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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁(Yu-Ren Tzeng) | |
dc.contributor.author | Yi-Wen Wang | en |
dc.contributor.author | 王怡雯 | zh_TW |
dc.date.accessioned | 2021-06-08T05:14:47Z | - |
dc.date.copyright | 2006-07-03 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-06-27 | |
dc.identifier.citation | 一、英文參考文獻
1. Alexander, Gordon J. and Baptista, Alexandre, ” Economic Implications of Using A Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis.” Journal of Economic Dynamic and Control , July 2002, p.1159-1193. 2. Duarte and Alcantara, ”Mean-Value- at-Risk Optimal Portfolios with Derivatives, ” Derivatives Quarterly, Winter 1999, p.56-64. 3. Grubel, Herbert G., ”International Diversified Portfolio:Welfare Gains and Capital Flows, ”The American Economic Review, December 1968, p.1299-1314. 4. Haim Levy and Marshall Sarnat, ”International Diversification of Investment Portfolios, ”The American Economic Review, September 1970, p.668-675. 5. Jorion, Philippe. ”Asset Allocation With Hedged and Unhedged Foreign Stocks, ”Journal of Portfolio Management, Summer 1989, v15(4), p.49-54. 6. Jorion, P., ”Risk2: Measuring the Risk in Value at Risk, ” Financial Analysts Journal, November/December 1996, p.47-56. 7. John E. Hunter and T. Daniel Coggin ”An Analysis of The Diversification Benefit from International Equity Investment, ”Journal of Portfolio Management, Fall 1990, v17(1), p.33-36. 8. Lee, Adrian F. ”International Asset and Currency Allocation, ”Journal of Portfolio Management, Fall 1987, v14(1), p.68-73. 9. Leibowitz, Martin L. and Henriksson, Roy D., ”Portfolio Optimization with Shortfall Constraints: A Confidence-Limit Approach to Managing Downside Risk, ” Financial Analysts Journal, March/April 1989, p.34-41. 10. Leibowitz, Martin L. and Kogelman, Stanley, ”Asset Allocation under Shortfall Constraints, ” Journal of Portfolio Management, Winter 1991, v17(2), p.18-23. 11. Markowitz, H. M., ”Portfolio Selection, ”The Journal of Finance, March 1952, 7(1), p.77-91. 12. Markowitz, H.M., ”Portfolio Selection:Efficient Diversification of Investments”,New York, John Wiley&Sons,1959, Inc.-60 13. Patrick Odier and Bruno Solnik, ”Lessons For International Asset Allocation, ”Financial Analysts Journal, March/April 1993, p.63-77. 14. Rachel Campbell, Ronald Huisman and Kees Koedijk, ”Optimal Portfolio Selection in a Value-at-Risk Framework, ” Journal of Banking and Finance 25 ,2001, p.1789-1804. 15. Solnik, Bruno H., ”Why Not Diversify Internationally Rather Than Domestically?, ”Financial Analysts Journal, July/August 1974, p.48-54. 二、中文參考文獻 1. 曾郁仁,1988,「國際證券投資之研究」,台灣大學商學研究所未出版碩士論文。 2. 齊仁勇,1996,「國際資產配置與匯率風險之探討」,台灣大學商學研究所碩士論文。 3. 簡佳至,2001,「限制下方風險的資產配置」,政治大學金融研究所碩士論文。 4. 張肇育,2002,「不同風險衡量指標下投資效率之分析與探討」,中正大學財務金融研究所碩士論文。 5. 李吉元,2003,「風險值限制下最適資產配置」,成功大學財務金融研究所碩士論文。 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24047 | - |
dc.description.abstract | 台灣的人身保險業的保單多以長期為主,因此,在資產配置方面同時也需要較長期的投資工具來配合,就國內市場上而言,缺乏長期有效的投資工具且報酬率遠低於國外,造成國外投資的比重在保險業資金運用上逐漸攀升,但是,現階段保險業國外投資大多著重在美國,所以,本篇論文將針對保險公司把資金投資在更多不同國家,研究整體的投資組合是否比僅投資在台灣以及美國地區的績效要來得更佳。
此外,在風險衡量方面,首先採用傳統的數量方法以平均數─變異數為主,以變異數作為風險的衡量,隱含投資者對正、負報酬的關心程度是一樣,然而這並不符合實際情況,投資者真正關心的是下方風險的程度,所以,本文也採用VaR來衡量風險。 實證方面,本文利用十三個國家一籃子貨幣組合的方式來進行資產配置,發現透過國際資產間相關係數呈現中、低度相關,確實降低原本只投資在台灣與美國的資產風險,使整體投資組合之效率前緣更往外移,並在資產報酬率為常態分配的假設下,用標準差或是VaR當作衡量風險的指標所得到的效率前緣圖形並沒有太大的差異。 | zh_TW |
dc.description.abstract | In Taiwan, life insurance policies issued are mainly long term; therefore, longer investment tools are required in asset allocation at the same time. For the domestic market, the shortage of effective long-term investment tools and the return of investment being far lower than foreign average made the percentage of foreign investment in respect of the available capital go up gradually. However, the insurance company lays more emphasis on the United States in terms of foreign investment. As a result, the thesis discusses whether the outcome would be better if the insurance companies put their money in more different countries instead of in Taiwan and the United States only.
In addition, the traditional mathematical method—expected return-variance—is used to evaluate risk. The risk valuation based on variance implies that the expected returns, either positive or negative, are irrelevant to the investors, which does not conform to the present condition. In fact, the investors care about the degree of downside risk. Hence, the thesis uses VaR to evaluate the risk. In empirical, the thesis practices asset allocation by pooling a basket of currencies from 13 countries. By the analysis, the correlations between the international assets are moderate or low-correlated, indicating that the asset risk is reduced compared to the one invested in Taiwan and the United States only. The efficiency frontier of the portfolio moves outward. Under the assumption of normally distributed asset return, there is little difference in the efficiency frontier plot between the variance method and the VaR one used as risk evaluation indicators. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:14:47Z (GMT). No. of bitstreams: 1 ntu-95-R93723072-1.pdf: 268642 bytes, checksum: 9132d63e4c1eb39cc3cba15f58aadfa6 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | 第一章 緒論.......................01
第一節 研究動機 ....................01 第二節 研究目的 ....................02 第三節 研究架構 ....................03 第二章 理論與文獻回顧..................04 第一節 傳統投資組合理論 ................04 第二節 國際投資組合理論與相關文獻回顧 .........07 第三節 風險值之理論與應用 ...............10 第三章 研究方法.....................13 第一節 報酬率與風險 ..................13 第二節 相關係數 ....................15 第三節 Mean-Variance效率前緣模型............15 第四節 VaR的估計方法..................16 第四章 實證研究.....................18 第一節 研究對象與範圍 .................18 第二節 研究限制 ....................19 第三節 實證結果 ....................19 第五章 研究結論與後續建議 ...............30 第一節 研究結論 ....................30 第二節 後續建議 ....................30 參考文獻.........................32 一、 英文部分 ....................32 二、 中文部分 ....................34 | |
dc.language.iso | zh-TW | |
dc.title | 一籃子貨幣之資產配置與風險衡量 | zh_TW |
dc.title | The Asset Allocation and Risk Evaluation of A Basket of Currencies | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 何憲章(Hsien-Chen Ho) | |
dc.contributor.oralexamcommittee | 繆震宇(Chen-Yu Miao) | |
dc.subject.keyword | 資產配置,風險值,效率前緣, | zh_TW |
dc.subject.keyword | Asset Allocation,VaR,Efficient Frontier, | en |
dc.relation.page | 34 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2006-06-28 | |
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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