Dissertation/ Thesis
跨期國際投資組合之模型建構 ; International Portfolio Management for Long Term Investors: Models and Illustrations
| العنوان: | 跨期國際投資組合之模型建構 ; International Portfolio Management for Long Term Investors: Models and Illustrations |
|---|---|
| المؤلفون: | 宣葳 |
| المساهمون: | 張士傑 |
| سنة النشر: | 2004 |
| مصطلحات موضوعية: | 跨國投資組合, 馬可夫隨機過程, 資產管理, International Portfolio Management, Markov Processes, eco, manag |
| الوصف: | 碩士 ; 國立政治大學 ; 風險管理與保險研究所 ; 91358027 ; 93 ; 在此篇論文中我們考慮連續時間架構下, 加入匯差風險與利率風險之跨國投資組合問題. 延續 Lioui, Poncet (2003) 的研究架構, 我們考慮 國內外債券股票與現金的投資組合, 以martingale方法求解避險操作與最佳投資策略. ; In this study, we investigate the hedge demands in international portfolio management under a general continuous time framework for constant relative risk averse investors where, in particular, exchange rate risk and the interest rate risk are incorporated. Within this international economy, the changes of real exchange rates, real interest rates and stock prices are assumed to follow the Markovian processes whose drifts and diffusion parameters are driven by certain state variables. Our approach is through the use of the martingale methodology developed by Cox and Huang (1989, 1991) as proposed in the work of Lioui and Poncet (2003). Following their framework, we consider the economy of the investors that consists of one foreign currency and the domestic one, together with their bond portfolios and stock indices. Adding to the previous works, we have compared the obtained optimal strategies with some prevailing ad hoc ones in order to clarify the hedge effects in financial decision from the long term perspective. ; Introduction 1 1 The Model 8 2 The Optimizing Program of the Investor 13 3 Explicit Solution of Constant Case 16 4 Discussions 21 5 Conclusion 25 References 27 Appendix A Proof of the Main Proposition 29 B Evaluation of a Certain Conditional Expectation 36 |
| نوع الوثيقة: | thesis |
| اللغة: | English |
| Relation: | http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/1/35802701.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/2/35802702.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/3/35802703.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/4/35802704.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/5/35802705.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/6/35802706.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/7/35802707.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/8/35802708.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/9/35802709.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/10/35802710.pdf; http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/11/35802711.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/34121 |
| الاتاحة: | http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/1/35802701.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/2/35802702.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/3/35802703.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/4/35802704.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/5/35802705.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/6/35802706.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/7/35802707.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/8/35802708.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/9/35802709.pdf http://nccur.lib.nccu.edu.tw/bitstream/140.119/34121/10/35802710.pdf |
| Rights: | undefined |
| رقم الانضمام: | edsbas.E84423C |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |