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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/83329
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83329


    Title: 投資組合保險策略—在台灣股市之相關研究
    Authors: 邱瑜明
    Chiu, Yu-Ming
    Contributors: 陳松男
    邱瑜明
    Chiu, Yu-Ming
    Keywords: 投資組合保險
    資產配置
    Portfolio Insurance
    Asset Allocation
    Date: 2000
    Issue Date: 2016-03-31 16:36:08 (UTC+8)
    Abstract: 投資組合保險的概念可運用於較不願承受風險或是對於股市走勢不清楚的投資者身上,這種策略既可以保障原本所投資的本金,又可以參與股票市場的上方獲利,一般大眾可以利用投資組合保險策略作為投資的準則之外,投資組合保險的概念更可以運用在退休基金的管理、保本基金的設計上。
    Reference: 中文部分:
    1. 林筠,“投資組合保險之應用及績效評估”,行政院國家科學委員會專題研究計畫成果報告,民國80年7月。
    2. 呂穎彰,“資產組合保險合成賣權(Synthetic Put)績效的研究”,私立輔仁大學管理學研究所,民國81年6月。
    3. 劉懋楠,“投資組合保險策略之整合—台灣股票市場之實證研究”,台大商學研究所碩士論文,民國82年6月。
    4. 廖俊強,“變異數估計對投資組合保險策略的績效影響評估”,國立政治大學財務金融研究所,民國84年6月。
    5. 楊昌博,“投資組合保險策略在台灣股市之實證研究—七種保險策略績效之比較”,成功大學企業管理研究所碩士論文,民國84年6月。
    6. 陳松男,“投資組合保險策略”,選擇權與期貨,民國85年。
    7. 林炯垚,“投資組合保險原理之應用—保本型基金設計”,證券櫃臺,民國85年12月,1-23頁。
    8. 陳玫纓,“台灣退休基金資產配置與投資組合保險策略之研究”,台灣大學財務金融研究所碩士論文,民國86年6月。
    9. 詹俊炫,“投資組合保險之應用—國內保本基金之設計”,中山大學財務管理研究所碩士論文,民國88年6月。
    英文部分:
    1. Benninga , Simon , “Financial Modeling” ,The MIT Press Cambridge, Massachusetts.
    2. Black ,Fisher and Robert Jones, “Simplifying Portfolio Insurance”, The Journal of Portfolio Management, Fall 1987, pp 48-51.
    3. Black ,Fisher and Perold, Andre F., “Theory of Constant Proportion Portfolio Insurance”, Journal of Economic Dynamics & Control, Jul/Oct 1992, pp.403-426.
    4. Black . Fisher and Rouhani R. , “Constant Proportion Portfolio Insurance and the Synthetic Put Option: A Comparison”.
    5. Brennan, Michael J. and Eduardo S.Schwartz, “Time-Invariant Portfolio Insurance Strategies”, Journal of Finance, June 1998 pp283-299.
    6. Clarke , R. G. and Arnott, R. D. “The Cost of Portfolio Insurance: Tradeoffs and Choices”, Financial Analysts Journal , Nov/Dec 1987. Pp.35-47.
    7. Donald L.Luskin “Portfolio Insurance A Guide to Dynamic Hedging” , 1988.
    8. Estep, tony and Mark Kritzman , “TIPP: Insurance With out Complexity ” , The Journal of Portfolio Management, Summer 1988,pp38-42.
    9. Etzioni, Ethan S, “Rebalance Disciplines For Portfolio Insurance”, Journal of Portfolio Management, Fall 1986,pp59-62.
    10. Garcia, C.B. and F.J Gould, “An Empirical Study of Portfolio Insurance” , Financial Analysts Journal ,July-Aug 1987 ,pp44-54.
    11. Hoggard, T. A.E. Whalley and P.Wilmott, “Hedging Option Portfolios in the Presence of Transaction Cost” , Advances in Futures and Options Research, vol. 7, pp21-35.
    12. Leland, Hayne E. “Option Pricing and Replication with Transaction Costs”, Journal of Finance, Dec,1985,pp1283-1302.
    13. Rubinstein, Mark, “Alternative Paths to Portfolio Insurance” , Financial Analyses Journal , Jul-Aug, 1985, pp42-53.
    14. Rubinstein, Mark and Leland, Hayne E. , “Replicating Options with Positions in Stock and Cash”, Fihnanciaal Analyses Journal , Jul-Aug, 1981, pp63-73.
    15. Perold, Andre F. and William F. Sharpe, “Dynamic Strategies for Asset Allocation”,Financial Analysts Journal ,Jan-Feb 1988, pp16-26.
    16. Roger G., Clarke and Robert D.Arnott, “The Cost of Portfolio Insurance: Tradeoffs and Choices”, Financial Analysts Journal , November – December, 1987 pp35-47.
    17. Trippi R.R and Harriff R.B., “Dynamic Asset Allocation Rules : Survey and Synthesis” Journal of Portfolio Management , Summer 1991, pp. 19-26.
    18. Zhu, Yj and Robert C. Kavee, “Performance of Portfolio Insurance Strategies”, The Journal of Portfolio Management, Spring 1988,pp48-54.
    Description: 碩士
    國立政治大學
    金融研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002077
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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