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題名 國際投資之最適避險策略
The Optimal Hedging Strategies Of International Investments
作者 蕭文麒
Hsiao, Wen Chi
貢獻者 林柏生
蕭文麒
Hsiao, Wen Chi
日期 1991
上傳時間 29-Apr-2016 09:15:10 (UTC+8)
參考文獻 1? Adler, M. and Determple, J.B(1988),"Hedging with Futures in an Intertemporal Portfolio Context", Journal of Futures Markets, Vol. 8, No.3,p.249~269.
     2? Adler M. and B. Dumas(983), "International Portfolio Choice and Corporation Finance: A Synthesis. ", Journal of Finance., June p.925-984.
     3? Breeden, D. T.(1979), "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities. ", Journal of Financial Economics, September, p.265~296.
     4? Brennan, M. J. and E. S. Schwartz(1979), "Acontinuous Time Apporoach to the Pricing of Bonds.", Journal of Banking and Finance, No.3, p.133-155.
     5? Feenstra, Robert C. (1986), "Functional Equivalence Between Liquidity Costs and the Utility of Money", Journal of Monetary Economics, p.271~291.
     6? Grauer, F. L. A. , R. H. Litzenberger, and R. E. Stehle(1976), "Sharing Rules and Equilibrium in an International Capital Markets Under Uncertainty.", Journal of Financial Economics. , No.3, p. 231~256.
     7? Kazemi,H.B(1985), "Investors` Behavior and Equilibrium Relationships inInternational Financial Markets under Uncertainty: A Continuous time Approach. ", Unpublished paper, Graduate school of Business Administration, University of Michigan.
     8? Kazerni, H. B. (1991), "Time-varying Risk Premiums in Forward Exchange Rates and Deviations from PPP", Recent Developments In International Banking and Finance, p.177-201.
     9? Matthew, J. Celebuski (etal)(1990), "Managing Currency Exposures in International Portfolios", Financial Analysts Journal, No.1, p.16-23.
     10? Merton, R.C.(l973), "An Intertemporal Asset Pricing Model", Econometrica, September, p.867-887.
     11? Solnik, B. (1974), "An Equilibrium Model of the International Capital Market.", Journal of Economic Theory, August,p.500~524.
     12? Solnik, B. (1989), "Optimal Currency Hedge Ratios: the influence of the Interest Rate Dilfferential", Pacific Basin Finance Conference, Taipei, March1989.
     13? Stulz, R. (1981), "A Model of International Asset Pricing. ", Journal of Financial Economics, December, p. 383-406.
     14? Stulz, R.(1983), "The Demand for Foreign Bonds.", Journal of International Economics, May, p.225-238.
     15? Stulz, R.(984), "Currency Preferences, Purchasing Power Risks, and the Determination of Exchange Rate in an Optimizing Model", Journal of Money, credit and Banking, August, p. 302-316.
     16? Mallliar is, A. G. and W. A. Brock, "Stochastic Methods in Economics and Finance".
描述 碩士
國立政治大學
國際經營與貿易學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003371
資料類型 thesis
dc.contributor.advisor 林柏生zh_TW
dc.contributor.author (Authors) 蕭文麒zh_TW
dc.contributor.author (Authors) Hsiao, Wen Chien_US
dc.creator (作者) 蕭文麒zh_TW
dc.creator (作者) Hsiao, Wen Chien_US
dc.date (日期) 1991en_US
dc.date.accessioned 29-Apr-2016 09:15:10 (UTC+8)-
dc.date.available 29-Apr-2016 09:15:10 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 09:15:10 (UTC+8)-
dc.identifier (Other Identifiers) B2002003371en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87846-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description.tableofcontents 第一章 緒論.........................1
     第二章 文獻回顧......................... 3
     第三章 模型......................... 8
     第一節 前言.........................8
     第二節 定義及假設.........................8
     第三節 考慮通貨替代及風險性債券之動態模型.........................11
     第四節 消費者的動態最適化模型.........................17
     附註.........................21
     第四章 金融市場整合的均衡關係.........................25
     第一節 前言.........................25
     第二節 均衡匯率水準.........................25
     第三節 外匯風險分散.........................29
     第四節 風險貼水的決定.........................36
     第五節 國際金融市場整合.........................38
     註釋.........................42
     第五章 結論......................... 44
     第一節 研究限制.........................44
     第二節 結論.........................44
     附錄A 利率為隨機且有通貨替代關係......................... 46
     附錄A 利率為隨機之"cash-in-advance" Model ......................... 50
     附錄B Money-in-utility" Model .................................................. 53
     附錄C Bond pricd之定價......................... 55
     附錄D 匯率的均衡水準......................... 59
     附錄E 外匯風險分散......................... 61
     附錄F 國際金融市場整合.........................68
     參考文獻......................... 72		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003371en_US
dc.title (題名) 國際投資之最適避險策略zh_TW
dc.title (題名) The Optimal Hedging Strategies Of International Investmentsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1? Adler, M. and Determple, J.B(1988),"Hedging with Futures in an Intertemporal Portfolio Context", Journal of Futures Markets, Vol. 8, No.3,p.249~269.
     2? Adler M. and B. Dumas(983), "International Portfolio Choice and Corporation Finance: A Synthesis. ", Journal of Finance., June p.925-984.
     3? Breeden, D. T.(1979), "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities. ", Journal of Financial Economics, September, p.265~296.
     4? Brennan, M. J. and E. S. Schwartz(1979), "Acontinuous Time Apporoach to the Pricing of Bonds.", Journal of Banking and Finance, No.3, p.133-155.
     5? Feenstra, Robert C. (1986), "Functional Equivalence Between Liquidity Costs and the Utility of Money", Journal of Monetary Economics, p.271~291.
     6? Grauer, F. L. A. , R. H. Litzenberger, and R. E. Stehle(1976), "Sharing Rules and Equilibrium in an International Capital Markets Under Uncertainty.", Journal of Financial Economics. , No.3, p. 231~256.
     7? Kazemi,H.B(1985), "Investors` Behavior and Equilibrium Relationships inInternational Financial Markets under Uncertainty: A Continuous time Approach. ", Unpublished paper, Graduate school of Business Administration, University of Michigan.
     8? Kazerni, H. B. (1991), "Time-varying Risk Premiums in Forward Exchange Rates and Deviations from PPP", Recent Developments In International Banking and Finance, p.177-201.
     9? Matthew, J. Celebuski (etal)(1990), "Managing Currency Exposures in International Portfolios", Financial Analysts Journal, No.1, p.16-23.
     10? Merton, R.C.(l973), "An Intertemporal Asset Pricing Model", Econometrica, September, p.867-887.
     11? Solnik, B. (1974), "An Equilibrium Model of the International Capital Market.", Journal of Economic Theory, August,p.500~524.
     12? Solnik, B. (1989), "Optimal Currency Hedge Ratios: the influence of the Interest Rate Dilfferential", Pacific Basin Finance Conference, Taipei, March1989.
     13? Stulz, R. (1981), "A Model of International Asset Pricing. ", Journal of Financial Economics, December, p. 383-406.
     14? Stulz, R.(1983), "The Demand for Foreign Bonds.", Journal of International Economics, May, p.225-238.
     15? Stulz, R.(984), "Currency Preferences, Purchasing Power Risks, and the Determination of Exchange Rate in an Optimizing Model", Journal of Money, credit and Banking, August, p. 302-316.
     16? Mallliar is, A. G. and W. A. Brock, "Stochastic Methods in Economics and Finance".		zh_TW