隨機利率下之投資組合最佳化

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/7641

Title:	隨機利率下之投資組合最佳化
Authors:	陳柏任;Po-Jen Chen
Contributors:	統計研究所
Keywords:	投資組合最佳化;optimal portfolio
Date:	2006-06-08
Issue Date:	2009-09-22 11:01:31 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	在財務最佳化投資的應用上，常被應用找出標第物的最佳化投資權重方法為Mean-Variance 方法，此方法在無風險利率上的假設為常數，本篇要介紹的方法由HJB PDE 導出最佳化投資權重，在W. H. Fleming 及S. J. Sheu(2000)提出的方法也得到相同的結果。假設無風險利率為隨機情況下，所求的最佳化投資權重。在對數型效用函數且在允許買空賣空（投資權重允許為負值）的情況下，比較兩個方法所得期末報酬表現。在推導中，將介紹利用HJB PDE 推導隨機利率的最佳化投資權重結果。評判兩個方法的標準為夏普比率之高低，實證分析中將採用美國金融市場歷史資料。 Mean-Variance portfolio optimization is the most commonly applied method to find the portfolio weight for risky assets. The interest rate is assumed to be a constant in the framework. We derive the optimal portfolio weight by Hamilton-Jacobi-Bellman (HJB) equation under log utility when the interest rate is stochastic. We compare the Sharpe ratio as a measure of performance of the two methods, allowing short sales. The empirical analysis on US historical data is conducted.
Appears in Collections:	[Graduate Institute of Statistics] Electronic Thesis & Dissertation

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