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研究生:鄭傑懋
研究生(外文):Chieh-Mao Cheng
論文名稱:利用遠期深度價外賣權建構黑天鵝投資組合
論文名稱(外文):Black Swan Portfolio Construction : Using Long-Term DOTM Puts
指導教授:林盈課林盈課引用關係林月能林月能引用關係
指導教授(外文):Anchor Y. LinYueh-Neng Lin
口試委員:王凱立
口試委員(外文):Kai-Li Wang
口試日期:2016-05-30
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融學系所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2016
畢業學年度:104
語文別:中文
論文頁數:35
中文關鍵詞:黑天鵝事件交易策略深度價外賣權
外文關鍵詞:Black Swan eventsTrading strategyDOTM put
相關次數:
  • 被引用被引用:5
  • 點閱點閱:253
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
近年來黑天鵝事件的發生對於金融市場帶來的影響越來越巨大,本研究建構一投資策略,探討持續買入深度價外賣權是否為可行的黑天鵝事件避險方式,在基於遠深度價外賣權有訂價錯誤,以及持續買進虧損的賣權非一般投資人偏好的假設下,篩選低價且距到期日遠的賣權,利用VIX指標決定不同的部位數量,以SPX賣權為實證發現可以在持續買進遠期深度價外賣權有可觀的獲利,本研究也檢測不同價外程度的賣權發現有截然不同的報酬表現。利用與深度價外賣權結合的股票投資組合,可以使其績效優於大盤,每年約有超額報酬3.4%,同時對於黑天鵝事件的發生提供了尾端風險的保護,在金融海嘯期間提供了超過20%月的損失規避之外,於其他知名黑天鵝事件也有很好的避險效果。

In the recent years, the black swan events have tremendous impact in the financial market. We construct a trading strategy which buys and holds long-term and deep out-of –the-money puts on the S&P 500 index (SPX) to hedge the black swan events. Based on DOTM put mispricing and loss aversion assumptions, we using five criteria to select the DOTM put and using VIX as an index to decide portfolio position. This trading strategy could make positive profit and help investors to face up to extreme events. The annual portfolio performance which combines stocks with DOTM put is greater 1% than market portfolio, and avoids losses about 20% a month in the 2008 financial crisis.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 1
第三節 研究架構 4
第二章 文獻回顧 5
第一節 價格偏誤(Mispricing) 5
第二節 極值定理(Extreme value theory) 6
第三節 展望理論(Prospect theory) 7
第四節 深度價外賣權(DOTM put)與VIX 8
第三章 資料與研究方法 9
第一節 資料來源 9
第二節 賣權交易策略 9
第三節 投資組合建構 16
第四章 實證分析 18
第一節 DOTM put績效表現 18
第二節 OTM ATM put績效比較 22
第三節 投資組合績效 26
第五章 結論 30
第一節 結語 30
第二節 研究限制與改善 31
參考文獻 32
附錄 34

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