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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/33975


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/33975


    題名: Dynamic Asset Allocation under Controlled Downside Risk
    作者: 陳志成
    貢獻者: 廖四郎
    江彌修


    陳志成
    關鍵詞: 動態配置
    下方風險有限
    日期: 2002
    上傳時間: 2009-09-17 18:59:28 (UTC+8)
    摘要: This paper provides an analytical framework for dynamic portfolio strategies that are mean-variance efficient and subjected to a principal-guaranteed rate. Specifying a numeraire known as growth-optimal portfolio, we apply martingale method instead of dynamic programming approach to solve the optimal problem. Under the general assumptions of the price dynamics being a semi-martingale with finite expectation and variance, the efficient strategies are identified as a combination of put options on minimum norm portfolio and zero coupon bonds with the maturity of investment horizon. In the case of a single factor interest rate model, we derive the closed-form formula for optimal weights on securities. We conduct numerical simulations to illustrate the performance of the optimal strategies in the case of an economy comprising a stock index fund, a bond index fund and a money market account. In addition, for different investors with various interests like principal guaranted rate and investment horizon, we also show how investors ought to allocate their funds.
    This paper provides an analytical framework for dynamic portfolio strategies that are mean-variance efficient and subjected to a principal-guaranteed rate. Specifying a numeraire known as growth-optimal portfolio, we apply martingale method instead of dynamic programming approach to solve the optimal problem. Under the general assumptions of the price dynamics being a semi-martingale with finite expectation and variance, the efficient strategies are identified as a combination of put options on minimum norm portfolio and zero coupon bonds with the maturity of investment horizon. In the case of a single factor interest rate model, we derive the closed-form formula for optimal weights on securities. We conduct numerical simulations to illustrate the performance of the optimal strategies in the case of an economy comprising a stock index fund, a bond index fund and a money market account. In addition, for different investors with various interests like principal guaranted rate and investment horizon, we also show how investors ought to allocate their funds.
    參考文獻: References
    Alexander, Gordon, Baptista, 2001, A VaR-Constrained Mean-Variance Model: Implications for Portfolio Selection and the Basle Capital Accord.
    Bajeux-Besnainou I., J. Jordan and R. Portait, 2001, Dynamic Asset Allocation for Stocks, Bonds and Cash, Journal of Business, forthcoming.
    Bajeux-Besnainou I. and R. Portait, 1997, The Numeraire Portfolio: a new Methodology for Financial Theory, The European Journal of Finance 3, 291-309.
    Bajeux-Besnainou I. and R. Portait, 1998, Dynamic Asset Allocation in a Mean-Variance Framework, Management Science 44, S79-S95.
    Bajeux, I., Jordan J. and R. Portait, 2001, September, The Stock/Bond ratio asset allocation puzzle: comment, American Economic Review 4, 1170, 1180.
    Brennan, Michael J., Eduardo S. Schwartz, and Ronald Lagnado, 1997, Strategic asset allocation, Journal of Economic dynamics and Control 21, 1377-1403.
    Chow, Gregory C, 1996, The Lagrange method of optimization with application to portfolio and investment decisions, Journal of Economic dynamics and Control 20, 1-18.
    Cox, J. and C. F. Huang, 1989, Optimal consumption and portfolio choices when asset
    prices follow a diffusion process, Journal of Economic Theory 49, 33-83.
    Domenico Cuoco and Hua H, 2001, September, Optimal Dynamic Trading Strategies with Risk Limits
    Duffie, 1992, Dynamic Asset Pricing Theory, Princeton University Press.
    Harrison, J.M. and S. Pliska, Martingales and Stochastic Integrals in the Theory
    of Continuous Trading, Stochastic Processes and their Applications 11, 215-260.
    J.B. Long, Jr. (1990), The numeraire portfolio, Journal of Financial Economics, 29–69.
    Merton, Robert C., 1990, Continuous - Time Finance, Basil Blackwell.
    Portfolio selection and asset pricing, 2002, Berlin, New York : Springer.
    Richardson, H, 1989, A Minimum Variance Result in Continuous Trading Portfolio Optimization, Management Science 35, 1045-1055.
    River Edge, N.J, 1997,Optimal portfolios : stochastic models for optimal investment and risk management in continuous time. Singapore, World Scientific.
    Strategic asset allocation: portfolio choice for long-term investors, 2002, Oxford University Press.
    黃鴻禧, Optimal Dynamic Asset Allocation and Rational Expectations Equilibrium,
    民91,台灣大學財務金融研究所
    描述: 碩士
    國立政治大學
    金融研究所
    90352006
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090352006
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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