政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34163
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51071683      Online Users : 930
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34163


    Title: Learning Effects in International Portfolio Selection Incorporating Interest Rate and Exchange Rate Risks
    考慮利率與匯率風險學習效果對跨國投資的影響
    Authors: 楊尚穎
    YangS, hang-Yin
    Contributors: 張士傑
    Chang, Shih-Chieh
    楊尚穎
    YangS, hang-Yin
    Keywords: 學習效果
    隨機變分
    利率風險
    市場中立測度
    共同基金
    learning effects
    stochastic variation
    interest rate risk
    market neutral valuation
    mutual fund
    Date: 2004
    Issue Date: 2009-09-18
    Abstract: 本研究探討於連續時間下，跨國投資者於匯率可預測下之最適投資決策問題。我們假設隨著時間改變，利用可預測之資訊動態修正投資決策。首先我們假設匯率可經由利率過程預測，探討相對風險趨避(CRRA)之投資經理人於跨國投資時之避險需求。研究方法是結合Cox與Huang (1989)之平賭方法與Lioui與Poncet (2003)於跨國投資所建構之財務模型。本研究歸納學習效果會影響匯率期望報酬，利用利率資訊會修正匯率過程之風險市場價值。最適投資決策因此受到調整因子之影響。因此投資人必須依照過濾進來的財務訊息(利率對匯率的改變)動態的調控持有之投資部位。最後，理論結果顯示投資部位必須針對可預測性下匯率避險效果作調整。
    In this study, we explore the effects of uncertainty about the exchange rate predictability on international portfolio choice in a continuous time setting. Uncertainty regarding to the predictive relation affects the optimal portfolio choice through dynamic learning, and leads to a state-dependent relation between the optimal portfolio choice and the investment time horizon. First we investigate the hedge demands in international portfolio management for constant relative risk averse investors where the exchange rate can be predicted by the change of interest rate. Then our approach is implemented through the use of the martingale methodology developed by Cox and Huang (1989) as proposed in the work of Lioui and Poncet (2003). Since the learning processes influence the premium of exchange rate movements, the crucial changes lie in the difference of market price of risk of the interest rate movements to the updated exchange rates. The constructed optimal investment strategy is influenced by the adjusted factors. Hence the investors should dynamically rebalance their holding portfolio according to the filtering mechanism. Finally, the theoretical results show that the adjustment for the optimal weights are required to reflect the prediction effects in hedging the exchange rate risks.
    Reference: Barberis, N., 2000. Investing for the long run when returns are predictable. Journal of
    Finance 55, 225.264.
    Bawa, V.S., Brown, S.J., and Klein R.W., 1979. Estimation Risk and Optimal Portfolio
    Choice. (North-Holland, New York).
    Brandt, M.W., 1999. Estimating portfolio and consumption choice: A conditional
    Euler equation approach. Journal of Finance 54, 1609.1645.
    Brennan, M.J., Schwartz, E.S., and Lagnado, R., 1997. Strategic asset allocation.
    Journal of Economic Dynamics and Control 21, 1377.1403.
    Campbell, J.Y., and Viceira, L.M., 1999. Consumption and portfolio decisions when
    expected returns are time varying. Quarterly Journal of Economics 114, 433.495.
    Cox, J. and Huang, C. F., 1989. Optimal consumption and portfolio polices When
    asset prices follow a di¤usion process. Journal of Economic Theory 49, 33-83.
    Cox, J. and Huang, C. F., 1991. A variational problem arisen in .nancial economics.
    Journal of Mathematical Economics 20, 465-487.
    Detemple, J.B., 1986. Asset pricing in a production economy with incomplete infor-
    mation. Journal of Finance 41, 383.391.
    Dothan, M.U., and David F., 1986. Equilibrium interest rates and multiperiod bonds
    in a partially observable economy. Journal of Finance 41, 369.382.
    Du¢ e, J.D. and Huang, C.F., 1985. Implementing Arrow-Debreu equilibria by contin-
    uous trading of few long-lived securities. Econometrica, 53 1337-1356.
    Feldman, D., 1992. Logarithmic preferences, myopic decisions, and incomplete infor-
    mation. Journal of Financial and Quantitative Analysis 27, 619.629.
    Gennotte, G., 1986. Optimal portfolio choice under incomplete information. Journal
    of Finance 41, 733.746.
    Kandel, S., and Stambaugh, R.F., 1996. On the predictability of stock returns: An
    asset-allocation perspective. Journal of Finance 51, 385.424.
    Karatzas, Ioannis, Lehoczky, J.P. and Shreve, S. 1987. .Optimal Portfolio and Con-
    sumption Decisions for a .Small Investor.on a Finite Horizon..SIAM Journal of Con-
    trol and Optimization 25, 1557.1586.
    Levy, H., Sarnat, M., 1970. International diversi.cation of investment portfolios. Amer-
    ican Economic Review 60, 668.675.
    Lipster, R.S. and Shiryayev, A.N., 2001. Statistics of Random Processes II: Applica-
    tions, Springer-Verlag, New York.
    Lioui, A. and Poncet, P., 2001. On optimal portfolio choice under stochastic interest
    rates. Journal of Economic Dynamics and Control 25, 1841-1865.
    Lioui, A. and Poncet, P., 2003. International asset allocation: a new perspective.
    Journal of Banking and Finance 27, 2203-2230.
    Liu, J., 1998. Portfolio selection in stochastic environments, Dissertation, Stanford
    University, Stanford, California.
    Long, J. B., 1990. The numeraire portfolio. Journal of .nancial Economics 26, 29-69.
    Lynch, A., and Pierluigi, B., 1998. Predictability and transaction costs: The impact
    on rebalancing rules and behavior. Working Paper, New York University.
    Merton, R.C., 1969. Lifetime portfolio selection under uncertainty: The continuous-
    time case. Review of Economics and Statistics 51, 247. 257.
    Merton, R.C., 1971. Optimum Consumption and Portfolio Rules in a Continuous Time
    Model. Journal of Economic Theory 3, 373-413
    Pliska, S., 1986. A stochastic calculus model of continuous trading: optimal portfolios.
    Mathematics of Operations Research 11, 371. 382.
    Rudof, M., Ziemba, W. T., 2004. Intertemporal Surplus Management. Journal of Eco-
    nomic Dynamics and Control 28, 975-990.
    Solnik, B., 1974. An equilibrium model of the international capital market. Journal of
    Economic Theory 8 (4), 500.524.
    Sorensen, C., 1999. Dynamic Asset Allocation and Fixed Income Management. Journal
    of Financial and Quantitative Analysis 34, 513-531.
    Stulz, R. 1986. Interest rates and monetary policy uncertainty. Journal of Monetary
    Economics 17, 331.347.
    Stulz, R. 1987. An equilibrium model of exchange rate determination and asset pricing
    with non-traded goods and imperfect information. Journal of Political Economy 95,
    1024.1040.
    Vila, J. and Zariphopoulou, T., 1997. Optimal consumption and portfolio choice with
    borrowing constraints. Journal of Economic Theory 77, 402-431.
    Williams, Joseph T., 1977. Capital asset prices with heterogeneous beliefs. Journal of
    Financial Economics 5, 219.241.
    Xia, Y. H. 2001. Learning about Predictability: The E¤ects of Parameter Uncertainty
    on Dynamic Asset Allocation. The Journal of Finance 56, 205-246.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    92358008
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923580081
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

    Files in This Item:

    File Description SizeFormat
    58008101.pdf47KbAdobe PDF21367View/Open
    58008102.pdf66KbAdobe PDF21148View/Open
    58008103.pdf14KbAdobe PDF21316View/Open
    58008104.pdf60KbAdobe PDF21217View/Open
    58008105.pdf14KbAdobe PDF21089View/Open
    58008106.pdf47KbAdobe PDF21313View/Open
    58008107.pdf102KbAdobe PDF21175View/Open
    58008108.pdf101KbAdobe PDF21143View/Open
    58008109.pdf95KbAdobe PDF21242View/Open
    58008110.pdf117KbAdobe PDF21148View/Open
    58008111.pdf142KbAdobe PDF21267View/Open
    58008112.pdf93KbAdobe PDF21193View/Open
    58008113.pdf114KbAdobe PDF21149View/Open
    58008114.pdf101KbAdobe PDF21257View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback