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題名:權變投資組合保險在臺灣股市之應用
書刊名:風險管理學報
作者:許溪南賴彌煥
作者(外文):Hsu, HsinanLai, Mi-huan
出版日期:2000
卷期:2:2
頁次:頁89-118
主題關鍵詞:權變投資組合保險濾嘴法則選擇權動態保險策略Contingent portfolio insuranceFilter ruleOptionsDynamic portfolio strategies
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:7
  • 點閱點閱:20
     本文採用臺灣證券交易所發行量加權股價指數作為研究標的,以濾嘴法則作為判斷投資組合保險之依據,依市場狀況而決定是否進行投資組合保險之權變型投資組合保險。當濾嘴法則判定股市呈現多頭時,則不進行保險,以買入持有策略進行操作;反之,當股市呈現空頭時,則進行投資組合保險。最後並將本研究結果與標準型之投資組合保險之結果作一比較,以探討權變投資組合保險之可行性。研究結果發現,權變投資組合保險配合濾嘴法則採用1%至9%的濾嘴比率,在台灣股市近廿年的實證結果中確實可以獲得超額報酬。
     The purpose of this paper is to propose a methodology of implementing contingent portfolio insurance. Specifically, based on the filter rule to judge while the market is bull or bear, we investigate the effect of contingent portfolio insurance on the portfolio of "Taiwan Stock Exchange Capitalization Weighted Stock Index." The performance of the contingent portfolio insurance is compared with those of the standard portfolio insurance and the buy-and-hold strategy. Results indicate that, for filters 1% to 9%, the contingent portfolio insurance outperformed the other two strategies in various investment horizons for a 20-year sample period.
期刊論文
1.Brennan, J. Michael、Schwartz, Eduardo S.(1988)。Time-Invariant Portfolio Insurance Strategies。Journal of Finance,43(2),283-299。  new window
2.Choie, Kenneth S.、Seff, Eric J.(1989)。TIPP: Insurance without complexity: Comment。Journal of Portfolio Management,3,107-108。  new window
3.Clarke, Roger G.、Arnott, Robert D.(1987)。The Cost of Portfolio Insurance: Tradeoffs and Choices。Financial Analysts Journal,35-47。  new window
4.Estep, Tony、Kritzman, Mark(1988)。TIPP: Insurance without complexity。Journal of Portfolio Management,14,38-42。  new window
5.Etzioni, S. Ethan(1986)。Rebalance Disciplines for Portfolio Insurance。Journal of Portfolio Management,59-62。  new window
6.Fama, Eugene F.、Blume, Marshall E.(1966)。Filter Rules and Stock-Market Trading。Journal of Business,39(1),226-241。  new window
7.Garcia, C. B.、Gould, F. J.(1987)。A Note on the Measurement of Risk in a Portfolio。Financial Analysts Journal,61-69。  new window
8.Leland, Hayne E.(1980)。Who Should Buy Portfolio Insurance?。Journal of Finance,35(2),581-594。  new window
9.Merton, R. C.(1973)。The Relationship Between Put and Call Option Prices: Comment。Journal of Finance,28,183-184。  new window
10.Rendleman, Richard J.、O'Brien, Thomas J.(1990)。The Effects of Volatility Misestimation on Option-Replication Portfolio Insurance。Financial Analysts Journal,60-70。  new window
11.Rubinstein, Mark、Leland, Hayne E.(1981)。Replicating Options with Positions in Stock and Cash。Financial Analysts Journal,63-71。  new window
12.Rubinstein, Mark(1985)。Alternative Paths to Portfolio Insurance。Financial Analysts Journal,41(4),42-52。  new window
13.Sharpe, William F.(1987)。Integrated Asset Allocation。Financial Analysts Journal,43,25-32。  new window
14.Stoll, Hans R.(1969)。The Relationship Between Put and Call Option Prices。Journal of Finance,24,802-824。  new window
15.Sweeney, Richard J.(1988)。Some New Filter Rule Tests: Methods and Results。Journal of Financial and Quantitative Analysis,23,285-300。  new window
16.Zhu, Yu、Kavee, Robert C.(1988)。Performance of Portfolio Insurance Strategies。Journal of Portfolio Management,14(4),48-54。  new window
17.許溪南、黃銘輝(19990300)。Strap與Strip混合策略在臺灣股市之應用。中山管理評論,7(1),101-127。new window  延伸查詢new window
18.Black, Fischer、Jones, Robert(1987)。Simplifying Portfolio Insurance。Journal of Portfolio Management,48-51。  new window
19.林筠(19920500)。投資組合保險與調整法則:權衡與選擇。臺大管理論叢,3(1),1-31。new window  延伸查詢new window
20.俞明德、許芳賓(19960100)。臺灣投資組合保險之實證研究。證券市場發展,8(1)=29,31-44。new window  延伸查詢new window
21.洪仁杰、許溪南(19950400)。投資組合保險之回顧。證券金融,45,20-34。  延伸查詢new window
22.許溪南、賴彌煥(20000600)。投資組合保險之意義與執行方法。保險專刊,60,102-127。new window  延伸查詢new window
23.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
24.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
25.Perold, André F.、Sharpe, William F.(1988)。Dynamic strategies for asset allocation。Financial Analysts Journal,44(1),16-27。  new window
26.Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics,3(1/2),145-166。  new window
學位論文
1.邵光耀(1991)。投資組合保險策略之績效--臺灣股市之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
2.金國隆(1990)。投資組合保險之理論與實證(碩士論文)。國立臺灣大學。  延伸查詢new window
3.陳玫纓(1997)。台灣退休基金資產配置與投資組合保險策略之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
4.楊昌博(1995)。投資組合保險策略在台灣股市之實證研究--七種保險策略績效之比較(碩士論文)。國立成功大學。  延伸查詢new window
5.葉德霖(1996)。投資組合保險策略與績效之研究--以簡單排列原則(SRD)形成投資組合為例(碩士論文)。輔仁大學。  延伸查詢new window
6.廖俊強(1995)。變異數估計對投資組合保險策略的績效影響評估(碩士論文)。國立政治大學。  延伸查詢new window
7.劉懋楠(1993)。投資組合保險策略之整合(碩士論文)。國立臺灣大學。  延伸查詢new window
 
 
 
 
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