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題 名 | 國內公債投資權變免疫策略之研究=The Application of Contingent Immunization in ROC Government Bond Portfolio Management |
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作 者 | 許溪南; 戴瑞衡; | 書刊名 | 交大管理學報 |
卷 期 | 21:1 2001.04[民90.04] |
頁 次 | 頁81-107 |
分類號 | 564.5 |
關鍵詞 | 權變免疫策略; 債券組合管理; 利率風險; Contingent immunization; Bond portfolio management; Interest rate risk; |
語 文 | 中文(Chinese) |
中文摘要 | 免疫組合是一種被動之債券管理策略,可提供投資人在利率變幻莫測的市場中,獲取安全且可預測之報酬率。權變免疫策略則是,只要投資報酬率達到預先設定之最低要求,投資經理可以主動的管理投資組合,以追求投資報酬之最大化。若達不到最低報酬率時,則改採免疫策略,以獲取最低報酬率。如此,在投資人獲取滿意報酬率的同時,又可追求高報酬。本研究以78至83年流通於店頭市場的政府公債為例,實證建構權變免疫組合之可行性。研究結果顯示,當投資經理成功的掌握市場利率走勢時,採取權變免疫之投資組合,其實現報酬率高於免疫組合,且具有顯著之差異水準。然而,當投資經理未能掌握市場利率時,採取較長之投資期限之權變免疫投資組合,其報酬率之減少,相對於免疫組合相當有限,且不具有顯著性。 |
英文摘要 | Bond immunization is a passive strategy that offers a target return in an unpredictable marketplace. With contingent immunization, the bond portfolio is actively managed as long as the overall rate of return exceeds some predetermined minimum return. If that floor rate is threatened, the portfolio is immediately immunized. With this strategy, the investor is guaranteed a minimum level of return while pursuing higher returns. This paper initiates a contingent immunization program for ROC government bond portfolio management. From 1989 to 1994, it performs a rather high return, if the manager successfully forecasts the interest rates. The difference in performance between immunization strategy and contingent immunization is significant. On the other hand, if the manager fails to forecast the interest rates, the performance of contingent immunization strategy is slightly lower than that of pure immunization for a longer investment horizon. |
本系統中英文摘要資訊取自各篇刊載內容。