臺灣博碩士論文加值系統

一般衡量市場利率波動對投資標的物價值變動的影響，採用存續期間
(duration)。此一觀念最早為 Frederick R. Macaulay(1938)提出，本文
擬將存續期間的研究範圍延伸至「預售屋」方面，以期增加另一新的應用
領域。本文宗旨即在於探討市場利率波動對預售屋投資組合價值波動之影
響，且更進一步探究在既有資金限制及利率風險免疫條件(immunization)
下，如何進行投資，而使整個投資組合價值極大化。　 整個實証內容共
可分成三大部份，即單一預售屋存續期間之計算、投資組合投資家數之選
擇，及預售屋免疫效果之研究。

Duration measures the percentage change in asset values with
respect to the fluctuation of interest rate. The concept of
duration is widely used to both measure and control of the in-
terest rate risk of portfolios. This study applies this concept
to manage the interest rate risk of pre-sales house. In other
words, the goal of this thesis is to explore the impact of in-
terest rate fluctuations on the values of pre-sales house. In
addition to measuring the durations of pre-sales houses, this
thesis maximizes the value of pre-sales houses portfolio under
the strict limit of funds and the condition of immunization. In
summary, there are three parts in this study, including the
calculation of duration about single pre-sales house, opti- mal
selection of pre-sales houses subject to just-in-time pay-
ment, and portfolio optimization under the conditions both
just- in-time payment and duration matching.