政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64845

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51621172 Online Users : 491

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/64845

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64845

Title:	Elucidating Asymmetric Volatility in Asset Returns and Optimizing Portfolio Choice Using Time-Changed Lévy Processes
Authors:	陳正暉;廖四郎 Chen, Zheng-Hui;Liao, Szu-Lang
Contributors:	金融系
Keywords:	Optimal portfolio choice;stochastic volatility;time-changed Lévy processes;leverage effect;volatility feedback effect;asymmetric volatility
Date:	2010-06
Issue Date:	2014-03-24 13:50:59 (UTC+8)
Abstract:	This study significantly extends the applicability of time-changed Lévy processes to the portfolio optimization. The leverage effect directly induces the intertemporal asymmetric volatility hedging demand, while the volatility feedback effect exerts a minor influence via the leverage effect under the pure-continuous time-changed Lévy process. Furthermore, the leverage effect still plays a major role while the volatility feedback effect just works over the short-term investment horizon under the infinite-jump Lévy process. Based on the proposed general stochastic asymmetric volatility asset return model, we conclude that the diffusion term is an essential determinant of financial modeling for index dynamics given infinite-activity jump structure.
Relation:	財務金融學刊, 18(2), 135-166
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML2	1253	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...