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    題名: 匯率風險下之最適跨期投資組合
    作者: 黃于玶
    貢獻者: 張士傑
    黃于玶
    關鍵詞: 匯率風險
    跨期投資組合
    平賭理論
    風險波動度
    電腦模擬
    exchange rate risk
    intertemporal investment
    martingale
    volatility
    simulation
    日期: 2008
    上傳時間: 2010-12-08 16:34:49 (UTC+8)
    摘要: 本文研究保險人於匯率風險下之最適跨期投資組合。隨著資本市場全球化發展，從事國外投資受到匯率風險之影響加劇。本研究提出動態投資組合模型，針對壽險業之利變型商品，分析保險人於匯率風險之下之最適跨期投資組合。考慮資產集合包含本國現金、本國指數型股票基金、外國現金和外國指數型股票基金四項標的。本文研究方法主要以Cox & Huang(1989, 1991)平賭理論處理最適投資議題，將多期問題變為單期，求得保險人之最適投資組合。最後本文針對不同的匯率走勢與匯率風險波動度，利用電腦模擬，觀察不同風險趨避程度保險人之投資組合變化。
    本文結果歸納如下：
    1. 於風險市場價值、波動度和國內外無風險短期利率為定值下，保險人最適組合分別是擁有固定比例本國股票部位，外國股票部位則與匯率走勢呈負相關，而本國現金部位與外國現金部位呈現相反趨勢。發現匯率增量趨勢與外國現金帳戶、外國指數型股票基金和本國現金部位趨勢相同。
    2. 匯率風險將影響保險人持有外國資產意願。若匯率風險波動度由0.1提高至0.3，則外國現金部位之最大值會從6.23下降到0.66。而外國股票持有部位於短期會增加，但隨著投資期限增加而逐漸遞減。同時短期增加之幅度小於外國現金減少之部分。整體而言，持有外國資產比例隨匯率風險波動度變大而遞減。

    關鍵字：匯率風險、跨期投資組合、平賭理論、風險波動度、電腦模擬
    參考文獻: Anthony, M. and MacDonald, R., 1998. On the mean reverting properties of target zone exchange rates: some evidence from the ERM. European Economic Review 42, 1492-1523.
    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.
    Chiou, W. P., 2009. Benefits of international diversification with investment constraints: An over-time perspective. Journal of Multinational Financial Management 19, 93-110.
    Fletcher, J. and Marshall, A., 2005. An empirical examination of the benefits of international diversification. Journal of International Financial Markets, Institutions & Money 15, 455-468.
    Grubel, H. G. 1968. Internationally diversified portfolios: Welfare gain and capital flows. The American Economic Review 58, 1299-1314.
    Hui, C. H., Lo, C. F., Yeung, V. and Fung, L. 2008. Valuing foreign currency options with a mean-reverting process: A study of Hong Kong dollar. International Journal of Finance and Economics 13, 118-134.
    Lioui, A. and Poncet, P., 2001. On optimal portfolio choice under stochastic interest
    rates. Journal of Economic Dynamics and Control 25, 1841-1865.
    Lioui, A. and Poncet, P., 2003. International asset allocation: a new perspective.
    Journal of Banking and Finance 27, 2203-2230.
    Merton, R. C., 1971. Optimum consumption and portfolio rules in a continuous-time
    case. Journal of Economy Theory 3, 373-413.
    Merton, R. C., 1992. Continuous time finance, Cambridge, Blackwell.
    Rose, A. K. and Svensson, L., 1994. European exchange rate credibility before the fall. European Economics Review 38, 1185-1216.
    Sorensen, C., 1999. Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis 34, 513-531.
    Ziobrowski, B. J. and Ziobrowski, A. J., 1995. Exchange rate risk and internationally diversified portfolios. Journal of International Money and Finance 14, 65-81.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    96358020
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096358020
    資料類型: thesis
    顯示於類別:[風險管理與保險學系] 學位論文

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