| Summary: | 碩士 === 國立臺灣大學 === 商學系 === 82 === Duration measures the percentage change in asset values with
respect to the fluctuation of interest rate. The concept of
duration is widely used to both measure and control of the in-
terest rate risk of portfolios. This study applies this concept
to manage the interest rate risk of pre-sales house. In other
words, the goal of this thesis is to explore the impact of in-
terest rate fluctuations on the values of pre-sales house. In
addition to measuring the durations of pre-sales houses, this
thesis maximizes the value of pre-sales houses portfolio under
the strict limit of funds and the condition of immunization. In
summary, there are three parts in this study, including the
calculation of duration about single pre-sales house, opti- mal
selection of pre-sales houses subject to just-in-time pay-
ment, and portfolio optimization under the conditions both
just- in-time payment and duration matching.
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