政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34121

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34121

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政大機構典藏 > 商學院 > 風險管理與保險學系 > 學位論文 > Item 140.119/34121

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/34121

題名:	跨期國際投資組合之模型建構 International Portfolio Management for Long Term Investors: Models and Illustrations
作者:	宣葳
貢獻者:	張士傑宣葳
關鍵詞:	跨國投資組合馬可夫隨機過程資產管理 International Portfolio Management Markov Processes
日期:	2004
上傳時間:	2009-09-18
摘要:	在此篇論文中我們考慮連續時間架構下, 加入匯差風險與利率風險之跨國投資組合問題. 延續 Lioui, Poncet (2003) 的研究架構, 我們考慮國內外債券股票與現金的投資組合, 以martingale方法求解避險操作與最佳投資策略. In this study, we investigate the hedge demands in international portfolio management under a general continuous time framework for constant relative risk averse investors where, in particular, exchange rate risk and the interest rate risk are incorporated. Within this international economy, the changes of real exchange rates, real interest rates and stock prices are assumed to follow the Markovian processes whose drifts and diffusion parameters are driven by certain state variables. Our approach is through the use of the martingale methodology developed by Cox and Huang (1989, 1991) as proposed in the work of Lioui and Poncet (2003). Following their framework, we consider the economy of the investors that consists of one foreign currency and the domestic one, together with their bond portfolios and stock indices. Adding to the previous works, we have compared the obtained optimal strategies with some prevailing ad hoc ones in order to clarify the hedge effects in financial decision from the long term perspective.
參考文獻:	[1] Balassa, B. (1964) The purchasing power parity doctrine: a reappraisal. Journal of Political Economy, 72(6), 584-96. [2] Balduzzi, P. and Lynch, A. (1999) Transaction costs and predictability: some utility cost calculations. Journal of Financial Economics 52 (1), 47–78. [3] Barberis, N. (2000) Investing for the long run when returns are predictable. Journal of Finance 55 (1), 225-264. [4] Breeden, D. (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7 (3), 265–296. [5] Cassel, G. (1921) The world’s money problems. E.P. Dutton and Co., New York. [6] Cox, J., Huang, C. F. (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process, Journal of Economic Theory 49, 33-83. [7] Cox, J., Huang, C. F. (1991) A variational problem arising in financial economics. Journal of Mathematical Economics 20, 465-487. [8] Duffie, J.D. and Huang, C.F. (1985). Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities, Econometrica, 53 1337-1356 [9] Heath, D., Jarrow, R., Morton, A. (1992) Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica 60, 77–105. [10] Karatzas, I., Shreve, S. (1991) Brownian motion and stochastic calculus, second edition. Springer-Verlag, New York. [11] Lamberton, D., Lapeyre, B. (1991) Introduction au calcul stochastique appliqué à la finance. Ellipses, Paris. [12] Long, J.B. (1990) The numeraire portfolio. Journal of Financial Economics 26, 29–69. [13] Lioui, A., Poncet, P. (2001) On optimal portfolio choice under stochastic interest rates. Journal of Economic Dynamics and Control 25, 1841-1865. [14] Lioui, A., Poncet, P. (2003) International asset allocation: a new perspective. Journal of Banking and Finance 27, 2203-2230. [15] Merton, R. (1971) Optimum consumption and portfolio rules in a continuoustime model. Journal of Economic Theory 3, 373-413. [16] Merton, R. (1973) An intertemporal capital asset pricing model. Econometrica 41 (5), 867–887. [17] Øksendal, B. (2003) Stochastic differential equations : an introduction with applications, sixth edition. Springer-Verlag, New York. [18] Pakko, M., Pollard, S. (1996) For here or to go? Purchasing power parity and the big Mac. Review, Federal Reserve Bank of St. Louis. 1-21. [19] Pliska, S. (1986) A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research 11, 371–382. [20] Samuelson, P. (1964) Theoretical notes on trade problems. Review of Economics and Statistics, 46(2), 145-64. [21] Shreve, S. (1996) Stochastic calculus and finance. Class note. [22] Sorensen, C. (1999) Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis 34, 513-531.
描述:	碩士國立政治大學風險管理與保險研究所 91358027 93
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0091358027
資料類型:	thesis
顯示於類別:	[風險管理與保險學系] 學位論文

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35802701.pdf		15Kb	Adobe PDF2	680	檢視/開啟
35802702.pdf		14Kb	Adobe PDF2	704	檢視/開啟
35802703.pdf		12Kb	Adobe PDF2	638	檢視/開啟
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35802706.pdf		60Kb	Adobe PDF2	769	檢視/開啟
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35802708.pdf		59Kb	Adobe PDF2	846	檢視/開啟
35802709.pdf		17Kb	Adobe PDF2	703	檢視/開啟
35802710.pdf		27Kb	Adobe PDF2	831	檢視/開啟
35802711.pdf		93Kb	Adobe PDF2	735	檢視/開啟

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