政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49661
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51094959      線上人數 : 933
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49661


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/49661


    題名: 資產報酬率波動度不對稱性與動態資產配置
    Asymmetric Volatility in Asset Returns and Dynamic Asset Allocation
    作者: 陳正暉
    Chen,Zheng Hui
    貢獻者: 廖四郎
    Liao,Szu Lang
    陳正暉
    Chen,Zheng Hui
    關鍵詞: 最適投資組合
    隨機波動度
    時間轉換Lévy過程
    槓桿效果
    波動度回饋效果
    波動度不對稱
    Optimal portfolio choice
    stochastic volatility
    time-changed Lévy processes
    leverage effect
    volatility feedback effect
    asymmetric volatility
    日期: 2009
    上傳時間: 2010-12-08 16:08:12 (UTC+8)
    摘要: 本研究顯著地發展時間轉換Lévy過程在最適投資組合的運用性。在連續Lévy過程模型設定下，槓桿效果直接地產生跨期波動度不對稱避險需求，而波動度回饋效果則透過槓桿效果間接地發生影響。另外，關於無窮跳躍Lévy過程模型設定部分，槓桿效果仍扮演重要的影響角色，而波動度回饋效果僅在短期投資決策中發生作用。最後，在本研究所提出之一般化隨機波動度不對稱資產報酬動態模型下，得出在無窮跳躍的資產動態模型設定下，擴散項仍為重要的決定項。
    This study significantly extends the applicability of time-changed Lévy processes to the portfolio optimization. The leverage effect directly induces the intertemporal asymmetric volatility hedging demand, while the volatility feedback effect exerts a minor influence via the leverage effect under the pure-continuous time-changed Lévy process. Furthermore, the leverage effect still plays a major role while the volatility feedback effect just works over the short-term investment horizon under the infinite-jump Lévy process. Based on the proposed general stochastic asymmetric volatility asset return model, we conclude that the diffusion term is an essential determinant of financial modeling for index dynamics given infinite-activity jump structure.
    參考文獻: Ané, T., and H. Geman, 2000, "Order Flow, Transaction Clock, and Normality of Asset Re-turns." Journal of Finance 55, 2259-2284.
    Applebaum, D, 2004, Lévy processes and stochastic calculus (Cambridge Univ Press).
    Barndorff-Nielsen, O, 1998, "Processes of Normal Inverse Gaussian type." Finance and Sto-chastics 2, 41-68.
    Barndorff-Nielsen, O., and N. Shephard, 2001, "Non-Gaussian Ornstein-Uhlenbeck-based mod-els and some of their uses in financial economics." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 63, 167-241.
    Bekaert, G., and G. Wu, 2000 "Asymmetric volatility and risk in equity markets." Review of Financial Studies 13, 1-42.
    Benth, F., K. Karlsen and K. Reikvam, 2001, "A Note on Portfolio Management under Non-Gaussian Logreturns." International Journal of Theoretical and Applied Finance 4, 711-732.
    —, 2003, "Merton’s Portfolio Optimization Problem in a Black and Scholes Market with Non-Gaussian Stochastic Volatility." Mathematical Finance 13, 215-244.
    Bertoin, J, 1996, Lévy processes (Cambridge Univ Press).
    Black, F., 1976, "Studies of stock price volatility changes." In Meeting of the American Statistical Association, Business and Economical Statistics Section.
    Campbell, J. Y. and L. Hentschel, 1992, ‘’No News is Good News. An Asymmetric Model of Changing Volatility in Stock Return.’’ Journal of Financial Economics 31, 281-318.
    Campbell, J., A. Lo, and A. MacKinlay, 1997, The Econometrics of Financial Markets (Prince-ton University Press).
    Carr, P., H. Geman, D. Madan, and M. Yor, 2002, "The Fine Structure of Asset Returns: An Empirical Investigation." Journal of Business 75, 305-332.
    —, 2003, "Stochastic Volatility for Lévy Processes." Mathematical Finance 13, 345-382.
    Carr, P., and L. Wu, 2004, "Time-changed Lévy Processes and Option Pricing." Journal of Fi-nancial Economics 71, 113-141.
    —, 2007, "Stochastic Skew in Currency Options." Journal of Financial Economics 86, 213-247.
    —, 2008 "Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions: Disen-tangling the Multi-Dimensional s in S&P 500 Index Options." Working Paper.
    Cartea, Á., and S. Howison, 2003, Distinguished limits of Lévy-Stable processes, and applica-tions to option pricing: Mathematical Institute, University of Oxford,.
    Chacko, G., and L. Viceira, 2005, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets." Review of Financial Studies 18, 1369-1402.
    —, 2003, "Spectral GMM estimation of continuous-time processes." Journal of Econometrics 116, 259-292.
    Chernov, M., A. Ronald Gallant, E. Ghysels and G. Tauchen, 2003, "Alternative models for stock price dynamics." Journal of Econometrics 116, 225-257.
    Christie, A, 1982, "The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects." Journal of Financial Economics 10, 407-432.
    Chung, C. F., B. S. Kuo and C. Y. Yeh, 2008, "How does the Volatility Feedback Effect Affect Asymmetric Volatility and Dynamic Asset Allocation." Working Paper.
    Chunhachinda, P., K. Dandapani, S. Hamid and A. Prakash, 1997, "Portfolio Selection and Skewness: Evidence from International Stock Markets." Journal of Banking & Finance 21, 143-168.
    Clark, P, 1973, "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica 41, 135-155.
    Cont, R, 2001, "Empirical properties of asset returns: stylized facts and statistical issues." Quan-titative Finance 1, 223-236.
    Cont, R., and P. Tankov, 2004, Financial Modelling with Jump Processes (CRC Press).
    Cox, J., J. Ingersoll Jr, and S. Ross, 1985, "A Theory of the Term Structure of Interest Rates." Econometrica 53, 385-407.
    Cvitanić, J., V. Polimenis and F. Zapatero, 2008, "Optimal Portfolio Allocation with Higher Moments." Annals of Finance 4, 1-28.
    Duffie, D., J. Pan and K. Singleton, 2000, "Transform Analysis and Asset Pricing for Affine Jump-diffusions." Econometrica 68, 1343-1376.
    Eberlein, E., and U. Keller, 1995, "Hyperbolic Distributions in Finance." Bernoulli 281-299.
    Engle, R, 1982, "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica 50, 987-1007.
    Fama, E. F, 1965, "The Behavior of Stock-market Prices." Journal of Business 38, 34-105.
    Geman, H, 2002, "Pure Jump Lévy Processes for Asset Price Modelling." Journal of Banking & Finance 26, 1297-1316.
    —, 2005, "From Measure Changes to Time Changes in Asset Pricing." Journal of Banking &Finance 29, 2701-2722.
    Geman, H. and T. Ané, 1996, "Stochastic Subordination." Risk 9, 145-149.
    Geman, H., D. Madan and M. Yor, 2001, "Time Changes for Lévy Processes." Mathematical Finance 11, 79-96.
    Gron, A., B. Jørgensen and N. Polson, 2004, "Optimal Portfolio Choice and Stochastic Volatili-ty." Working Paper.
    Huang, J. and L. Wu, 2004, "Specification analysis of option pricing models based on time-changed Lévy processes." Journal of Finance 59, 1405-1439.
    Jacob, J. and A. Shiryaev, 2003, Limit Theorems for Stochastic Processes, 2nd (Berlin: Sprin-ger-Verlag).
    Jondeau, E., S. Poon and M. Rockinger, 2007, Financial Modeling under Non-Gaussian Distri-butions (Springer Verlag).
    Kallsen, J, 2000, "Optimal Portfolios for Exponential Lévy Processes." Mathematical Methods of Operations Research 51, 357-374.
    Karatzas, I. and S. Shreve, 1991, Brownian motion and stochastic calculus (Springer).
    Kraus, A. and R. Litzenberger, 1976, "Skewness Preference and the Valuation of Risk Assets." Journal of Finance 1085-1100.
    Liu, J, 2007, "Portfolio Selection in Stochastic Environments." Review of Financial Studies 20, 1-39.
    Liu, J., F. Longstaff and J. Pan, 2003, "Dynamic Asset Allocation with Event Risk." Journal of Finance 231-259.
    Ma, J., and J. Yong, 1999, Forward-backward Stochastic Differential Equations and Their Ap-plications: Differential Equations and Their Applications (Springer Verlag).
    Madan, D., P. Carr and E. Chang, 1998, "The variance gamma process and option pricing." Eu-ropean Finance Review 2, 79-105.
    Madan, D., and E. Seneta, 1990, "The Variance Gamma (VG) Model for Share Market Returns." Journal of Business 63, 511-524.
    Madan, D. and M. Yor, 2008, "Representing CGMY and Meixner Lévy Processes as Time Change Brownian Motions." Journal of Computational Finance 12, 27-47.
    Mandelbrot, B, 1963, "The of Certain Speculative Prices." Journal of Business 36, 394-419.
    Mendoza, R., P. Carr and V. Linetsky, 2008, "Time Changed Markov Processes in Unified Cre-dit-Equity Modeling." Mathematical Finance, forthcoming.
    Merton, R, 1971, "Optimum Consumption and Portfolio Rules in a Continuous-time Model." Journal of Economic Theory 3, 373–413.
    Mo, H. and L. Wu, 2007, "International Capital Asset Pricing: Theory and Evidence from Index Options." Journal of Empirical Finance 14, 465-498.
    Monroe, I, 1978, "Processes that Can Be Embedded in Brownian Motion." Annals of Probability 6, 42-56.
    Nelson, D, 1991, "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econo-metrica 59, 347-370.
    Nunno, G., T. Meyer-Brandis, B. Øksendal and F. Proske, 2006, "Optimal Portfolio for an In-sider in a Market Driven by Lévy processes." Quantitative Finance 6, 83-94.
    Øksendal, B. and A. Sulem, 2005, Applied Stochastic Control of Jump Diffusions (Sprin-ger-Verlag Berlin Heidelberg).
    Rydberg, T, 1999, "Generalized Hyperbolic Diffusion Processes with Applications in Finance." Mathematical Finance 9, 183-201.
    Sato, K, 1999, Lévy processes and infinitely divisible distributions (Cambridge Univ Press).
    Wachter, J, 2002, "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets." Journal of Financial and Quantitative Analysis 37, 63-91.
    Wu, G, 2001, "The Determinants of Asymmetric Volatility." Review of Financial Studies 14, 837-859.
    Wu, L, 2003, "Jumps and Dynamic Asset Allocation." Review of Quantitative Finance and Ac-counting 20, 207-243.
    —, 2006 "Dampened Power Law: Reconciling the Tail Behavior of Financial Asset Returns." Journal of Business 79, 1445-1474.
    —, 2008, "Modeling financial security returns using Lévy processes." In Handbook of Financial Engineering, J. Birge and V. Linetsky, eds. Elsevie
    描述: 博士
    國立政治大學
    金融研究所
    93352510
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093352510
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    35251001.pdf575KbAdobe PDF2907檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋