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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 邱顯比 | |
dc.contributor.author | "Li, Yi-Wen" | en |
dc.contributor.author | 李宜雯 | zh_TW |
dc.date.accessioned | 2021-06-08T05:11:46Z | - |
dc.date.copyright | 2006-07-26 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-07-22 | |
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2. Abraham Lioui and Patrice Poncet (2002), “Optimal currency Risk Hedging,” Journal of International Money and finance, 21:241-264. 3. Abraham Lioui and Patrice Poncet (2003), “International Asset Allocation: A New Perspective,” Journal of Banking & Finance, 27:2203-2230. 4. Arnott, Robert D. (1985), “The Pension Sponsor’s View of Asset Allocation,” Financial Analysts Journal, 41:17-23. 5. Anderson, R. and JP. Danthine (1981), “Cross Hedging,” Journal of Political Economy, 89:1182-1196. 6. Andrea L. DeMaskey, Wilfred L. Dellva, and Jean L. Heck (2003), “Benefits from Asia-Pacific Mutual fund Investments with Currency Hedging,” Review of Quantitative Finance and Accounting, 21:49-64. 7. Brinson, GP, Singer, BD, and Beebower, GL (1991), “Determinants of. Portfolio II: An update,” Financial Analysts Journal, 40-48. 8. Brown, S. L. (1985), “A Reformulation of The Portfolio Model of Hedging,” American Journal of Agricultural Economics, 67:508-512. 9. Changyun Wang and Soon Sern Low (2003), “Hedging with Foreign Currency Denominated Stock Index Futures: Evidence From the MSCI Taiwan Index Futures Market,” Journal of Multinational Financial Management, 13:1-17. 10. De Santis G. and B. Gerard (1997), “International asset pricing and portfolio diversification with time-varying risk,” Journal of Finance, 52:1881-1912. 11. Eaker, M.R. and D.M. Grant (1987), “Cross Hedging Foreign Currency Risk,” Journal of International Money and Finance, 6:85-105. 12. Eaker, A. and D. Grant (1990),”Currency Hedging Strategy for Internal Diversified Equity Portfolios,” Journal of Portfolio Management, 17:30-32. 13. Ederington, L. H. (1979),”The Hedging Performance of the New Futures Market,” Journal of Finance, 34:157-170. 14. Heifner, R. G. (1972). “Optimal hedging levels and hedging effectiveness in cattle feeding,” Agricultural Economics Research 24:25-36. 15. Frans A. de Roon, Theo E. Nijman, and Bas J.M. Werker (2003), “Currency Hedging for International Stock Portfolios: The Usefulness of Mean-Variance Analysis,” Journal of Banking & Finance, 27:327-349. 16. Grammatikos, T. and Saunders (1983), “Stability and the Hedging Performance of Foreign currency Futures,” The Journal of Futures Markets, 3:295-305. 17. Grubel, H. (1968), “Internationally Diversified Portfolios: Welfare Gains and Capital Flows,” the American Economic Review, 58:1299-1314. 18. Hill J. and Schneeweis T. (1981), “A Note on the Hedging. Effectiveness of Foreign currency Futures,” The Journal of Futures Markets, 1:659-664. 19. Jack Glen and Philippe Jorion (1993), “Currency Hedging for International Portfolios,” Journal of Finance, 48:1865-1886. 20. Johnson, L. (1960), “The Theory of Hedging and Speculation in Commodity Futures,” Review of Economic Studies, 27:139-151. 21. Kit Pong Wong (2003), “Currency Hedging with Options and Futures,” European Economic Review, 47:833-839. 22. Levy, Haim and Marshall Sarnat (1970), “International Diversification of Investment Portfolios,” the American Economic Review, 60:668-675. 23. Louis Gagnon, Gregory J. Lypny, and Thomas H. McCurdy (1998), “Hedging Foreign Currency Portfolios,” Journal of Empirical finance, 5: 197-220. 24. Markowitz, H. (1952), “Portfolio selection,” Journal of Finance, 7:77-91. 25. Markowitz, H. (1959), “Portfolio selection: efficient diversification of investments,” New York, John Wiley & Sons. 26. Meese, RA and Rogoff, K., (1983), “Empirical exchange rate models of the seventies,” Journal of. Economics, 14:3-24. 27. Michael J. Brennan, Eduardo S. Schwartz, and Ronald Lagnado (1997), “Strategic Asset Allocation,” Journal of Economic Dynamics and Control, 21:1377-1403. 28. Nicholas Barberis (2000), “Investing for the Long Run when Returns Are Predictable,” Journal of Finance, 55:225:264. 29. R.A. Brealey and E.C. Kaplanis (1995), “Discrete Exchange Rate Hedging Strategies,” Journal of Banking & Finance, 19: 765-784. 30. Robert R. Grauer and Nils H. Hakansson (1987), “Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds,” Journal of finance, 42:721-739. 31. Stein, J. (1961), “The Simultaneous Determination of Spot and Futures Prices,” American Economic Review, 51:1012-1025. 32. Tulin Sener (1998), “Objectives of Hedging and Optimal Hedge Ratios: US vs. Japanese Investors,” Journal of Multinational financial Management, 8:137-153. 33. Working, H. (1962), “New Concepts Concerning Futures Markets and Prices,” The American Economic Review, 52:431-459. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23855 | - |
dc.description.abstract | 本篇論文主要在研究台灣退休基金的資產配置與外匯避險策略。我們使用馬可維茲的平均數—變異數模型,在deterministic lifestyle退休計劃下產生策略性的資產配置。並在currency overlay及投資組合避險政策之下,運用完全避險、選擇性避險及最適避險策略來避掉外匯風險。本篇論文研究發現,在currency overlay政策之下,在全期間或台幣貶值期間,不避險會是最佳策略,而當台幣升值,完全避險將會是最佳策略。而在投資組合避險策略之下,最佳的避險策略將會依風險承受度的大小而不同,唯在台幣升值時最適避險會是最佳策略。 | zh_TW |
dc.description.abstract | In this paper, we examine asset allocation strategies and currency hedging strategies for Taiwanese pension funds. We use Markowitz Mean-Variance model to derive strategic asset allocation of deterministic lifestyle pension plan. Then, we hedge currency risks by using full hedge strategy, selective hedge strategy, and optimal hedge strategy under currency overlay policy and portfolio hedging policy. We find that under currency overlay policy, un-hedge strategy is the best strategy for the entire period or when NTD depreciates, and full hedge strategy is the best strategy when NTD appreciates. Under portfolio hedging policy, different hedging policies can be implemented according to how much risk fund managers are willing to bear, but optimal hedge strategy is always the most suitable strategy when NTD appreciates. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:11:46Z (GMT). No. of bitstreams: 1 ntu-95-R93723038-1.pdf: 747470 bytes, checksum: 2cb0e4663823f40d5756507b6f8f532c (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | 1. INTRODUCTION 1
2. DATA AND METHODOLOGY 5 2.1 DATA 5 2.1.1 Asset Allocation 5 2.1.2 Currency Hedging 5 2.2 METHODOLOGY 6 2.2.1 Asset Allocation 6 2.2.2 Currency Hedging 12 3. EMPIRICAL RESULT 24 3.1 ASSET ALLOCATION 24 3.1.1 Efficient Frontier 24 3.1.2 Asset Allocation Strategy 25 3.1.3 Monte Carlo Simulation 28 3.2 CURRENCY HEDGING 31 3.2.1 Currency Overlay Policy 31 3.2.2 Portfolio Hedging Policy 34 3.2.3 Currency Hedging when NTD Depreciates 43 3.2.4 Currency Hedging when NTD Appreciates 47 3.2.5 Compare the Currency Hedging Results 51 3.2.6 Investment Suggestions 54 4. CONCLUSION 56 REFERENCES 57 | |
dc.language.iso | en | |
dc.title | 臺灣退休基金資產配置與外匯避險策略之研究 | zh_TW |
dc.title | Global Asset Allocation and Currency Hedging Strategies for Taiwan's Pension Funds | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 李存修,李賢源 | |
dc.subject.keyword | 資產配置,外匯避險, | zh_TW |
dc.subject.keyword | asset allocation,currency hedging, | en |
dc.relation.page | 59 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2006-07-23 | |
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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