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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 | 曾郁仁 | |
dc.contributor.author | Pei-Ju Tsai | en |
dc.contributor.author | 蔡佩汝 | zh_TW |
dc.date.accessioned | 2021-05-19T18:04:31Z | - |
dc.date.available | 2022-06-26 | |
dc.date.available | 2021-05-19T18:04:31Z | - |
dc.date.copyright | 2012-06-29 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-06-26 | |
dc.identifier.citation | Ahn, D. H., Boudoukh, J.,Richardson, M., Whitelaw, R., 1999.Optimal risk management using options. The Journal of Finance54(1), 359-375.
Annaert, J., Deelstra, G., Heyman, D., Vanmaele, M., 2007.Risk management of a bondportflio using options. Insurance: Mathematics and Economics 41(3), 299-316. Aumann, R. J., Serrano, R., 2008. An economic index of riskiness. Journal ofPolitical Economy116(5), 810-836. Balbas, A., Balbas, B.,Balbas, R., 2010. Capital requirements, good deals and portfolio insurance with risk measures. Technical Report 2010.04.Riesgos-CM,http://www.analisisderiesgos.org. Bali, T., Cakici, N., Chabi-Yo, F., 2011a.A generalized measure of riskiness. Management Science 57,1406–1423. Deelstra, G., Vanmaele, M., Vyncke D., 2010.Minimizing the risk of a financial productusing a put option. The Journal of Risk and Insurance 77(4), 767-800. Foster, Dean P., Hart, S. 2009. An operational measure of riskiness.Journal of Political Economy 117(5), 785-814. Hillgruber, C., Riedel, F., LAutkebohmert-Holtz, E., 2009.Essays on dual risk measures and the asymptotic term structure.http://hss.ulb.uni-bonn.de/2009/1852/1852.pdf . Homm, U., Pigorsh, C., 2012. Beyond the Sharpe ratio: performance measurement with an economic index of riskiness. Journal of Banking & Finance36(8), 2274-2284. Huang, G., Xu, J., Xing, W., 2011. Hedging strategies with a put option and their failure rates.Retrieved fromhttp://arxiv.org/abs/1110.0159v1 . Hull, J. C., 2008, Options, futures, and other derivatives, 7/E. Prentice Hall. Krokhmal, P., Palmquist, J., Uryasev, S., 2002. Portfoliooptimization with conditional value-at-risk objective and constraints.Journal of Risk 4,43-68. Rockafellar, R., Uryasev, S., 2002.Conditional value-at-risk for general loss distributions.Journal of Banking and Finance 26(7), 1443-1471. Schied, A., 2006. Risk measures and robust optimization problems. Stochastic Models22, 753-831. Serraino, G., Uryasev, S., 2011.Protecting equity investments: options, inverse ETFs, hedge funds, and AORDA Portfolios.American Optimal Decisions.Retrieved fromhttp://www.aorda.com/aod/static/documents/Protecting_Equity_Investments.pdf . Taboga, M., 2009.The riskiness of corporate bonds.Bank of Italy Temi di Discussione (Working Paper) No. 730.Retrieved from http://ssrn.com/abstract=1601844 . | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/8052 | - |
dc.description.abstract | 風險是許多經濟決策和管理決策的重要一環,也是近年來越來越受重視的問題。衍生性商品是用來規避因利率、匯率和其它市場因素造成的風險的主要工具。我們使用2008年Aumann和Serrano(2008)所提出的風險指數Riskiness,來分析期初購買保護性賣權和股票為避險策略的投資組合,在不同的波動率 、距到期日時間 、股票報酬率 和股利殖利率 下,Riskiness和執行價格間的關係。我們模擬發現,當波動率越大、距到期日時間越長和標的物期望報酬越小,都會造成風險指標Riskiness越大。當股利殖利率越大,避險策略整體風險值會越大,最適執行價格遞減,對期望報酬結構上的影響不大。而波動率對風險值的影響較距到期日時間還大,前者是二次函數的關係,後者大略是線性函數的影響。 | zh_TW |
dc.description.abstract | Recently, risk has become more and more serious and risk management is important in economics and management decisionmaking. Derivatives are the maintool to hedge the risk caused by interest rates, exchange rates and other market factors. We use an index of riskiness proposed by Aumann and Serrano(2008) to analyze the relationship between the Riskinessand the strike price ofhedge portfolio, which buy a stock and a protective put at the beginning. Our simulation found that the greater the volatility, the longer the time to maturity and the smaller the expected underlying asset’s return, will cause the greater the index ofRiskiness.The greater the dividend yield, the risk value is larger, the optimal strike price decrease and has little effect on the structure of portfolio expected returns.The impact of volatility on the Riskinessmore than from the maturity, the former is a quadratic function, the latter is just a linear function. | en |
dc.description.provenance | Made available in DSpace on 2021-05-19T18:04:31Z (GMT). No. of bitstreams: 1 ntu-101-R99723029-1.pdf: 1434084 bytes, checksum: f466ebbfb2f73607e807e1776063b26e (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | 致謝 i
中文摘要 ii ABSTRACT iii 目錄 iv 圖目錄 vi 表目錄 vii 第一章緒論 1 第二章文獻回顧 3 2.1 風險指標回顧 3 2.2 風險指標Riskiness 4 2.2.1 Riskiness的概念 4 2.2.2 Riskiness的性質 5 第三章研究方法 7 3.1 模型和定價 7 3.1.1 股價模型 7 3.1.2 選擇權定價 9 3.2 風險指標Riskiness的衡量 10 3.3 各項變數對Riskiness的影響 11 第四章研究結果 12 4.1 波動率 對Riskiness的影響 12 4.2 距到期日時間 對Riskiness的影響 16 4.3 報酬率 對Riskiness的影響 19 4.4 股利殖利率 對Riskiness的影響 19 4.4.1 股利殖利率變動的影響 19 4.4.2 加入股利殖利率後波動率和距到期日的影響 20 4.4.3 最適執行價格 22 4.5 小結 25 第五章研究結論與建議 27 參考文獻 28 | |
dc.language.iso | zh-TW | |
dc.title | Riskiness 在選擇權避險策略上的應用 | zh_TW |
dc.title | The Application of “Riskiness” on the Option Hedging Strategy | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 黃瑞卿,王仁宏 | |
dc.subject.keyword | 避險策略,最適執行價格,賣權,股票, | zh_TW |
dc.subject.keyword | Riskiness,Hedging strategy,Optimal strike price,Put option,Stock, | en |
dc.relation.page | 29 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2012-06-27 | |
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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