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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/28480完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比(Shean-Bii Chiu) | |
| dc.contributor.author | Shaio-Tien Wang | en |
| dc.contributor.author | 王曉恬 | zh_TW |
| dc.date.accessioned | 2021-06-13T00:09:29Z | - |
| dc.date.available | 2009-08-02 | |
| dc.date.copyright | 2007-08-02 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-27 | |
| dc.identifier.citation | 1.Aggarwal, R. and A. L. DeMaskey（1997）,”Cross-Hedging Currency Risks in Asian Emerging Markets Using Derivatives in Major Currencies”, The Journal of Portfolio Management, vol.23, pp.88-95.
2.Anderson, R. and JP. Danthine（1981）, “Cross Hedging”, Journal of Political Economy, vol.89（6）, pp.1182-1196 3.Brown, S. L. (1985), “A Reformulation of The Portfolio Model of Hedging,” American Journal of Agricultural Economics, vol.67, pp.508-512. 4.Dale, C.（1981）, “The Hedging Effectiveness of Currency Futures Markets,” Journal of Futures Markets, vol.44（245）, pp.32-61. 5.Eaker, M.R. and D.M. Grant (1987), “Cross Hedging Foreign Currency Risk,” Journal of International Money and Finance, vol.6, pp.85-105. 6.Eaker, A. and D. Grant (1990),”Currency Hedging Strategy for Internal Diversified Equity Portfolios,” Journal of Portfolio Management, vol.17, pp.30-32. 7.Ederington, L.H. (1979),”The Hedging Performance of the New Futures Market,” Journal of Finance, vol.23（1）, pp.157-170. 8.Grammatikos, T. and Saunders (1983), “Stability and the Hedging Performance of Foreign currency Futures,” The Journal of Futures Markets, vol.3, pp.295-305. 9.Grubel, H. (1968), “Internationally Diversified Portfolios: Welfare Gains and Capital Flows,” the American Economic Review, vol.58, pp.1299-1314. 10.Heifner, R.（1972）, “Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding,” Agricultural Economic Research, vol.24, pp.25-35. 11.Hill J. and Schneeweis T. (1981), “A Note on the Hedging. Effectiveness of Foreign currency Futures,” The Journal of Futures Markets, vol.1, pp.659-664. 12.Holmes, P.（1995）,”Ex Ante Hedging Ratio and Hedging Effectiveness of the FTSE-100 Stock Index Futures Contract,” Applied Economic Letter, vol.2（3）, pp.56-59. 13.Holmes, P.（1996）,”Stock Index Futures Hedging:Hedging Ratio Estimation, Duration Effects, Expiration Effects and Hedging Ratio Stability,” Journal of Business Finance and Accounting, vol.23（1）, pp.63-77. 14.Johnson, L. (1960), “The Theory of Hedging and Speculation in Commodity Futures,” Review of Economic Studies, vol.27, pp.139-151. 15.Lindahl, M.（1991）,”Risk-Return Hedging Effectiveness Measurement for Stock Index Futures,” Journal of Futures Markets, vol.11（4）, pp.399-409. 16.Markowitz, H. (1952), “Portfolio selection,” Journal of Finance, vol.7, pp.77-91. 17.Stein, J. (1961), “The Simultaneous Determination of Spot and Futures Prices,” American Economic Review, vol.51, pp.1012-1025. 18.Working, H. (1962), “New Concepts Concerning Futures Markets and Prices,” The American Economic Review, vol.52, pp.431-459. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/28480 | - |
| dc.description.abstract | 本論文旨在探討台灣退休基金的最適外匯避險策略。研究架構可分為投資組合建構及外匯避險兩部分，投資組合部份利用馬可維茲的平均數—變異數模型及最大機率法建構出國際投資組合；外匯避險部份利用一元及多元避險策略規避該投資組合之外匯風險。本研究採用傳統Hedging Effectiveness及Sharpe Ratio衡量不同策略下的避險績效。研究結果發現，在minimum-variance model下採取動態避險會有最佳的避險效果（HE），若加入避險後報酬的考量，則二元避險及三元避險會有較高的Sharpe Ratio。另外，避險期間越長，避險效果越佳，六個月避險之績效顯著優於一個月及三個月避險。 | zh_TW |
| dc.description.abstract | In this paper, we are trying to determine the optimal currency hedging overlay strategies for Taiwanese pension funds. Markowitz Mean-Variance model and Williams Maximum Probability Approach are used to construct a spot position as the hedging subject. Then, we apply the conventional hedging effectiveness as well as Sharpe ratio to analyze the efficiency of single contract and multiple contracts overlay strategies. We discover that dynamic hedge under minimum-variance model is the most efficient based on risk reduction. Secondly, the hedging effectiveness of dual and triple overlay strategies are greater than the other strategies based on risk-adjusted performance. Finally, the hedging effectiveness for a longer duration is found to be more efficient than a shorter one. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T00:09:29Z (GMT). No. of bitstreams: 1 ntu-96-R94723069-1.pdf: 669272 bytes, checksum: 86f7fdbfc208f3fdc186392ffde4a339 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 1. INTRODUCTION................................1
2. DATA AND METHODOLOGY........................5 2.1. DATA........................................5 2.2. METHODOLOGY.................................8 3. EMPIRICAL RESULT............................22 3.1. INTERNATIONAL ASSET ALLOCATION..............22 3.2. CURRENCY OVERLAY HEDGING STRATEGY...........24 4. CONCLUSIONS.................................30 | |
| dc.language.iso | en | |
| dc.subject | 動態避險 | zh_TW |
| dc.subject | 退休基金 | zh_TW |
| dc.subject | 外匯避險 | zh_TW |
| dc.subject | 多元避險 | zh_TW |
| dc.subject | proxy hedge | en |
| dc.subject | pension | en |
| dc.subject | overlay | en |
| dc.subject | currency hedge | en |
| dc.title | 台灣退休基金之最適外匯避險策略研究 | zh_TW |
| dc.title | Optimal Currency Hedging Overlay Strategies for Taiwan’s Pension Fund | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 王儷玲(Jennifer L. Wang) | |
| dc.contributor.oralexamcommittee | 李存修,楊曉文 | |
| dc.subject.keyword | 退休基金,外匯避險,多元避險,動態避險, | zh_TW |
| dc.subject.keyword | pension,overlay,currency hedge,proxy hedge, | en |
| dc.relation.page | 33 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-30 | |
| 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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