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    题名: 極端市場狀況下原物料商品加入投資組合的表現
    Portfolio performance with commodity investments: an extreme market case
    作者: 林文凱
    Lin, Wen Kai
    贡献者: 盧敬植
    Lu, Ching Chih
    林文凱
    Lin, Wen Kai
    关键词: 原物料投資
    投資組合
    極端市場
    Commodity Investment
    Portfolio Allocation
    日期: 2008
    上传时间: 2010-12-08 15:38:05 (UTC+8)
    摘要: In this thesis, we discuss the possible diversification benefits offered by commodity futures, especially in the extreme equity market conditions. We see that adding commodity investments into portfolios could improve their performance with better diversification efficiency. However, with correlation estimation by methods developed by Longin and Solnik(2001) and Ang and Chen(2002), we see correlations between equity and commodity investments increase while they are on downside moves . The results suggest that the diversification benefits offered by commodity investment may change in different market conditions. For further examination, we divide our sample in groups ranked by the home market (U.S. equity investments) returns to see if the commodity-equity portfolio could still perform better over all-equity portfolio in different times. The statistical test shows that the commodity-equity portfolios still perform better than all-equity portfolios. We conclude that commodity investments could make portfolios better-diversified, no matter how the market conditions are.
    參考文獻: Ang, A., and J. Chen, 2002, Asymmetric correlations of equity portfolios, Journal of Financial Economics, 63, 3, 443-494
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    Bodie, Z. and V. Rosansky, 1980, Risk and return in commodity futures, Financial Analysts Journal 36, 27-39
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    Geman, H., Kharoubi, C., 2008 , WTI crude oil Futures in portfolio diversification: The time-to-maturity effect, Journal of Banking & Finance, 32(12), 2553-2559
    Gibbons, M., Ross, S. and J. Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121-1152
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    Solnik, B. H., 1974, Why not diversify internationally rather than domestically?, Financial Analysts Journal, 30(4), 48-54
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    描述: 碩士
    國立政治大學
    財務管理研究所
    94357029
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094357029
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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