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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94445


    Title: 股價學習效果下之最適跨國投資策略
    Authors: 謝祐中
    Contributors: 張士傑
    謝祐中
    Keywords: 跨國投資
    貝氏過濾法
    平賭方法
    最適投資策略
    學習效果
    Date: 2007
    Issue Date: 2016-05-06 16:38:27 (UTC+8)
    Abstract: Xia（2001）運用動態學習方法預測股價，利用Hamilton-Jacobi-Bellman偏微分方程式（PDE）解最適投資組合策略。本文以Cox和Huang（1989）之平賭方法求出債券價格過程以及最適投資策略，並將問題延伸至跨國投資策略，增加兩項國外資產：外國股票以及外國貨幣帳戶，將匯率風險納入最適的投資組合中。
    本文引用Xia（2001）的動態學習方法，以股利率（dividend yield）作為預測變數，假設股價成長率和預測變數－股利率－呈動態線性關係，進而依Lipster和Shiryayev（1978）貝氏過濾法預測股價之動態更新過程，並假設投資人財富效用為CRRA（Constant Relative Risk Aversion）效用函數，在給定風險趨避係數的情況下，極大化期末期望財富效用，以求得最適投資策略解，並進行數值分析。
    本研究經數理推導以及數值分析發現以下具體的結果：
    1. 最適投資策略與匯率風險以及學習效果有關：經數理推導發現匯率風險影響國外貨幣帳戶的投資比例，而股價的學習效果反映在市場風險市價上，進而影響股票投資比例。
    2. CRRA效用下最適投資策略可分為市場投資組合及固定收益投資組合：給定風險溢酬以及風險趨避係數下，國內外股票投資比例呈現固定常數，而固定收益部分則跟投資期限有關，其投資比例是投資期限的函數。
    3. CRRA效用下最適債券比例隨著風險趨避程度增加而降低：數值分析發現投資人在債券上投資的比例與風險偏好相關，越積極的投資人投資比例越高，且較保守的投資人越接近到期期限，債券持有比例上升速度較快。
    4. 投資人的效用隨著已知股價波動度的增加而遞減：在1,000次的模擬後，發現在股價學習效果下，投資人的期末期望財富效用會受到股價波動度的影響，波動越大則影響學習效果，進而造成效用降低。
    關鍵字：跨國投資、貝氏過濾法、平賭方法、最適投資策略、學習效果
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    Brennan, M. J. and Xia, Y. H., 2002. Dynamic asset allocation under inflation. Journal of Finance 57, 1201-1238.

    Cox, J. C. and Huang, C. F., 1989. Optimum consumption and portfolio policies when asset price follow a diffusion process. Journal of Economic Theory 49, 33-83.

    Cox, J. and Huang, C. F., 1991. A variational problem arisen in financial economics. Journal of Mathematical Economics 20, 465-487.

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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    94358023
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094358023
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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