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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/36702


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    题名: 限制下方風險的資產配置
    Controlling Downside Risk in Asset Allocation
    作者: 簡佳至
    Chien, Chia-Chih
    贡献者: 陳松男
    Chen, Son-Nan
    簡佳至
    Chien, Chia-Chih
    关键词: 資產配置
    厚尾
    Bootstrap法
    下方風險
    涉險值
    最低報酬要求限制
    Asset Allocation
    Fat-tail
    Bootstrap
    Downside Risk
    Value at Risk
    Shortfall Constraint
    日期: 2000
    上传时间: 2009-09-18 19:19:46 (UTC+8)
    摘要: 由於許多資產報酬率的分配呈現厚尾的現象，因此，本文探討將最低報酬要求限制條件加入傳統的平均數╱變異數模型中，考慮在分配已知的情形下，假設資產報酬率的分配為t分配及常態分配，來求取最適的資產配置；在分配未知的情形下，利用古典Bootstrap法、移動區塊Bootstrap法及定態Bootstrap法的抽樣方法來模擬資產報酬率的分配形式，並利用模擬的資產報酬率分配求出最適的資產配置。
    同時，本文亦探討資產配置在風險管理上的運用，當分配已知時，若對分配參數的估計正確，則使用的最低要求報酬率就是此資產配置的涉險值，反之，若對參數的估計錯誤時，會對資產配置產生很大的影響及風險管理上的不正確；當分配未知時，利用模擬方法來產生分配，則使用的最低要求報酬率可看成是此資產配置的涉險值。
    實證部分選取資料分成本國及全球，研究發現對於何種分配或模擬方法的資產配置績效最好？沒有一定的結論。其原因是各種分配或模擬方法皆必須視資料的性質而定，因此，本論文的貢獻僅在建議使用厚尾分配及利用模擬方法，來符合資產報酬率呈現厚尾的現象，並利用此分配，以期在考慮最低報酬要求限制條件下的資產配置更為精確。
    The distributions of many asset returns tend to be fat-tail. This paper attempts to add the shortfall constraint in Mean-Variance Analysis. When the distribution is known, we find the optimal asset allocation under student-t distribution and normal distribution. On the other hand, we use Classical Bootstrap, Moving Block Bootstrap, and Stationary Bootstrap to stimulate the distribution of asset return, and to obtain the optimal asset allocation.
    We also examine the risk management of asset allocation. When we use the correct estimators of parameters under the known distribution, the threshold in shortfall constraint is the value-at-risk in asset allocation. Otherwise, if using the wrong estimators, we get the incorrect asset allocation and the improper risk management. When the distribution is unknown, using simulation to generate the distribution, the value-at-risk is the threshold.
    The empirical study is conducted in two parts, domestic and global asset allocation. The results cannot point out which distributions and simulations are suitable. They depend on the data’s property. The contribution of this paper is to introduce some methods to fit the fat-tail behavior of asset return in asset allocation.
    參考文獻: 中文部分
    1.陳松男，「全球化投資動態分析（上、下冊）」，台北金融研究發展基金會，民國八十四年六月。
    2.陳松男，「現代投資學」，新陸書局，民國八十六年七月。
    3.陳松男，「財務經濟學」，華泰書局，民國八十七年五月。
    4.張雅惠，「應用風險值評估共同基金之績效」，國立政治大學金融學系研究所碩士論文，民國八十九年六月。
    5.江義玄，「投資組合之風險評價：新模擬方法的運用」，國立政治大學企業管理研究所研士論文，民國八十九年六月。
    6.游欣慧，「多種情境模式資產配置之研究」，國立台灣大學財務金融研究所碩士論文，民國八十八年六月。
    7.閔志清，「台灣基金資產配置之研究」，國立台灣大學財務金融研究所碩士論文，民國八十六年六月。
    8.齊仁勇，「國際資產配置與匯率風險之探討」，國立台灣大學商學研究所碩士論文，民國八十五年六月。
    英文部分
    1.Abramowitz, M., and I.A. Stegun. Handbook of Mathematical Functions. NEW York: Dover Publication, 1970.
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    5.Chopra, V.K., and W.T. Ziemba. “The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice.” Journal of Portfolio Management, 19 (1993), pp. 6-11.
    6.de Vries, C.G. “Stylized Facts of Nominal Exchange Rate Return.” in F. van der Ploeg (ed.), The Handbook of international Macroeconomics. Cambridge: Blackwell, 1994, pp. 348-389.
    7.Efron, B. “Bootstrap methods: Another look at the jackknife.” Annals of Statistics 7, 1979, pp. 1-26.
    8.Efron, B., and Tibshirani, An Introduction to the Bootstrap, New York: Chapman & Hall, 1993.
    9.Harlow, W.V., and R. Rao. “Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence.” Journal of Financial and Quantitative Analysis, September 1989.
    10.Jorion, P. “Risk2: Measuring the Risk in Value at Risk.” Financial Analysts Journal, November/December 1996, pp. 47-56.
    11.Jorion, P. Value at Risk: The New Benchmark for Managing Financial Risk, (2nd ed.), McGraw-Hill, 2000.
    12.Kunsch, H.R. “The Jackknife and the Bootstrap for General Stationary Observations.” The Annals of Statistics 34, 1989, pp.1217-1241.
    13.Leibowitz, M.L., and Terence C. Langeteig. “Shortfall Risk and the Asset Allocation Decision: A Simulation Analysis of Stock and Bond Risk Profiles.”Journal of Portfolio Management, Fall 1989.
    14.Leibowitz, M.L., S. Kogelman, and Thomas E. Klaffky. “A Shortfall Approach to Duration Management.” New York: Salomon Brothers Inc, 1990.
    15.Leibowitz, M.L., and S. Kogelman. “Asset Allocation under Shortfall Constraints.” Journal of Portfolio Management, winter 1991, pp. 18-23.
    16.Leibowitz, M.L., S. Kogelman, and L.N. Bader. “Asset Performance and Surplu7s Control: A Dual Shortfall Approach.” Journal of Portfolio Management, winter 1992, pp. 28-37.
    17.Leibowitz, M.L., L.N. Bader, S.Kogelman. Return Targets And Shortfall Risks: Studies in Strategic Asset Allocation. IRWIN, 1996.
    18.Liu, R. Y., and Singh, K. “Moving Blocks Jackknife and Bootstrap Capture Weak Dependence.” Exploring the Limits of Bootstrap, eds. R. LePage and L. Billard, New York: John Wiley, 1992.
    19.Lucas, A., and P. Klaassen. “Extreme Returns, Downside Risk, and Optimal Asset Allocation.” Journal of portfolio management, Fall 1998.
    20.Politis, D., and Romano, J. “A Genernal Resampling Scheme for Triangular Arrays of α-Mixing Random Variables with Application to the Problem of Spectral Density Estimation.” The Annals of Statistics 20, 1992,pp.1985-2007.
    21.Politis, D., and Romano, J. “A Circular Block Resampling Procedure for Stationary Data.” Exploring the Limits of Bootstrap, eds. R. LePage and L. Billard, New York: John Wiley, 1992.
    22.Politis, D., and Romano, J. “The Stationary Bootstrap.” Journal of the American Statistical Association, 1994, pp.1303 1313.
    23.Praetz, P.D. “The Distribution of Share Price Changes.” Journal of Business 45, 1972, pp. 49-55.
    24.Sharp, William F., and Lawrence G. Tint. “Liabilities: A New Approach.”Journal of Portfolio Management, Winter 1990.
    描述: 碩士
    國立政治大學
    金融研究所
    88352009
    89
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002001537
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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