查詢結果分析
相關文獻
- Optimal Asset Allocation with Extreme Returns and a VaR Constraint
- A Modified Multistart Method for Multimodal Optimization
- 極值法估計股價波動之研究--臺灣股市的實證分析
- 改良式單純形法對結構最佳化設計之應用
- Extremum Seeking for Limit Cycle Minimization
- 算術平均數≧幾何平均數之求極值淺說
- 以MDS方法探索口語評估之決策策略
- 侵臺颱風的最低中心氣壓與最大風速之極值統計
- 隨機搜尋法於多極值最佳化問題之應用
- 金融機構資產組合壓力測試之文獻回顧、執行方法與管理意涵
頁籤選單縮合
題名 | Optimal Asset Allocation with Extreme Returns and a VaR Constraint=考慮極值與VaR限制之最適資產配置 |
---|---|
作者姓名(中文) | 顏錫銘; 李美杏; | 書刊名 | 臺大管理論叢 |
卷期 | 17:2 2007.06[民96.06] |
頁次 | 頁41-68 |
分類號 | 494.7 |
關鍵詞 | 極值; 左偏; 肥尾; Gram-Charlier expansion; Value-at-risk based risk management; Leptokurtic asset returns; |
語文 | 英文(English) |
中文摘要 | 許多實證研究顯示資產報酬分配呈左偏和肥尾。本文探討當資產報酬分配呈左偏和肥尾時,對風險管理者資產配置之影響。Basak與Shapiro( 2001 )是首位將風險限制式(VaR)納入效用函數內,再極大化投資人之效用函數而求出最適資產配置。本文依據他們的方法,採用Gram-Charlier expansion描述資產報酬左偏和肥尾之特性,探討當資產報酬分配在非常態分配下,其資產配置的變化。對風險管理者而言,最重要的工作就是準確預測損失與發生損失的機率。瞭解資產報酬的型態將有助於準確的預測損失,我們無法降低損失,但可以降低發生損失的機率,本文建議可以降低α值(期末財富損失大於VaR之機率)來達成,而降低α值會使期末財富在好的狀態與壞的狀態的財富稍減。 |
英文摘要 | This study investigates how deviations from normality affect asset choices made by risk managers. This study applies the Gram-Charlier expansion for negatively skewed and excess kurtosis. Following Basak and Shapiro (2001), this study examines how negatively skewed and excess kurtosis affects asset allocations when investors manage market-risk exposure using Value-at-Risk-based risk management (VaR-RM). It is important for risk managers to precisely forecast the loss. The analytical results imply that the impact of leptokurtic asset returns is based on the shape of asset returns, and a correct measurement of leptokurtic asset returns is helpful to risk managers seeking to precisely forecast the loss. A risk manager cannot reduce the loss in bad states, but can reduce the value of α, the probability that a loss exceeds VaR, and the agent will suffer from reduced terminal wealth in both the good and bad states. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。