簡易檢索 / 詳目顯示

回結果列表
研究生： 張惠渝
Chang, Hui-Yu
論文名稱： VaR限制下的最適投資組合
Optimal asset allocation under VaR constraint
指導教授： 王明隆
Wang, Ming-Long
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2002
畢業學年度： 90
語文別： 英文
論文頁數： 48
外文關鍵詞： Student-t distribution, Fat tail, Optimal asset allocation, VaR(Value at Risk)
相關次數： 點閱：101  下載：7 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • none

    VaR is defined as the expected maximum loss (or worst loss) over a target horizon within a given confident level. In this paper, we use a portfolio selection model suggested by Telser [1955], which allocates financial assets by maximizing expected return subject to the VaR constraint set by the fund manager. We show that the optimal asset allocation under VaR constraint provide the identical result to the mean-variance decision. Furthermore, our analysis reveals that the degree of the shortfall probability plays a crucial role in determining the effects of the choice between fat-tailed and a normal distribution. The results highlight the influence of non-normal characteristics of the expected return distribution.

    ABSTRACT…………………………………………………………………Ⅰ TABLE OF CONTENTS……………………………………………………Ⅱ LIST OF FIGURES………………………………………………………Ⅳ LIST OF TABLES…………………………………………………………Ⅴ CHAPTER 1 INTRODUCTION…………………………………………1 1.1 Motivation and Background…………………………………………1 1.2 Objective……………………………………………………………2 1.3 Organization…………………………………………………………3 CHAPTER 2 LITERATURE REVIEW………………………….………..4 2.1 Introduction of VaR……………………………………………………4 2.1.1 Definition………………………….…………………………..4 2.1.2 VaR for general distributions………………………….………..6 2.1.3 VaR for normal distribution………………………….……….…7 2.2 Literature Review……………………….……………………………..7 2.2.1 The distribution of asset returns………………………….……8 2.2.2 Portfolio theory………………………….…………………...8 2.2.3 Assts allocation model considering downside risk……………...9 CHAPTER 3 MODEL SPECIFICATIONS AND METHODOLOGY…14 3.1 The Model………………………….………………………….…......14 3.2 Probability distribution.………………………………………………15 3.2.1 Normal distributed returns…………………………………...15 3.2.2 Unknown distribution………………………………………..18 3.2.3 Symmetric distribution………………………………………20 3.2.4 Student-t distribution………………………………………...21 3.3 Empirical Methodology……….……………………………………...25 3.3.1 The VaR constraint and Student-t distribution with various v….26 3.3.2 The parameter estimation and empirical process……………...27 CHAPTER 4 EMPIRICAL RESULT…………….………………………29 4.1 Data Collections……………………….…………………………...….29 4.2 Empirical Results……………………….……………………………..30 4.2.1 Optimal asset allocation…………………………………..…30 4.2.2 The effect of misspecification v……………………………...32 CHAPTER 5 CONCLUSIONS…………….……………………………44 5.1 Conclusions………………………….…………………….………...44 5.2 Further Research………………...……….…………………………..45 REFERENCE…………….…………………………………………….….…46

    Abramowitz, M., and I.A. Stegun. Handbook of Mathematical Functions. New York: Dover Publication, 1970.

    Amado Peiró, “The distribution of stock returns: international evidence” Applied Financial Economics, 1994, pp. 431-439.

    André Lucas and Pieter Klaassen, “Extreme returns, downside risk, and optimal asset allocation.” Journal of Portfolio Management, Fall 1998, pp. 71-79.

    Blattberg, R.C. and N.J. Gonedes. “A comparison of the stable and student distribution as statistical models for stock prices.” Journal of Business, 1974, pp. 244-280.

    Chia-chih Chien “Controlling downside risk in asset allocation.” Master thesis (Department of Finance, NTU, Taiwan, ROC), 2001.

    Chopra, V. K., and W.T. Ziemba. “The effect of errors in means, variances, and covariances on optimal portfolio choice.” Journal of Portfolio Management, Date Winter 1993, Volume 19, Issue 2, pp. 6-11.

    Elton Gruber, “Modern portfolio theory and investment analysis.” Wiley, 1995. (5th ed.)

    Geert Bekaert, Claude B. Erb, Campell R. Harvey, and Tadas E. B. Viskanta, “Distributional characteristics of emerging market returns and asset allocation.” Journal of Portfolio Management, Winter 1998, pp. 102-116.

    Kevin Dowd, “A value at risk approach to risk-return analysis.” Journal of Portfolio Management, Summer 1999, pp. 61-67.

    Kataoka, S. “A stochastic programming model.” Econometrica 1963, 31:1-2 (January-April), 181-196.

    Leibowitz, M.L., and S. Kogelman, “Assets allocation under shortfall constraints.” Journal of Portfolio Management, Winter 1991, pp. 18-23.

    Peter Ritchken, “ Derivative market: Theory, strategy, and applications.” Harper Collions,1996.

    Philippe Jorion, “Risk2: Measuring the risk in value at risk.” Financial Analysts Journal, November/December 1996, pp. 47-56.

    Philippe Jorion, “Value at risk : The new benchmark for managing financial risk.” McGraw-Hill, 2000. (2nd ed.)

    Praetz, P.D. “The distribution of share price changes.” Journal of Business 45,1972, pp. 45-55.

    Rachel Campbell, Ronald Huisman, Kees Koedijk, “Optimal portfolio selection in a Value-at-Risk framework.” Journal of Banking and Finance, 2001, pp. 1789-1804.

    Roy, A. D. “Safety-first and the holding of assets.” Econometrics, July 1952, pp. 431-449.

    Telser, L.G. “Safety first and hedging.” Rev. of Econ. Stud. 6, 1955, 410-9.

    下載圖示 校內：2003-06-27公開
    校外：2003-06-27公開
    QR CODE