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    题名: Optimal Asset Allocation with Minimum Guarantees
    附最低保證下之最適資產配置
    作者: 陳姵吟
    Chen,Pei-Yin
    贡献者: 張士傑
    Chang, Shi-Cheil
    陳姵吟
    Chen,Pei-Yin
    关键词: minimum guarantee
    stochastic variation
    interest rate risk
    market neutral valuation
    mutual fund
    日期: 2003
    上传时间: 2009-09-18 19:24:01 (UTC+8)
    摘要: 本研究中，考慮連續時間下，附最低保證之長期最適投資策略；在利率模型中，為較能符合現實狀況，我們採用CIR模型；另外，在此策略中，我們將投資人之風險偏好加入模型中研究，最適化投資人到期時財富之效用函數，並用Cox & Huang之市場中立評價方法來解決數學模型問題。此篇研究顯示，最適之投資策略可以等價於某些共同基金之投資組合，這些共同基金能利用金融市場上之主要資產(market primary assets)來複製。
    In this study, we consider a portfolio selection problem for long-term investors. Dynamic investment
    strategy with the continuous-time framework incorporating the minimum guarantees are
    constructed. Maximizing expected utility of the terminal wealth is employed by investors to trade
    off profits in good future state against losses incurred in worse states. Follow the previous works
    of Deelstra et al. (2003), we concentrate on the simplest case of a one-factor Cox-Ingersoll-Ross
    (CIR) model in formulating the stochastic variation from the interest rate risks. Under the market
    completeness assumption, the fund growth is modelled under the market neutral valuation and
    the optimal rules are mapped into the static variational problem of Cox and Huang (1989). In
    this study, we show that the optimal portfolio is equivalent to a certain mutual fund that can be
    replicated by the market primary assets
    參考文獻: Bajeux-Besnainou, 2003. Dynamic asset allocation for stocks, bonds, and cash. Journal of Business 76, 263-287.
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    Basak, S., 1995. A general equilibrium model of portfolio insurance, Review of Financial Study 8, 1059-1090.
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    Cox, J. and Huang, C. F., 1989. Optimal consumption and portfolio policies when asset prices follow a diffusion process, Journal of Economic Theory 49, 33-83.
    Cox, J. and Huang, C. F., 1991. A variational problem arising in financial economics. Journal of Mathematical Economics 20, 465-487.
    Cox, J. C., Ingersoll, J. E. and Ross, S. A., 1985. A theory of the term structure of interest rates. Econometrica 53, 385-408.
    Deelstra, G., Grasselli, M. and Koehl, P. F., 2000. Optimal investment strategies in a CIR framework. Journal of Applied Probability 37, 936-946.
    Deelstra, G., Grasselli, M. and Koehl, P. F., 2003. Optimal investment strategies in the presence of a minimum guarantee. Insurance:Mathematics and Economics 33, 189-207.
    Dempster, M. A. H., Evstigneev, I. V. and Schenk-Hoppe, K.R., 2003. Exponential growth of fixed-mix strategies in stationary asset markets, Finance and Stochastics, 7, 263-276.
    Devolder, P., Princep, M. B. and Fabian, I. D., 2003. Stochastic optimal control of annuity contracts, Insurance: Mathematics and Economics 33, 227-238.
    Duffie, J. D. and Huang, C. F., 1985. Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities, Econometrica, 53 1337-1356.
    Grossman, S., and Z. Zhou, 1996. Equilibrium analysis of portfolio insurance, Journal of Finance 51, 1379-1403.
    Karatzas, I., 1989. Optimization problems in the theory of continuous trading. Journal of Control and Optimization 27, 1221-1259.
    Karatzas, I., and Shreve, S., 1991. Brownian Motion and Stochastic Calculus, Second ed. Springer-Verlag, Berlin.
    Karatzas, I., Lehoczky, J. P. and Shreve, S., 1987. Optimal portfolio and consumption decision for a `small investor` on a finite horizon. SIAM. Journal on Control and Optimization 25, 1557-1586.
    Long, J. B., 1990. The numeraire portfolio. Journal of Financial Economics 26, 29--69.
    Markowitz, H., 1959, Portfolio Selection: Efficient Diversification of Investment, John Wiley, New York.
    Merton, R. C., 1971. Optimum consumption and portfolio rules in a continuous-time case. Journal of Economy Theory 3, 373-413.
    Merton, R. C., 1969. Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economics and Statistics 51, 247--257.
    Merton, R. C., 1973. An intertemporal capital asset pricing model. Econometrica 41 (5), 867--887.
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    Pliska, S., 1986. A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research 11, 371--382.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    91358019
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0091358019
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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