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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87801完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁 | zh_TW |
| dc.contributor.advisor | Larry Y. Tzeng | en |
| dc.contributor.author | 鄭聰諭 | zh_TW |
| dc.contributor.author | Tsung-Yu Cheng | en |
| dc.date.accessioned | 2023-07-19T16:34:17Z | - |
| dc.date.available | 2023-11-09 | - |
| dc.date.copyright | 2023-07-19 | - |
| dc.date.issued | 2023 | - |
| dc.date.submitted | 2023-05-18 | - |
| dc.identifier.citation | [1] Abhinav Anand, Tiantian Li, Tetsuo Kurosaki, and Young Shin Kim. Foster–Hart optimal portfolios. Journal of Banking & Finance, 68(1):117–130, 2016.
[2] Dean P. Foster and Sergiu Hart. An operational measure of riskiness. Journal of Political Economy, 117(5):785–814, 2009. [3] Harry Markowitz. Portfolio selection. The Journal of Finance, 7(1):77–91, 1952. [4] Robert J. Aumann and Roberto Serrano. An economic index of riskiness. Journal of Political Economy, 116(5):810–836, 2008. [5] Ulrich Homm and Christian Pigorsch. Beyond the sharpe ratio: An application of the Aumann–Serrano index to performance measurement. Journal of Banking & Finance, 36(8):2274–2284, 2012. [6] Yi-Ting Chen, Keng-Yu Ho, and Larry Y. Tzeng. Riskiness-minimizing spot-futures hedge ratio. Journal of Banking & Finance, 40(1):154–164, 2014. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87801 | - |
| dc.description.abstract | 本研究旨在基於Aumann and Serrano (2008)提出的風險性指標，並循Chen et al. (2014)提出的計算方法，依據2015年的標普500指數及其選擇權之價格資料，尋求以標普500歐式賣權對該指數進行避險下，使投資組合風險性降至最小之方式，並驗證歐式賣權價性與避險效果之間的關係。 | zh_TW |
| dc.description.abstract | Based on the riskiness index developed by Aumann and Serrano (2008), and following the method proposed by Chen et al. (2014), this study seeks to determine the riskiness-minimized portfolio of SPX hedged with European SPX put options, and verify the relation between the effectiveness on hedging and the moneyness of put options according to the market data in 2015. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2023-07-19T16:34:17Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2023-07-19T16:34:17Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | Verification Letter from the Oral Examination Committee i
Acknowledgements iii 摘要 v Abstract vii Contents ix List of Figures xi List of Tables xiii Chapter 1 Introduction 1 Chapter 2 Methodology 5 2.1 Data 5 2.2 Setup 7 Chapter 3 Results 11 3.1 Market Condition 1: An Expected Rate of Return on SPX Close to 0 11 3.2 Market Condition 2: A Negative Expected Rate of Return on SPX 16 3.3 Market Condition 3: A Positive Expected Rate of Return on SPX 19 3.4 Discussion 21 Chapter 4 Conclusion 25 References 27 | - |
| dc.language.iso | en | - |
| dc.title | 以標普500指數及其賣權建構風險性最小化之投資組合 | zh_TW |
| dc.title | Riskiness-minimizing Portfolio Consisting of S&P 500 Index and Put Options | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 111-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 王之彥;黃瑞卿 | zh_TW |
| dc.contributor.oralexamcommittee | Jr-Yan Wang;Rachel Juiching Huang | en |
| dc.subject.keyword | 風險性,最適避險比率,標普,選擇權避險,價性, | zh_TW |
| dc.subject.keyword | Riskiness,Optimal hedge ratio,Standard and Poor’s,Option hedging,Moneyness, | en |
| dc.relation.page | 27 | - |
| dc.identifier.doi | 10.6342/NTU202300670 | - |
| dc.rights.note | 同意授權(限校園內公開) | - |
| dc.date.accepted | 2023-05-19 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| 顯示於系所單位： | 財務金融學系 | |
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