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DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Chiung-Chiou Tzeng | en |
dc.contributor.author | 曾瓊萩 | zh_TW |
dc.date.accessioned | 2021-06-13T05:55:56Z | - |
dc.date.available | 2007-07-12 | |
dc.date.copyright | 2006-07-12 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-06-29 | |
dc.identifier.citation | Artzner, P.; Delbean, F.; Eber, J.M.; Heath, David, 1997. Thinking Coherently. Risk 10, 68-71
Artzner, P.; Delbean, F.; Eber, J.M.; Heath, David, 1999. Coherent measures of risk. Mathematical Finance 9, 203-228 Basak, S., A. Shapiro, 2001. Value-at Risk- based Risk Management: Optimal Policies ans Asset Prices. The Review of Financial Studies, Summer 2001, Vol.14, No.2, pp.371-405 Bjork, T.,1998. arbitrage Theory in Continuous Time. Oxford University Press, Oxford. Gordon J. Alexander & Alexandre M. Baptista, 2004. A Comparison of VaR and CVaR constraints on Portfolio Selection with the Mean-Variance Model. Management Science, Vol.50, No.9, September 2004, pp.1261-1273 Hull, J. C. 2003. Options, Futures, and Other Derivatives. Prentice-Hall. Jorion, P., 1997. Value at Risk: The New Benchmark for Controlling Market Risk. Kast, R., Luciano, E., Peccati, L., 1999. Value-at-Risk as a Decision Criterion. Working paper, University of Turin. Kluppelberg, C., Korn, R.,2001. Optimal Portfolios with Bounded Value-at-Risk. Journal of Mathematical Finance, Volume 11, Nom 4, Oct., p365-384 (20). Luciano, E., 1998. Fulfillment of Regulatory Requirements on VaR and Optimal Portfolio Policies. Working paper, University of Turin. Markowitz, H., 1952. Portfolio Selection. Journal of Finance 7,77-91. Merton, R.C.,1969. Lifetime Portfolio Selection under uncertainty: the Continuous-time Case. The Review of Economics and Statistics LI,247-257. Merton, R.C., 1971. Optimal Consumption and Portfolio Rules in a Continuous-time Model. Journal of Economic Theory 3, 373-413. RiskMetricsTM., 1996. Technical Document, 4-th Edition. J.P. Morgan Rockafellar, R. Tyrrell; Uryasev, Stanislav; 2000. Optimization of Conditional Value at Risk. Journal of Risk 2, January 2000 , 21-41 Rockafellar, R.T., Uryasev, S., 2002. Conditional Value-at-Risk for general loss distributions. Journal of Banking & Finance 26, 1443–1471. Yiu, K.F.C.,2004. Optimal Portfolios under a Value-at-Risk Constraint. Journal of Economic Dynamics & Control, 28 1317-1334. 關淑惠, 2004. Application of Risk Management Beyond the VaR in Insurance and Stock Investment. 台大碩士論文. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/34147 | - |
dc.description.abstract | 此篇論文利用K.F.C. Yiu (2004)的方法觀察有風險衡量限制式下的投資組合最大化問題--以效用最大化來代表,利用Hamilton-Jacobi-Bellmen Equation及Lagrange multiplier來處理限制式,並用數值方法解HJB-equation及有限制式下的最佳資產配置投資組合的最佳化,分析其消費、效用、資產總值。
此外本文也觀察在不同的資產報酬分配下CVaR限制式與VaR限制式下的最適化投資組合的不同,討論其結果是否與直覺相同,並更能合適的評斷投資的市場風險。我們發現有風險衡量限制式下,在風險資產的投資會減少,且在具極端值的資產報酬分配下,CVaR較能有效控管風險。 | zh_TW |
dc.description.abstract | This paper looks at the optimal portfolio when a conditional value-at-risk dynamic constraint is imposed and analyses the consumption, utility and asset value in the portfolio. The optimal portfolio problem is formulated as a constrained maximization of expected utility.
This follows the method used in K.F.C. Yiu (2004). The dynamic programming technique is applied to derive the HJB equation, the method of Lagrange multiplier is used to tackle the constraint and numerical method is proposed to solve the HJB equation and the optimal constrained portfolio allocation. The paper also looks the difference of portfolio under different asset loss distributions and different risk measure constraints, compares the result to intuitions and hopes to find a way to measure market risk adequately. We find that investments in risky assets are reduced by the imposed constraint, and the CVaR constraint is more powerful under an asset loss distribution with an extreme event. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T05:55:56Z (GMT). No. of bitstreams: 1 ntu-95-R93723025-1.pdf: 825352 bytes, checksum: b1adff681c6684c1f399d2e25c18d2f0 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | 誌謝 I
中文摘要 II Abstract III 目錄 IV 表目錄 V 圖目錄 V 1.緒論 1 2.風險衡量 3 2.1 風險值(Value at Risk ,VaR ) 3 2.2條件風險值( Conditional Value at Risk ,CVaR ) 4 3.研究方法與模型 6 3.1 K.F.C. Yiu (2004) 6 3.2 資產分配與風險衡量 9 4.結果分析 11 4.1 模擬參數 11 4.2 模擬結果分析 11 5.結論 31 6.參考文獻 32 | |
dc.language.iso | zh-TW | |
dc.title | 條件風險值限制下的最適投資組合 | zh_TW |
dc.title | Optimal Portfolio under a Conditional Value-at-Risk Constraint | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 繆震宇,楊曉文 | |
dc.subject.keyword | 條件風險值, | zh_TW |
dc.subject.keyword | CVaR, | en |
dc.relation.page | 33 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2006-06-30 | |
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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