政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/77015
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77015


    Title: 狀態轉換下之外匯利差交易最適投資組合分配
    Other Titles: Optimal Carry Trade Portfolio Choice under Regime Shifts
    Authors: 林建秀
    Contributors: 金融系
    Keywords: 遠期溢價迷思;外匯利差交易;馬可夫狀態轉換模型;最適投資組合分配
    Date: 2013
    Issue Date: 2015-07-28 15:10:38 (UTC+8)
    Abstract: 本計畫研究外匯市場利差交易的最適外幣資產分配問題。過去研究顯示外匯市場上有所謂的遠期溢價迷思，即利差交易在大多數的時間有超常獲利。然而，在2008年全球金融危機期間，利差交易發生反轉，進而彌平了獲利。本研究採取了馬可夫狀態轉換模型去捕捉利差交易和外匯市場投資組合的聯合報酬分配的變動。此外，我們也進一步考慮狀態變動對投資人最適外幣投資組合分配的影響。本研究預期發現在投資人考慮狀態轉換的風險下，最適外幣投資組合將隨著市場狀態改變而且顯著改變，並且投資期間的長短也將影響最適外幣投資組合分配。
    Relation: 計畫編號NSC102-2410-H004-063
    Data Type: report
    Appears in Collections:[Department of Money and Banking] NSC Projects

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