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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34129


    Title: 考量匯率風險下跨期投資之最適策略
    Authors: 林銘寬
    Contributors: 張士傑
    林銘寬
    Keywords: 跨國投資
    匯率
    通貨膨脹
    貝式過濾法
    平賭方法
    Date: 2005
    Issue Date: 2009-09-18
    Abstract: 本文討論長期投資人，考量國外資產之最適動態投資策略。延續Lioui & Pocent(2003)對於跨國最適投資組合問題，本文假設預期匯率為兩國利率差異與非隨機變動之時間函數之和，針對CRRA效用投資人，探討極大化期末預期效用之最適投資策略。假設兩國利率與通貨膨脹率對匯率存在線性關係下，利用學習效果來預測匯率變化；透過動態學習過程，獲得匯率之市場風險價值為非隨機變動之結果。
    第一：最適策略可分為三個部分，分別是單期市場基金、規避利率風險與通貨膨脹率風險之債券避險基金與兩國貨幣帳戶基金，其中規避本國實質利率風險與通貨膨脹率風險之債券與投資期限長短有關。
    第二：考量學習效果下，規避匯率風險之部位納入市場投資組合，透過動態投資組合以規避匯率風險，仔細說明Lioui & Pocent(2003)對於最適投資策略中匯率風險之避險部位。
    第三：數值顯示在風險市場價值為常數時，投資人最適組合為握有固定比例之兩國股票部位，一組持有比例變動的本國債券組合與兩國貨幣市場的部位。
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    93358025
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093358025
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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