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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/89176


    Title: 連續時間模型下最適國際資產組合策略之研究
    Authors: 黃麗雲
    HUANG, LI-YUN
    Contributors: 胡聯國
    黃麗雲
    HUANG, LI-YUN
    Date: 1992
    1991
    Issue Date: 2016-05-02 15:14:55 (UTC+8)
    Abstract: 文獻上有關國際資產組合問題的研究大致從兩種不同的角度出發，一為假設一全球完全區隔(fully segmented) 的不完全資本市場，二為假設一全球完全整合(fully integrated) 的完全資本市場，前者以各國統治管轄權的表徵，如稅率、邊界管制等區分國家，後者則大部分以擁有相同購買力的地區(或以偏離購買力平價的幅度)來界定國家，國內學者胡聯國(1991 )提出以匯率實際變動偏離IRP 的幅度區分國家的看法，本論文即採用此一定義，蓋一位考慮國際資產組合的投資者，在比較國外資產報酬與國內相對資產報酬是根據利率平價理論，本文針對台灣搭配美、加、英、德、日、新等國資料發現兩國利率水準差對匯率變動的方向及幅度並不一致，因此，一旦匯率變化不符合事前利率平價套利法則，那麼以本國幣值表示的國外資產報酬率(或變異數)將會改變，所以，匯率的變化將會影響此一投資者的資產組合策略。
    Reference: [1] Adler, M., and B. Dumas. "International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, June 1983.
    [2] Anderson, R.W., and J.P. Danthine. "Cross-Hedging ," Journal of Political Economy,December 1981.
    [3] Breeden, D.T. "Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities ,"Journal of Finance, September 1979.
    [4] Cox, D.A., and H.D. Miller, The Theory of Stochastic Process,New York: Wiley, 1968.
    [5] Cox, J.D., and C. Huang, "Optimum Consumption and Portfolio Policies When Asset Prices Follow a Diffusion Process ," Journal of Economic Theory, October 1989.
    [6] Hu, L.K.(胡聯國) "International Portfolio Choice and Optimal Currency Hedge ," Graduate Institute of International Trade,. National Chengchi University, Working Paper, 1991.
    [7] Linter, J. "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets," Review of Economics and Statistics) February 1965a.
    [8] Linter, J. "Security Prices, Risk and Maximal Gains From Diversification ," Journal of Finance, December 1965b.
    [9] TvIerton, R.C. "Lifetime Portfolio Selection Under Ucertainty:The Continuouse-Time Case ," Review of Economics and Statistics, August 1969.
    [10] Merton, R.C. "Intertemporal Capital Asset Pricing Model," Econometrica, September 1973.
    [11] Merton, R.C. "Optimal Comsumption and Portfolio Rules in a Continuous-Time Model ," Journal of Economic Thoery,December 1971.
    [12] Merton, R.C. Continuous- Time Finance. Cambridge, MA:Basil Blackwell, 1990.
    [13] Mossin, J. "Equilibrium in a Capital Asset Market ," Econometrica,October 1966.
    [14] Sharp, W.F. "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk ," Journal of Finance,September 1964.
    [15] Sharp, W.F. Portfolio Thoery and Capital Markets) New York:McGraw-Hill 1970.
    [16] Solnik, B. International Investments. Reading,MA:AddisonWesley,1988.
    [17] Solnik, B. "An Equilibrium Model of the International Capital Market ," Journal of Economic Theory August 1974.
    [18] Stulz, R.M. "A Model of International Asset Pricing ," Journal of Financial Economics) December 1981.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004622
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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