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研究生:曾毓英
研究生(外文):Tzeng, Yu-Ying
論文名稱:通貨膨脹學習效果之動態投資組合
論文名稱(外文):Dynamic Portfolio Selection incorporating Inflation Risk Learning Adjustments
指導教授:張士傑張士傑引用關係
指導教授(外文):Chang, Shih Chieh
學位類別:碩士
校院名稱:國立政治大學
系所名稱:風險管理與保險研究所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:97
語文別:中文
論文頁數:80
中文關鍵詞:通貨膨脹學習效果最適資產配置CRRA效用函數
外文關鍵詞:Inflation rateLearning effectOptimal asset allocationConstant relative risk aversion utility function (CRRA)
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本研究探討長期投資人在面臨通貨膨脹風險時的最適投資決策。就長期投資者而言,諸如退休金規劃者等,通貨膨脹是無可避免卻又不易被數量化之風險,因為各國僅公布與之相關的消費者物價指數而沒有公布真實通貨膨脹數值,因此我們延伸Campbell和Viceira(2001)及Brennan和Xia(2002)的模型假設,以消費者物價指數的資訊來校正原先假定符合Vasicek模型之通貨膨脹動態過程。本研究之理論背景為:利用貝式過濾方法(Baysian Filtering Method),將含有雜訊之消費者物價指數,透過後驗分配得出通貨膨脹動態過程。利用帄賭過程(Martingale Method)求解資產之公帄價格。再引進定值相對風險趨避(Constant Relative Risk Aversion,CRRA)的效用函數,求出最適投資組合下之期末累積財富、各期資產配置以及效用值。
This study examines the optimal portfolio selection incorporating inflation risk learning adjustments for a long-term investor. For long-term investors, it is inevitable to face the uncertainty of inflation. On the other hand, quantifying inflation risk needs more effort since the government announced the information on Consumer Price Index (CPI) rather than the real inflation rates.
謝誌 .......................................... I
摘要 .......................................... II
Abstract ..................................... III
目錄 .......................................... V
表目錄 ........................................ VII
圖目錄 ........................................ VII
第一章 前言 .................................... 1
第二章 文獻回顧 ................................. 3
第一節 文獻回顧:資產配置與最適化 ........... 3
第二節 文獻回顧:利率、通貨膨脹與學習效果 .... 4
第三章 建構通貨膨脹模型 .......................... 7
第一節 物價指數與通貨膨脹的介紹 ............. 7
第二節 物價指數與通貨膨脹之間的關係 .......... 9
第三節 通貨膨脹的學習效果模型假設 ............ 9
第四章 投資組合的動態過程 ........................ 15
第一節 動態過程:無風險名目資產 ............. 15
第二節 動態過程:股票的大盤指數 ............. 16
第三節 動態過程:總體經濟的實質折現因子 ...... 16
第四節 動態過程:名目滾動式債券 ............. 18
第五節 投資組合的動態過程 .................. 21
第五章 最適投資組合 ............................. 23
第一節 將效用數量化的前提假設 .............. 23
第二節 最適投資組合的定義 ................. 24
第三節 最適投資組合成長函數 ............... 25
第四節 最適投資組合的解 ................... 26
第五節 最適投資組合相關定理、性質 .......... 28
第六章 數值分析 ................... ............ 33
第一節 最適投資策略之動態資產比例 .......... 33
第二節 學習效果與敏感度分析:投資期限 ....... 36
第三節 學習效果與敏感度分析:風險容忍程度 .... 40
第七章 結論 .................................... 45
參考文獻 ....................................... 47
附錄一:滾動式債券動態過程 ........................ 50
附錄二:利用長、短滾動式債券合成任何長度滾動式債券 ... 55
附錄三:定理1證明 ................................ 57
附錄四:性質2證明 ................................ 67
附錄五:性質3證明 ................................ 69
附錄六:性質4證明 ................................ 72
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