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    題名: 退休與保險基金之策略性資產配置---預測學習效果下之動態避險(III)
    其他題名: Strategic Asset Allocation for Pension and Insurance Fund---Dynamic Hedging through Learning Predictability
    作者: 張士傑
    貢獻者: 國立政治大學風險管理與保險學系
    行政院國家科學委員會
    關鍵詞: 動態資產配置;通貨膨脹;可預測性;學習效果
    Time horizon;expected utility;volatility;risk averse;improvement rate
    日期: 2009
    上傳時間: 2012-10-22 15:45:31 (UTC+8)
    摘要: 本研究探討長期投資人(諸如保險基金、退休金基金、高淨值自然人等) 面臨通貨膨脹風險之最適投資決策。就長期基金投資決策者而言，通貨膨脹是無可避免卻又不易量化之風險，因為各國僅公布與之相關消費者物價指數而無實值通貨膨脹相關數值，本研究延伸Brennan和Xia (2002)模型，以消費者物價指數修正通貨膨脹動態過程。利用貝式過濾方法(Bayesian Filtering Method)，將含有雜訊之消費者物價指數資訊，透過驗後分配估計通貨膨脹動態過程。於學習效果下完備化交易市場，以Cox and Huang (1989, 1991)依帄賭過程描述資產成長過程，求解資產公帄價格，針對滿足定值相對風險趨避(Constant Relative Risk Aversion，CRRA)效用之決策者，分析最適投資組合特性。
    Campbell and Viceira (2001) were the first to incorporate inflation risk into the optimal portfolio problem and found that the investor decreased the holding weights of long term bonds in the absence of inflation-linked underlying assets. Xia (2001) found that opportunity cost was significantly substantial when investors ignored the learning mechanism of uncertainty parameters and used the learning method to predict the parameter of the dynamics of stock price. In this study, we not only show that the learning process increases the utility value of terminal wealth, but also analyze the effect of learning process on the expected utility value of terminal wealth. The results are as follows. 1. Investment horizon, instantaneous volatility of inflation rate and risk attitude positively affects the learning process on the terminal wealth and its expected utility. The effects are more significant when the investment horizon, volatility and risk-averse attitude increase. 2. When volatility of the consumer price index and the estimation error increase, the learning ability enhance the expected wealth and utility. However, the improvement rate of utility decrease since investors becomes hardly learn from the inflation rate.
    關聯: 應用研究
    學術補助
    研究期間:9808~ 9907
    研究經費:990仟元
    資料類型: report
    顯示於類別:[風險管理與保險學系] 國科會研究計畫

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