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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72636


    Title: 以情境轉換模型建構外匯投資組合績效分析
    Authors: 楊鎰鴻
    Contributors: 林建秀
    楊鎰鴻
    Keywords: 情境轉換模型
    馬可夫鏈
    無拋補的利率平價說
    Date: 2014
    Issue Date: 2015-01-06 10:13:46 (UTC+8)
    Abstract: 本研究為討探投資人是否可透過捕捉無拋補的利率平價說的成立期間以及預測其反轉時機，建構對應的投資策略以獲得顯著且持續的超額報酬，故採用情境轉換模型，以馬可夫鏈描述情境轉換行為，分析1999年至2012年的七個已開發經濟體的外匯資料，透過將樣本期間區分為三種情境，根據各情境特性決定相對應之最適資產配置，並以預期情境轉換機率決定投資組合調整時機，模擬投資人在現有可得資訊下所做的投資決策以檢定此投資策略是否能提升利差交易者的投資績效。
    根據樣本外實證測試結果，考慮情境因子的模擬投資策略之報酬在99%的信賴水準下顯著優於買進持有利差交易策略，且可有效降低風險，在無拋補的利率平價說成立的景氣低迷時期投資策略表現尤佳，顯示納入情境因子的考量有助提升資產配置效率，藉由預期下一期的情境可使進行利差交易的投資人具備擇時機會，幫助預測未來景氣走勢並於空頭市場時承擔較低的風險並獲得相對優異的風險調整後報酬。
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    Description: 碩士
    國立政治大學
    金融研究所
    100352021
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1003520212
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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