| DC 欄位 |
值 |
語言 |
| DC.contributor | 統計研究所 | zh_TW |
| DC.creator | 陳柏任 | zh_TW |
| DC.creator | Po-Jen Chen | en_US |
| dc.date.accessioned | 2006-7-11T07:39:07Z | |
| dc.date.available | 2006-7-11T07:39:07Z | |
| dc.date.issued | 2006 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=93225004 | |
| dc.contributor.department | 統計研究所 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en_US |
| DC.subject | 投資組合最佳化 | zh_TW |
| DC.subject | optimal portfolio | en_US |
| DC.title | 隨機利率下之投資組合最佳化 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |