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題名:
Optimal Asset Allocation with Extreme Returns and a VaR Constraint
書刊名:
臺大管理論叢
作者:
顏錫銘
/
李美杏
作者(外文):
Yen, Simon H.
/
Lee, Mei-hsing
出版日期:
2007
卷期:
17:2
頁次:
頁41-68
主題關鍵詞:
極值
;
左偏
;
肥尾
;
Gram-Charlier expansion
;
Value-at-risk based risk management
;
Leptokurtic asset returns
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:18
許多實證研究顯示資產報酬分配呈左偏和肥尾。本文探討當資產報酬分配呈左偏和肥尾時,對風險管理者資產配置之影響。Basak與Shapiro( 2001 )是首位將風險限制式(VaR)納入效用函數內,再極大化投資人之效用函數而求出最適資產配置。本文依據他們的方法,採用Gram-Charlier expansion描述資產報酬左偏和肥尾之特性,探討當資產報酬分配在非常態分配下,其資產配置的變化。對風險管理者而言,最重要的工作就是準確預測損失與發生損失的機率。瞭解資產報酬的型態將有助於準確的預測損失,我們無法降低損失,但可以降低發生損失的機率,本文建議可以降低α值(期末財富損失大於VaR之機率)來達成,而降低α值會使期末財富在好的狀態與壞的狀態的財富稍減。
以文找文
This study investigates how deviations from normality affect asset choices made by risk managers. This study applies the Gram-Charlier expansion for negatively skewed and excess kurtosis. Following Basak and Shapiro (2001), this study examines how negatively skewed and excess kurtosis affects asset allocations when investors manage market-risk exposure using Value-at-Risk-based risk management (VaR-RM). It is important for risk managers to precisely forecast the loss. The analytical results imply that the impact of leptokurtic asset returns is based on the shape of asset returns, and a correct measurement of leptokurtic asset returns is helpful to risk managers seeking to precisely forecast the loss. A risk manager cannot reduce the loss in bad states, but can reduce the value of α, the probability that a loss exceeds VaR, and the agent will suffer from reduced terminal wealth in both the good and bad states.
以文找文
期刊論文
1.
Jondeau, E.、Rockinger, M.(2001)。Gram-Charlier densities。Journal of Economic Dynamics and Control,25(10),1457-1483。
2.
Basak, S.、Shapiro, A.(2001)。Value at risk based risk management: Optimal policies and asset prices。Review of Financial Studies,14(2),371-405。
3.
Jarrow, Robert A.、Rudd, Andrew(1982)。Approximate Option Valuation for Arbitrary Stochastic Processes。Journal of Financial Economics,10(3),347-369。
4.
Lucas, A.、Klaassen, P.(1998)。Extreme Returns, Downside Risk, and Optimal Asset Allocation。Journal of Portfolio Management,25(1),71-79。
5.
Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。
6.
Jorion, P.(1996)。Risk 2: measuring the risk in value at risk。Financial Analysts Journal,52(6),47-56。
7.
Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。
8.
Praetz, P. D.(1972)。The Distribution of Share Price Changes。The Journal of Business,45(1),49-55。
9.
Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。
10.
Su, Tie、Corrado, C. J.(1996)。S&P 500 Index Option Tests of Jarrow and Rudd's Approximate Option Valuation Formula。The Journal of Futures Markets,16(6),611-629。
11.
Cox, J. C.、Huang, C. F.(1991)。A Variational Problem Arising in Financial Economics。Journal of Mathematical Economics,20(5),465-487。
12.
Bidarkota, P. V.、McCulloch, J. H.(2003)。Consumption Asset Pricing with Stable Shocks - Exploring a Solution and Its Implications for Mean Equity Returns。Journal of Economic Dynamics and Control,27(3),399-421。
13.
Corrado, C. J.、Su, T.(1997)。Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices。The Journal of Derivatives,4(4),8-19。
14.
Cox, J. C.、Huang, C. F.(1989)。Optimum Consumption and Portfolio Policies When Asset Price Follow a Diffusion Process。Journal of Economic Theory,49(1),33-83。
15.
Longstaff, F.(1995)。Option Pricing and the Martingale Restriction。The Review of Financial Studies,8(4),1091-1124。
16.
Gallant, A. R.、Tauchen, G.(1989)。Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications。Econometrica,57(5),1091-1120。
17.
Gallant, A. R.、Nychka, D. W.(1987)。Semi-nonparametric Maximum Likelihood Estimation。Econometrica,55(2),363-390。
18.
Tokat, Y.、Rachev, S. T.、Schwartz, E. S.(2003)。The Stable Non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach。Journal of Economic Dynamics and Control,27(6),937-969。
19.
Gallant, A. R.、Hansen, L. P.、Tauchen, G.(1990)。Using Conditional Moments of Asset Payoffs to Infer the Volatility of Intertemporal Marginal Rates of Substitution。Journal of Econometrics,45(1/2),141-179。
學位論文
1.
Hales, S. J.(1997)。Valuation of Foreign Currency Options with the Paretian Stable Option Pricing Model,USA。
圖書
1.
Stulz, R. M.(2003)。Risk Management and Derivatives。Mason, OH:Thomson South-Western。
2.
Rachev, S. T.、Mittnik, S.(2000)。Stable Paretian Models in Finance。John Wiley and Sons。
3.
Samorodnitsky, G.、Taqqu, M. S.(1994)。Stable non-Gaussian random processes: Stochastic models with infinite variance。Chapman & Hall。
4.
Embrechts, P.、Kluppelberg, C.、Mikosch, T.(1997)。Modelling Extremal Events for Insurance and Finance。Berlin:Springer-Verlag Berlin Heidelberg。
5.
Campbell, John Y.、Lo, Andrew W.-C.、MacKinlay, A. Craig(1997)。The Econometrics of Financial Markets。Princeton University Press。
6.
de Vries, Casper G.(1994)。Stylized Facts of Nominal Exchange Rate Returns。The Handbook of International Macroeconomics。Oxford, UK。
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