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    题名: 資產配置之動態規劃
    An Application of Dynamic Asset Allocation: Two-period Investigation
    作者: 蔡秉寰
    Tsai, Ping-Huan
    贡献者: 陳松男
    Chen, Son-Nan
    蔡秉寰
    Tsai, Ping-Huan
    关键词: 多期資產配置
    動態規劃
    馬可夫性質
    均數/變異數模型
    隨機規劃
    multiperiod asset allocation
    dynamic programming
    markov property
    mean-variance
    stochastic programming
    multistage decision process
    日期: 2001
    上传时间: 2016-04-18 16:27:52 (UTC+8)
    摘要: 資產配置乃是將資金分散投資到主要的資產類別中，諸如股票、債券、現金等。傳統的均數/變異數方法在資產配置上早已被廣泛的運用。但是，現今的金融情勢多變，多期配置的需求提高，傳統均數/變異數方法只處理單一期間的資產配置，且反應未來的能力不佳，顯然已經不適用。
    Asset allocation is the process of dividing an investment fund among major asset classes such as equities, bonds, cash, etc. Traditional mean-variance portfolio selection is widely used for asset allocation. However, as time goes by, the financial condition changes rapidly. The method of mean-variance analysis has some limitations. It not only can’t deal with multiperiod asset allocation, but also cannot reflect future economic circumstances, especially for long-term investments.
    參考文獻: 英文部分
    1.Bierman, H. Jr., “A utility approach to the portfolio allocation decision and the investment horizon”, The Journal of Portfolio Management, Fall 1998, 81-87.
    2.Birge, J. R., “Stochastic programming computation and applications”, INFORMS Journal on Computing, v9 (2), Spring 1997.
    3.Birge, J. R. & Francois Louveaux, “Introduction to stochastic programming”, 1997, Springer-Verlag.
    4.Carino, David R. & Andrew L. Turner, “Multiperiod asset allocation with derivative assets”, In: Ziemba W.T., Mulvey, J.M., eds., Worldwide Asset and Liability Modeling, Cambridge University Press, 182-204.
    5.Chopra, V.K. & W.T. Ziemba, (1993) “The effect of errors in means, variances, and covariances on optimal portfolio choice”, Journal of Portfolio Management, 1993
    6.Hensel, C.R., D. Don Ezra, & John H. Ilkiw, (1991) “The importance of the asset allocation decision”, Financial analysts Journal, July/August, 1991.
    7.Marans, C. D., I. P. Androulakis, C. A. Floudas, A. J. Berger, & J. M. Mulvey, “Solving long-term financial planning problems via global optimization”, Journal of Economic Dynamics and Control, 21, 1997, 1405-1425.
    8.Messina, E., & G. Mitra, (1997) “Modelling and analysis of multistage stochastic programming problems: A software environment”, European Journal of operational Research, v101, p343-359.
    9.Mulvey, J.M. (2000) “Introduction to financial optimization: Mathematical Programming Special Issue”, Mathematical Programming, 89(2), 2001, 205-216.
    10.Mulvey, J. M., & W.T. Ziemba, (1998) “Asset and liability management systems for long-term investors: discussion of the issues”, In: Ziemba W.T., Mulvey, J.M., eds., Worldwide Asset and Liability Modeling, Cambridge University Press, 3-38.
    11.Musumeci, Jim, & Joe Musumeci, “A dynamic programming approach to multiperiod asset allocation”, Journal of Financial Services Research, 15(1), 1999, 5-21.
    12.Koskosidis, Yiannis A. & Antonio M. Duarte, “A scenario-Based Approach to Active Asset Allocation”, The Journal of Portfolio Management, Winter(1997), 74-85.
    中文部分
    1.張宇恭，動態規劃—作業研究之二（理論及應用），民國67年，三民書局。
    2.游欣慧，多種情境模式資產配置之研究，台大財務金融研究所碩士論文，民國89年。
    3.投資分析+Matlab應用，財務金融研究中心（銘傳大學），民國88年。
    描述: 碩士
    國立政治大學
    金融研究所
    88352005
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002001539
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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