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研究生:廖珂平
論文名稱:負債導向資產配置與固定收益組合
論文名稱(外文):Liability Driven Asset Allocation and Fixed Income Management
指導教授:張士傑張士傑引用關係鄭宗記鄭宗記引用關係
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
畢業學年度:102
語文別:中文
論文頁數:43
中文關鍵詞:間接效用函數負債複製投資組合擬似動態過程債券定價誤差
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本研究探討固定收益債券為主的多期資產配置,假設不同風險偏好程度的投 資人,於設定之投資期限內,達到最適投資策略。本研究之模型主要參考 Cox & Huang(1989, 1991)所提出之平賭概念與 Sorensen(1999)利用 Vasicek 模型模擬市場 利率,在完備市場假設下,建構間接效用函數,利用擬似動態規劃方法,求得最 適配置結果。且考量債券定價誤差下,討論投資組合之變化,以及給定負債組合 及預估現金流量下之最適配置結果。
本研究結果顯示,債券訂價誤差之假設對於投資組合有明顯影響,在誤差愈 大時,因債券所含之隱藏獲利愈高,影響配置結果,透過假設不同債券定價誤差, 分析影響整體投資組合之結果以及對於股票和現金部位之影響,而在考量負債面 下,對於投資組合最適化之方法與前述相同,因考量負債現金流量,使原始投資 組合再加入所能符合負債現金流之債券項目即可。
第一章 緒論........................................................................................................................................6 第一節 研究動機...................................................................................................................... 6 第二節 研究目的....................................................................................................................12
第二章 文獻回顧............................................................................................................................13 第一節 投資組合最適化研究............................................................................................13 第二節 連續時間最適化研究............................................................................................14
第三章 研究方法............................................................................................................................16 第一節 投資人效用...............................................................................................................16 第二節 利率模型與投資標的............................................................................................17 第三節 動態完備市場假設 ................................................................................................ 19 第四節 間接效用函數..........................................................................................................20 第五節 擬似動態規劃..........................................................................................................23 第六節 債券價格定價誤差 ................................................................................................ 25
第四章 數值模擬結果...................................................................................................................27 第一節 市場概述....................................................................................................................27 第二節 模型參數選取..........................................................................................................28 第三節 數值結果....................................................................................................................29 第四節 債券價格定價誤差模擬結果與分析..............................................................31 第五節 負債複製投資組合 ................................................................................................ 34
第五章 結論與建議........................................................................................................................37 第一節 結論..............................................................................................................................37 第二節 建議..............................................................................................................................38
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