政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/69769
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113313/144292 (79%)
造访人次 : 50944131      在线人数 : 922
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/69769


    题名: 複製性投資組合保險策略績效之研究：蒙地卡羅模擬法
    其它题名: Performance of Synthetic Portfolio Insurance Strategies: A Monte Carlo Investigation.
    作者: 徐燕山
    贡献者: 財務管理學系
    关键词: 投資組合保險;固定要保額度策略;固定比率額度策略;混合要保額度策略
    Portfolio insurance;Fixed floor strategy;Percentage floor strategy;Mixed floor strategy
    日期: 1996
    上传时间: 2014-09-10 17:47:42 (UTC+8)
    摘要: 本研究探討三種複製性投資組合保險策略,在一般市場及崩盤市場情境下的績效表現;這三種保險策略分別為固定要保額度策略,固定比率額度策略,及混合要保額度策略;模擬研究結果顯示,在一般市場情境下,固定要保額度策略表現較佳;然而,在崩盤市場情境下,這三種保險策略均無法提供保險功能;整體來看,在崩盤市場情境下,固定比率額度策略與混合要保額度策略表現較佳。
    This paper investigates the performance of three synthetic-put portfolio insurance strategies under both normal market conditions and crash conditions. The three strategies are the fixed floor strategy, the fixed percentage floor strategy, and the mixed floor strategy. The results show that the fixed floor strategy performs best among the three strategies under normal market conditions. However, the results change dramatically under crash conditions. Overall, both the mixed floor strategy and fixed percentage floor strategy perform better than the fixed floor strategy under crash conditions. These results are important to portfolio managers who might encounter a market crash over the life of their insurance plans.
    關聯: 行政院國家科學委員會
    計畫編號NSC85-2416-H004-028
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

    文件中的档案:

    档案 描述 大小格式浏览次数
    index.html0KbHTML2841检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈