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| 題 名 | 股權指數連結型商品之投資避險策略=Optimal Hedging Strategy of Equity-Linked Products |
|---|---|
| 作 者 | 黃泓智; | 書刊名 | 財務金融學刊 |
| 卷 期 | 17:1 2009.03[民98.03] |
| 頁 次 | 頁75-106 |
| 分類號 | 561.76 |
| 關鍵詞 | 多期最佳資產配置; 動態避險; 倒推法; Multi-period asset allocation; Dynamic hedging; Backward method; |
| 語 文 | 中文(Chinese) |
| 英文摘要 | Recently, Asset liability management gains more attentions. Asset allocation has become a critical issue in financial institution. Conventionally, literatures of portfolio selections mainly focus on the issue of single-period. However, it is not appropriate to hedge a long-term liability by the means of single-period investment strategy. The main purpose of this paper is to find optimal multi-period dynamic hedging strategies which minimize the riskiness of the investment portfolio relative to the equity-linked liability. Theoretical optimal solution is obtained by the backward method of risk-minimizing hedging strategy. This paper finds that matching is concerned with the selection of assets which most closely resemble the liability cash flows, whereas multi-period optimal asset allocation is concerned with selection of assets which attain an optimal level of risk. |
本系統中英文摘要資訊取自各篇刊載內容。