63-72
     37. Shefrin , H. & Statman, M., "Behavioral Aspects of the Design and Marketing of Financial Products", Financial Management, Summer 1993, pp.123-134.
     38. Turnbull, M. and Wakeman, L.M., "A Quick Algorithm for Pricing European Average Options", Journal of Financial and Quantitative Analysis, Vol 26, No.3, Sep 1991.
     39. Van Horne, J.C., "Of Financial Innovations and Excesses", The Journal of Finance, July 1985, pp.621-631.
描述 碩士
國立政治大學
金融研究所
83357008
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002876
資料類型 thesis
dc.contributor.advisor 周行一<br>陳威光zh_TW
dc.contributor.advisor Chow, Edward<br>Chen, W.K. Paulen_US
dc.contributor.author (Authors) 江明鐘zh_TW
dc.contributor.author (Authors) Chiang, Ming-Chongen_US
dc.creator (作者) 江明鐘zh_TW
dc.creator (作者) Chiang, Ming-Chongen_US
dc.date (日期) 1995en_US
dc.date.accessioned 28-Apr-2016 15:11:19 (UTC+8)-
dc.date.available 28-Apr-2016 15:11:19 (UTC+8)-
dc.date.issued (上傳時間) 28-Apr-2016 15:11:19 (UTC+8)-
dc.identifier (Other Identifiers) B2002002876en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87559-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 83357008zh_TW
dc.description.abstract (摘要) 本研究主要從金融創新的角度分析保本基金之證券設計，並藉由零息債券與指數選擇權兩種投資工具，複製成為具有與保本基金相同到期價值之投資組合，用以評價保本基金，再進一步以該投資組合為基礎，分析保本基金的金融創新價值及基金操作之投資績效。本研究以怡富日本美元還本收益基金為例，提出上述有關保本基金之評價、金融創新價值及投資績效之討論。zh_TW
dc.description.tableofcontents 摘要..........I
     表次..........IV
     圖次..........V
     第一章緒論..........1
     第一節研究背景與動機..........1
     第二節研究目的..........5
     第三節研究架構與流程..........6
     第二章文獻探討..........8
     第一節怡富日本美元還本收益基金介紹..........8
     第二節保本信託基金之相關文獻..........12
     第三節平均式選擇權之評價基礎..........23
     第三章保本信託基本之證券設計..........28
     第一節保本信託基本之基本觀念與意義..........28
     第二節國內外保本信託基金介紹..........32
     第三節國內保本信託基金之相關法律..........42
     第四章怡富日本美元還本收益基金之評價模式與投資績效檢定方法..........49
     第一節資料蒐集與處理..........49
     第二節怡富日本美元還本收益基金之評價模式..........55
     第三節算術平均式買權之評價..........57
     第四節怡富日本美元還本收益基金之投資績效檢定方法..........67
     第五章怡富日本美元還本收益基金之評價結果與分析..........69
     第一節怡富日本美元還本收益基金之評價結果..........69
     第二節怡富日本美元還本收益基金之金融創新價值分析..........85
     第三節怡富日本美元還本收益基金之投資績效檢定結果分析..........92
     第六章結論與建議..........98
     第一節本研究之結論..........98
     第二節後續研究之建議..........101
     參考文獻..........102		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002876en_US
dc.subject (關鍵詞) 保本基金zh_TW
dc.subject (關鍵詞) 新金融商品zh_TW
dc.subject (關鍵詞) 平均式選擇權zh_TW
dc.subject (關鍵詞) 保本金融商品zh_TW
dc.subject (關鍵詞) 金融商品之評價zh_TW
dc.subject (關鍵詞) 共同基金zh_TW
dc.subject (關鍵詞) Principal Guaranteed Funden_US
dc.subject (關鍵詞) financial producten_US
dc.subject (關鍵詞) average-rate optionen_US
dc.subject (關鍵詞) principal guaranteed producten_US
dc.subject (關鍵詞) valution of financial producten_US
dc.subject (關鍵詞) mutual funden_US
dc.title (題名) 保本信託基金之評價與分析--以怡富日本美元還本收益基金為例zh_TW
dc.title (題名) Valuation and Analysis of Principal Guaranteed Fund--A Case Study on JF Japan Capital Guaranteed Trusten_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部分:
     1 李存修編著，選擇權之交易實務、投資策略與評價模式，證券暨期貨市場發展基金會，民國82年8月
     2. 李存修編著，金融創新與操作策略，商周文化，民國83年6月
     3 財政部金融局金融法規通函彙編編輯委員會，常用金融法規彙編(第一、二冊) ，第三版，民國83 年修訂
     4 財政部稅制委員會編印，所得稅法彙編，民國83年
     5 財團法人金融人員研究訓練中心，銀行法令彙編，金融研訓叢書之44，民國83 年
     6 陳春山，「設券投資信託保本基金之研究」，台灣證券季刊，48期(民國85年1 月)， pp.1-9
     
     二、英文部分
     1. Allen, F. , "Security Design Special Issue : Introduction", Financial Management, Summer 1993, pp.32-33.
     2. Allen, F. & Gale, D., "Financial Innovation and Risk Sharing", Cambridge, MA, MIT Press, 1994.
     3. Bennett, J.A., Chen, A.H. & McGuinness, P., "An Analysis of Capital Guaranteed Funds", International Review of Economics and Finance, Forthcoming.
     4. Black, F. & Scholes, M., "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, May-June 1973, pp.637-654.
     5. Boot, A.W.A. & Thakor, A.V., "Security Design", The Journal of Finance, September 1993, pp.1349-1378.
     6. Boyle, P.P., "Options: A Monte Carlo Approach", Journal of Financial Economics, May 1977, pp.323-338
     7. Chance, D.M. & Broughton,J.B., "Market Index Depository
     Liabilities: Analysis, Interpretation, and Performance", Journal of Financial Services Research, December 1988, pp.335-352.
     8. Chen, A.H. & Kensinger, J.W., "An Analysis of Market-Index Certificates of Deposit", Journal of Financial Services Research, July 1990, pp.93-110.
     9. Chen, K.C. & Sears, R.S., "Pricing the SPIN", Financial Management, Summer 1990, pp.36·A7.
     10. Cox,J.C. & Ross, S.A., "The Valuation of Options for Alternative Stochastic Processes", Journal of Financial Economics, 3(1976), pp.145-166.
     11. Cummins, D. & Geman, H., "A Asian Option Approach to the
     Valuation of Insurance Futures Contracts", The Review of Futures Markets, Volume 13, Number 2,1994, pp.517-557.
     12. Curran, M., "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price", Management Science, Dec 1994, pp.1705-1711.
     13. De, S. & Kale, J.R., "Contingent Payments and Debt Contracts", Financial Management, Summer 1993, pp.l06-122.
     14. Demange, G. & Laroque, G., "Private Information and the Design of Securities", Journal of Economic Theory, February 1995, pp.233-257.
     15. Duffie, D. & Rahi, R., "Financial Market Innovation and Security Design : An Introduction", Journal of Economic Theory, February 1995, pp.1-42.
     16. Dubofsky, D.A., Options and Financial Futures, Valuation and Uses, McGraw-Hall international edition 1992.
     17. Finnerty, J.D., "Interpreting SIGNs", Financial Management, Summer 1993, pp.34-47.
     18. Harris, M. & Raviv, A., "The Design of Securities", Journal of Financial Economics, 24 (1989), pp.255-287.
     19. Haslem, lA., The Investor`s Guide to Mutual Funds, Prentice-Hall, Inc., 1988.
     20. Hull, 1., Options, Futures, and Other Derivative Securities. Englewood Cliffs, N.J. : Prentice-Hall, Inc., 1993.
     2l. Hunter, W. & Stowe, D.W., "Path-Dependent Options", Economic Review[Federal Reserve Band of Atlanta], Mar/Apr 1992, pp.29-34.
     22. Hunter, W. & Stowe, D.W., "Path-Dependent Options: Valuation and Applications" Economic Review[Federal Reserve Band of Atlanta], Jul/Aug 1992, ppJO-43.
     23. Jardine Fleming Management Limited, JF Japan Capital Guaranteed Trust due Apr 10,1997, explanatory memorandum, Mar 20,1994.
     24. Jarrow, R.A. & Rudd, A., Option Pricing, 1983, BARRA and
     University of California-Berkeley.
     25. Jensen, M.C. & Meckling, W.H., "Theory of the Firm : Managerial
     Behavior, Agency Costs, and Ownership Structure", Journal of
     Financial Economics, October 1976, pp.350-360.
     26. Jones, P. & Mason, S.P., "Equity-Linked Debt", Mikland Cororate Finance Journal, Winter 1986, pp.47-58.
     27. Kemna, A.G.Z. & Vorst, A.C.F. "A pricing Method for Options Based on Average Asset Values", Journal of Banding and Finance, 14(Mar 1990), pp.l13-129.
     28. Levy, E., "Pricing European Average Rate Currency Options", Journal of International Money and Finance, 11(1992), pp.474-491.
     29. Merton, R.C., "Theory of Rational Option Pricing", Bell Journal of Econmics and Management Science, Spring 1973, pp .141-183.
     30. Merton, R.C., "The Financial System and Economic Performance", Journal of Financial Services Research, 1990, pp.263-300.
     3l. Miller, M.H., "Financial Innovation: The Last Twenty Years and the Next", Journal of Financial and Quantitative Analysis, December 1986, pp.460-471.
     32. Leland, H.E., "Option Pricing and Replication with Transactions
     Costs", Journal of Finance, December 1985, pp.1283-1301.
     33. Ritchken, P., Sankarasubramanian, L. & Vijh, A.M., "The luation of Path Dependent Contracts on the Average", Management Science, Vo1.39, No.10, October 1993, pp.1202-1213.
     34. Romer, C.D. & Romer, D.H., "Credit Channel or Credit Action? An Interpretation of the Postwar Transmission Mechanism"
     35. Roth, H., LEAPS(Long-Term Equity Anticipation Securities), Richard D. IRWIN Inc., 1994.
     36. Rubinstein, M. & Leland, H.E., "Replicating Options with Positions in Stock and Cash", Financial Anlysis Journal, July-August 1981, pp.63-72
     37. Shefrin , H. & Statman, M., "Behavioral Aspects of the Design and Marketing of Financial Products", Financial Management, Summer 1993, pp.123-134.
     38. Turnbull, M. and Wakeman, L.M., "A Quick Algorithm for Pricing European Average Options", Journal of Financial and Quantitative Analysis, Vol 26, No.3, Sep 1991.
     39. Van Horne, J.C., "Of Financial Innovations and Excesses", The Journal of Finance, July 1985, pp.621-631.		zh_TW