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題名 | 各種投資組合保險策略之路徑相依度=The Path Dependence of Alternative Portfolio Insurance Strategies |
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作者 | 許溪南; 何怡滿; 莊筑因; | 書刊名 | 商管科技季刊 |
卷期 | 5:4 2004.12[民93.12] |
頁次 | 頁435-455 |
分類號 | 563.5 |
關鍵詞 | 投資組合保險; 路徑相依度; 二項樹; Portfolio insurance; Path dependence; Binomial tree; |
語文 | 中文(Chinese) |
中文摘要 | 路徑相依的投資組合保險策略是指其最終結果視標的物的價格路徑而定,路徑相依度愈大,代表著其實際結果與預期結果所可能產生的誤差也愈大。本文旨在探討路徑相依度的衡量方法及各種投資組合保險策略路徑相依度的大小。本文利用二項樹模型,計算各種投資組合保險策略之路徑相依度,並探討波動性、無風險利率、保險期間、要保額度和乘數等變數對路徑相依度之影響。研究結果發現,動態的投資組合保險策略中以停損策略的路徑相依度最大,而以選擇權為基礎的投資組合保險策略之路徑相依度最小。各種策略路徑相依的大小,對投資人選擇投資組合保策略有重要的意涵,投資人在選擇保險策略時,應在操作的簡單性與路徑相依度兩者間取得均衡。 |
英文摘要 | A path-dependent portfolio insurance strategy implies that its terminal result is dependent on the path of the underlying stock price. The larger the path dependence, the more likely the actual terminal result deviates from the expected result. The purpose of this paper is to investigate the measurement of the path dependence, and then to measure the path dependence of alternative portfolio insurance strategies. We use the binomial tree model to calculate the path dependence of alternative portfolio insurance strategies. We also investigate how path dependence is affected by variables such as stock volatility, risk-free interest rate, insurance period, floor, and multiplier. Our results indicate that, among alternative dynamic portfolio insurance strategies, the stop loss strategy has the largest path dependence, and the option-based portfolio insurance strategy has the smallest path dependence. The path dependence of a portfolio insurance strategy has an important implication to investors who must take the tradeoff between simplicity and accuracy of a portfolio insurance strategy. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。