政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64601

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113311/144292 (79%)
造訪人次 : 50940612 線上人數 : 954

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64601

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/64601

題名:	股價指數連結型商品之投資避險策略
其他題名:	Optimal Hedging Strategy of Equity-Linked Products
作者:	黃泓智 Huang, Hong-Chih
貢獻者:	風管系
關鍵詞:	multi-period asset allocation;dynamic hedging;backward method
日期:	2009-03
上傳時間:	2014-03-12 16:03:30 (UTC+8)
摘要:	Recently, Asset liability management gains more attentions. Asset allocation has become a critical issue in financial institution. Conventionally, literatures of portfolio selections mainly focus on the issue of single-period. However, it is not appropriate to hedge a long-term liability by the means of single-period investment strategy. The main purpose of this paper is to find optimal multi-period dynamic hedging strategies which minimize the riskiness of the investment portfolio relative to the equity-linked liability. Theoretical optimal solution is obtained by the backward method of risk-minimizing hedging strategy. This paper finds that matching is concerned with the selection of assets which most closely resemble the liability cash flows, whereas multi-period optimal asset allocation is concerned with selection of assets which attain an optimal level of risk.
關聯:	財務金融學刊, 17(1), 75-106
資料類型:	article
顯示於類別:	[風險管理與保險學系] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML2	977	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.

資料載入中.....