追蹤溫度的投資組合; Temperature Tracking Portfolios

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/12195

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12195

Title:	追蹤溫度的投資組合;Temperature Tracking Portfolios
Authors:	張秀雲;Hsiu-yun Chang
Contributors:	財務金融研究所
Keywords:	追蹤溫度的投資組合;溫度衍生性商品;Tracking Portfolios;Temperature Derivatives
Date:	2007-07-03
Issue Date:	2009-09-22 14:41:44 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	一個追蹤溫度的投資組合是由一群與天氣相關商品的報酬率根據不同的權重比例投資組合而成的。我們從一個氣候衍生性商品發行商的角度，提供了另一個方法來為其商品做定價。從實驗觀察可以發現：一個追蹤溫度的投資組合的確可以用來預測下一期的溫度。因此，我們可以利用這種追蹤型的投資組合來解決天氣是無法交易的特性；而且實際上，發行商或者是投資人也可以利用此一追蹤型的投資組合來對溫度衍生性商品做避險的操作。本論文利用美國過去十年的歷史資料做研究，並且做樣本外的預測估計，結果發現利用追蹤溫度的投資組合所預測的溫度與現實世界的溫度高度相關。因此，利用追蹤溫度的投資組合對未來的溫度衍生性商品做避險的效果是不錯的。 A temperature tracking portfolio is a portfolio of some correlated weather products with returns that can track temperature variables. This paper provides another way for pricing temperature derivatives from the viewpoint of an issuer. Empirical observations show that temperature tracking portfolios can be useful for forecasting temperature. Therefore, the tracking portfolios can solve the problem that weather is non-tradable and can be used for issuers or investors to hedge temperature derivatives in real time. In this paper, we use the past ten years’ data to investigate how well a tracking portfolio can be. The results of forecasting effect in this paper are very good. It shows that the temperature we forecasted is similar to the real one.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

Files in This Item:

File	Size	Format

社群 sharing

Loading...