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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/33975
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| Title: | Dynamic Asset Allocation under Controlled Downside Risk |
| Authors: | 陳志成 |
| Contributors: | 廖四郎
江彌修
陳志成 |
| Keywords: | 動態配置
下方風險有限 |
| Date: | 2002 |
| Issue Date: | 2009-09-17 18:59:28 (UTC+8) |
| Abstract: | This paper provides an analytical framework for dynamic portfolio strategies that are mean-variance efficient and subjected to a principal-guaranteed rate. Specifying a numeraire known as growth-optimal portfolio, we apply martingale method instead of dynamic programming approach to solve the optimal problem. Under the general assumptions of the price dynamics being a semi-martingale with finite expectation and variance, the efficient strategies are identified as a combination of put options on minimum norm portfolio and zero coupon bonds with the maturity of investment horizon. In the case of a single factor interest rate model, we derive the closed-form formula for optimal weights on securities. We conduct numerical simulations to illustrate the performance of the optimal strategies in the case of an economy comprising a stock index fund, a bond index fund and a money market account. In addition, for different investors with various interests like principal guaranted rate and investment horizon, we also show how investors ought to allocate their funds.
This paper provides an analytical framework for dynamic portfolio strategies that are mean-variance efficient and subjected to a principal-guaranteed rate. Specifying a numeraire known as growth-optimal portfolio, we apply martingale method instead of dynamic programming approach to solve the optimal problem. Under the general assumptions of the price dynamics being a semi-martingale with finite expectation and variance, the efficient strategies are identified as a combination of put options on minimum norm portfolio and zero coupon bonds with the maturity of investment horizon. In the case of a single factor interest rate model, we derive the closed-form formula for optimal weights on securities. We conduct numerical simulations to illustrate the performance of the optimal strategies in the case of an economy comprising a stock index fund, a bond index fund and a money market account. In addition, for different investors with various interests like principal guaranted rate and investment horizon, we also show how investors ought to allocate their funds. |
| Reference: | References
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民91,台灣大學財務金融研究所 |
| Description: | 碩士
國立政治大學
金融研究所
90352006
91 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0090352006 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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