臺灣博碩士論文加值系統

本論文討論隨機利率與跳躍事件下的動態資產配置。與傳統的三種資產模型作比較，我們改為採用多種資產的模型。可投資的工具不僅包括股票、債券、存款，也包括了衍生性證券。我們在文中試著使用彈性（或存續期間）方法來解決標的資產與其衍生性證券的支付情形會有共線性的問題。同時，也使用貨幣帳目當作標準財來計算投資者財富的遠期價值。我們發現，如果一個投資者是完全風險趨避者，他會選擇將所有的錢存在銀行不承擔任何風險，而並非像傳統結論所說的將錢投資於債市，這比較符合實際的情況。將我們的結果與傳統結論作比較，發現考慮隨機利率與跳躍事件下的最適權重會較小。除此之外，我們還建議一種新的兩階段步驟來決定債券投資組合的最適權重。那麼，在決定資產市場的最適權重前，投資者必須先得到最適存續期間來管理利率的風險。

This paper discusses a dynamic asset allocation under considering stochastic interest rate and jump events. Comparing with a traditional three-kind-assets model, we specify the model to be a multi-assets model. The investment instruments of portfolio not only contain stocks, bonds, and holding cash in banks, but also contain derivative securities to complete the efficiency of a market. We use elasticity (or duration) approach to solve the problem of collinear between the payoff of derivatives and its underlying assets. We also use money account to calculate the forward value of the investor’s wealth. Then, if the investors are fully risk averse, they would deposit all their money in banks not in bond market. Contrast to traditional research, the optimal weight is smaller if we consider stochastic interest rate and jump events. Furthermore, we suggest a new kind of two-step procedure to decide the optimal bond portfolio. Thus, before deciding the optimal weight in asset markets, the investor must obtain the optimal duration to manage the interest rate risk.

第一章、 前言…………………………………………………………………………1
第一節、 研究動機……………………………………………………………………1
第二節、 研究目的……………………………………………………………………3
第三節、 研究架構與流程……………………………………………………………6
本章註釋：………………………………………………………………………………9
第二章、 文獻回顧……………………………………………………………………10
第一節、 投資組合理論………………………………………………………………11
第二節、 動態規劃方法………………………………………………………………13
第三節、 隨機利率……………………………………………………………………16
第四節、 跳躍風險……………………………………………………………………27
本章註釋：…………………………………………………………………………… 35
第三章、 模型架構……………………………………………………………………36
第一節、 多種資產投資組合…………………………………………………………36
第二節、 管理債券投資組合…………………………………………………………45
第四章、 結論 …………………………………………………………………………49

參考文獻…………………………………………………………………………………50
中文部份……………………………………………………………………………… 50
英文部分……………………………………………………………………………… 50

中文部分：
1.彭子華，利用動態規劃求解消費、儲蓄的最佳策略，長庚大學管理學研究所，未發表碩士論文，民國88年。
2.莊志宏，利率模型之實證與商品評價，輔仁大學金融研究所，未發表碩士論文，民國93年。
3.蔡秉寰，資產配置之動態規劃，國立政治大學金融學研究所，未發表碩士論文，民國90年。
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