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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 石百達(Pai-Ta Shih) | |
| dc.contributor.author | Chiung-Hua Yu | en |
| dc.contributor.author | 余瓊嬅 | zh_TW |
| dc.date.accessioned | 2021-06-07T23:43:27Z | - |
| dc.date.copyright | 2014-07-29 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2014-07-17 | |
| dc.identifier.citation | [1] A.G. Quaranta, A. Zaffaroni, 2008, “Robust optimization of conditional value at risk and portfolio selection,” Journal of Banking and Finance 32 , pp. 2046–2056.
[2] Artzner, P., F. Delbaen, J. M. Eber, and D. Heath, 1997, “Thinking Coherently,” Risk, vol. 10, pp.68-71. [3] Artzner, P., F. Delbaen, J. M. Eber, and D. Heath, 1999, “Coherent measures of risk,” Mathematical Finance, vol. 9 (3) , pp. 203–228. [4] Basak, Suleyman & Shapiro, Alexander, 2001, 'Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices,' Review of Financial Studies, Society for Financial Studies, vol. 14(2), pp.371-405. [5] Cuoco, D., Liu, H., 2006. An analysis of VaR-based capital requirements. Journal of Financial Intermediation, vol. 15, pp.362–394. [6] Carr, P., & Chou, A. (1997). Breaking barriers. Risk Magazine, vol. 10, pp.139–145. [7] Carr, P., Ellis, K., & Gupta, V. (1998). “Static hedging of exotic options,” Journal of Finance, vol. 53, pp.1165–1190. [8] Derman, E., Ergener, D. and Kani, I., 1995, ”Static options replication,” The Journal of Derivatives. [9] Jameson, Mel, and William Wilhelm, 1992, “Market making in the options markets and the costs of discrete hedge rebalancing,” Journal of Finance, vol. 47, pp.765–779. [10] Kamien, M. I. and N. L. Schwartz.,1981, Dynamic Optimization: The Calculus of Variations and Optimal Control in Economics and Management, New York: North-Holland. [11] Kaplanski, G. and Levy, H.,”Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean–variance analysis,” The European Journal of Finance, pp.19. [12] K.F.C. Yiu, 2004,”Optimal portfolios under a value-at-risk constraint,” Journal of Economic Dynamics and Control 28, pp. 1317–1334. [13] Markowitz, H., 1952, “Portfolio selection,” Journal of Finance, Vol. 7, pp. 77-91 [14] Perignon, C., and Smith, D., 2010, “The Level and Quality of Value-at-Risk Disclosure by Commercial Banks,” Journal of Banking and Finance, 34,362–377. [15] Pflug, G.Ch., 2000. “Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk,' In: Uryasev, S. (Ed.), Probabilistic Constrained Optimization: Methodology and Applications, Kluwer Academic Publishers, Dordrecht. [16] Wylie, J.J., Q. Zhang, and T. K. Siu, 2010. “Can expected shortfall and value-at-risk be used to statically hedge options?” Quantitative Finance, vol.10, pp. 575-583. [17] Roy, Arthur D., 1952. Safety first and the holding of assets, Econometrica, vol. 20(3), pp. 431-449. [18] R. Campbell, R. Huisman, K. Koedijk, 2001, “Optimal portfolio selection in a Value-at-Risk framework,” Journal of Banking and Finance, vol. 25, pp. 1789–1804. [19] R.T. Rockafellar, S. Uryasev, 2002, “Conditional value-at-risk for general loss distributions,” Journal of Banking and Finance, vol. 26, pp. 1443–1471. [20] Yamai, Yasuhiro & Yoshiba, Toshinao, 2002,'Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization,' Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(1), pp. 87-121, January. [21] Yamai, Yasuhiro & Yoshiba, Toshinao, 2001, ‘‘On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall’’, discussion paper 2001-E-4, Institute for Monetary and Economic Studies, Bank of Japan. [22] Yamai, Yasuhiro & Yoshiba, Toshinao, 2005, 'Value-at-risk versus expected shortfall: A practical perspective,' Journal of Banking & Finance, Elsevier, vol. 29(4), pp. 997-1015. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16678 | - |
| dc.description.abstract | 經過許多重大金融事件發生後，風險管理日益重要，尤其是對於金融機構及保險業者，擁有龐大資金的資本市場參與者，在做資產最適化配置時，除了考量效用極大化外，更要搭配風險管理的限制，以因應可能產生的風險，本文採最常被使用的風險值VaR及LEL為風險管理依據，透過Basak與Shaprio (2001)之模型，繪出期末財富圖形，利用靜態複製的概念推敲可能的資產配置，並對於參數變動給予分析，如：可接受的最大損失機率或損失量、風險管理者風險趨避程度、風險市場價格等。對於風險管理者而言，採用不同的管理準則，將會帶來不同的投資決策，以確保組織穩健運作。 | zh_TW |
| dc.description.abstract | In this paper we investigate on asset allocation under risk management constraints like VaR or LEL. Based on the time-T wealth pattern in the research of Basak and Shaprio(2001), we adjust slightly the pattern with terminal price of underlying asset and time-T wealth. We analyze the differences through different parameters to find optimal asset allocation with static replication. Our results show that as a risk manager becomes more risk averse, as the market price of risk decreases, or as given probability rises, the manager invests more in the risk-free assets. Effective risk management strategies allow the participants in the capital market to identify the companies’ potential risks. Our paper provides some suggestions on risk management for those who control enormous amount of capital like financial intermediaries and insurance companies. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-07T23:43:27Z (GMT). No. of bitstreams: 1 ntu-103-R01723031-1.pdf: 1042165 bytes, checksum: 6ca9e1551db1f545a9197b318a973b2b (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 誌謝 i
中文摘要 ii Abstract iii 目錄 iv 圖目錄 v 第一章 緒論 1 第一節 研究動機及目的 1 第二節 研究架構 3 第二章 文獻探討 4 第一節 風險衡量發展背景 4 第二節 風險值定義及運用 6 第三節 動態及靜態資產配置 9 第三章 模型定義及推導 11 第一節 VaR風險管理限制 12 第二節 LEL風險管理限制 15 第四章 數值分析與討論 17 第一節 無風險管理設定之狀況 17 第二節 VaR原始參數設定及參數調整 19 第三節 LEL原始參數設定及參數調整 26 第四節 比較VaR與LEL 31 第五章 結論與建議 34 參考文獻 36 附錄 38 | |
| dc.language.iso | zh-TW | |
| dc.subject | 資產配置 | zh_TW |
| dc.subject | 靜態複製 | zh_TW |
| dc.subject | LEL風險管理 | zh_TW |
| dc.subject | VaR風險值 | zh_TW |
| dc.subject | Asset allocation | en |
| dc.subject | LEL | en |
| dc.subject | Value-at-Risk | en |
| dc.subject | Static replication | en |
| dc.title | VaR或LEL風險管理限制下之資產配置探討 | zh_TW |
| dc.title | Asset Allocation under VaR or LEL Risk Management Constraint | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 102-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 黃瑞卿(Jui-Ching Huang),林姿婷(Tzu-Ting Lin) | |
| dc.subject.keyword | 資產配置,VaR風險值,LEL風險管理,靜態複製, | zh_TW |
| dc.subject.keyword | Asset allocation,Value-at-Risk,LEL,Static replication, | en |
| dc.relation.page | 43 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2014-07-18 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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