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| Title: | 負債導向資產配置與固定收益組合
Liability Driven Asset Allocation and Fixed Income Management |
| Authors: | 廖珂平 |
| Contributors: | 張士傑
鄭宗記
廖珂平 |
| Keywords: | 間接效用函數
負債複製投資組合
擬似動態過程
債券定價誤差 |
| Date: | 2013 |
| Issue Date: | 2015-02-03 10:19:08 (UTC+8) |
| Abstract: | 本研究探討固定收益債券為主的多期資產配置,假設不同風險偏好程度的投 資人,於設定之投資期限內,達到最適投資策略。本研究之模型主要參考 Cox & Huang(1989, 1991)所提出之平賭概念與 Sorensen(1999)利用 Vasicek 模型模擬市場 利率,在完備市場假設下,建構間接效用函數,利用擬似動態規劃方法,求得最 適配置結果。且考量債券定價誤差下,討論投資組合之變化,以及給定負債組合 及預估現金流量下之最適配置結果。
本研究結果顯示,債券訂價誤差之假設對於投資組合有明顯影響,在誤差愈 大時,因債券所含之隱藏獲利愈高,影響配置結果,透過假設不同債券定價誤差, 分析影響整體投資組合之結果以及對於股票和現金部位之影響,而在考量負債面 下,對於投資組合最適化之方法與前述相同,因考量負債現金流量,使原始投資 組合再加入所能符合負債現金流之債券項目即可。 |
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| Description: | 碩士
國立政治大學
風險管理與保險研究所
101358026
102 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0101358026 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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