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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁 | |
| dc.contributor.author | Jian-Kai Dai | en |
| dc.contributor.author | 戴健凱 | zh_TW |
| dc.date.accessioned | 2021-06-16T07:05:34Z | - |
| dc.date.available | 2014-07-29 | |
| dc.date.copyright | 2014-07-29 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2014-07-10 | |
| dc.identifier.citation | [1] John Y. Campbell, 2007, 'Replication data for: Consumption-Based Asset Pricing',http://hdl.handle.net/1902.1/UQRPVVDBHINF:3:wDZfht0d++JDkQXKUkkgng== The Harvard Dataverse Network [Distributor] V2 [Version]
[2] Brunnermeier, M. K., Nagel, S., (2008), Do wealth fluctuations generate time-varying risk aversion? Micro-evidence on individuals’ asset allocation. American Economic Review 98 (3), 713–736. [3] Calvet, L. E., Campbell, J. Y., Sodini, P.,(2009), Fight or flight? Portfolio rebalancing by individual investors. Quarterly Journal of Economics 124 (1), 301–348. [4] Campbell J.Y., (1996), Consumption and the stock market: interpreting international experience Swedish Economic Policy Review, 3, pp. 251–299 [5] Campbell J.Y., Cochrane J.H., (1999), By force of habit: a consumption-based explanation of aggregate stock market behavior Journal of Political Economy, 107 , pp. 205–251 [6] Campbell J. Y., (2003), Consumption-Based Asset Pricing, Chapter 13 in G. M. Constantinides, M. Harris and R. Stulz eds., Handbook of the Economics of 38Finance Vol. IB, North-Holland, Amsterdam. [7] Campbell, J. Y., (2006), Household finance. Journal of Finance 61 (4), 1553–1604. [8] Chiappori, PA., Paiella, M., (2011), Relative risk aversion is constant: evidence from panel data. Journal of the European Economic Association 9 (6), 1021–1052. [9] Cuadras C. M., (2002), On the covariance between functions, Journal of Multivariate Analysis 81, 19-27. [10] Cochrane J. H., (2005), Asset Pricing (revised edition), Princeton University Press, Princeton. [11] Denuit M., Eeckhoudt L., (2010), Stronger measures of higher-order risk attitudes, Journal of Economic Theory 145, 2027-2036. [12] Dionne, G., Li, J., & Okou, C. (2012). An extension of the consumption-based CAPM model. CIRRELT. [13] Epstein L., Zin S., (1989), Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework, Econometrica 57, 937-968. [14] Epstein L., Zin S., (1991), Substitution, risk aversion, and the temporal behavior of consumption and asset returns: an empirical investigation, Journal of Political Economy 99, 263-286. [15] Jindapon P., Neilson W., (2007), Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach, Journal of Economic Theory 136, 719-728 [16] Lehmann E. L., (1966), Some concepts of dependence, The Annal of Mathematical 40Statistics 37, 1173-1153. [17] Li J., (2009). Comparative higher-degree Ross risk aversion, Insurance: Mathematics and Economics, 45, 333-336. [18] Li J., (2011), The demand for a risky asset in the presence of a background risk, Journal of Economic Theory, 146, 372-391. [19] Liu, D. (2012). Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level. Economics Letters, 117(1), 250-252. [20] Liu L., Wang Z., (2008), A note on an interpretation to consumption-based CAPM, Economics Letters 99(3), 443-445 [21] Ross S. A., (1981), Some stronger measures of risk aversion in the small and in the large with applications, Econometrica 49, 621-663. [22] Wright R., (1987), Expectation dependence of random variables, with an application in portfolio theory, Theory and Decision 22, 111-124. [23] R. C. Gonzalez, R. E. Woods, Digital Image Processing second edition, Prentice Hall, 2002 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/57820 | - |
| dc.description.abstract | 先前的相關文獻中對消費基礎資本資產定價模型(C-CAPM)中的Covariance項拆解成為FED以及SED的型式，再對消費水準以及效用函數進行假設，最後經由各國實證資料對於風險趨避係數做出估算，本篇論文藉由更高次方的期望相關(NthED)來對拆解後的C-CAPM進行更進一步的計算以達到某種程度上收斂的結果；效用函數假設的方面也從原本的exponential效用函數增加了使用power效用函數的結果，最近的文獻中對於CRRA也有實證上的討論，因此增加power效用函數假設應能夠對現實中人們的風險趨避的程度提供更多樣的解釋，在求出的相對風險趨避係數當中，相對於原先的假設，數值上比較接近其他文獻中小數值的狀況，提供了一定程度的可信度。 | zh_TW |
| dc.description.abstract | Previous papers change the covariance term of C-CAPM into FED and SED terms and assume the consumption and utility function to solve the numbers of risk aversion coefficients of each country by empirical data. This paper tries to use higher order expectation dependence to get a more precise converging number of risk aversion coefficient of each country. There is another assumption of utility function which is power utility function to compare with original exponential utility function. There is some discussion about CRRA empirically by recent studies, as a result, adding the assumption of power utility function may provide more widely interpretations to the degree of risk aversion. In the coefficients of relative risk aversion, there is a special case that the result of Italy in accordance with past study, which gives a certain degree of reliability. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T07:05:34Z (GMT). No. of bitstreams: 1 ntu-103-R01723062-1.pdf: 490404 bytes, checksum: c0aab36d7a6893acf5ade0c27a2ebd41 (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 目錄
摘要 1 ABSTRACT 2 目錄 3 第一章 緒論 5 1.1 研究動機與目的 5 第二章 文獻回顧 6 2.1 相關性的介紹 6 2.2 Consumption-based CAPM 7 2.3 相對風險趨避係數是不變的？ 11 第三章 研究方法 12 3.1 推展至多次 12 3.2 效用函數的變換 13 3.3 樣本選擇 15 第四章 實證分析 16 4.1 較長期資料區間(1947∼1999) 17 4.2 較短期資料區間(1980∼1998) 20 4.3 收斂次數比較(收斂標準差距5%內）23 4.4 風險趨避程度估計 25 第五章 結論 27 附錄 28 A.1 USA 28 A.2 AUL 32 A.3 CAN 36 A.4 FR 40 A.5 GER 44 A.6 ITA 48 A.7 JAP 52 A.8 NTH 56 A.9 SWT 60 A.10 UK 64 參考文獻 68 | |
| dc.language.iso | zh-TW | |
| dc.subject | 風險趨避 | zh_TW |
| dc.subject | 效用函數 | zh_TW |
| dc.subject | 期望相關 | zh_TW |
| dc.subject | 消費基礎 | zh_TW |
| dc.subject | 資本資產定價模型 | zh_TW |
| dc.subject | Consumption-based CAPM | en |
| dc.subject | Expectation dependence | en |
| dc.subject | Risk aversion | en |
| dc.subject | utility function | en |
| dc.title | 更精確的風險趨避係數及效用函數變換的效果 | zh_TW |
| dc.title | Get A More Precise Number of Risk Aversion Coefficient and the Effect of Changing the Utility Function | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 102-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 黃瑞卿,王仁宏 | |
| dc.subject.keyword | 資本資產定價模型,消費基礎,期望相關,風險趨避,效用函數, | zh_TW |
| dc.subject.keyword | Consumption-based CAPM,Expectation dependence,Risk aversion,utility function, | en |
| dc.relation.page | 70 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2014-07-10 | |
| 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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