The most suitable for portfolio allocation under target economics

• Main Authors: Lin Fang Ju, 林芳如
• Other Authors: 賴錦璋
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/92790415321360286752

碩士 === 淡江大學 === 國際貿易學系 === 90 === The main purpose of this paper is to modify portfolio allocation when people seek to maximize his own utility under exchange rate and stock twin target zones. Traditional portfolio or option models assume that the trend of stock price and exchange are two independent stochastic process. Obviously, traditional portfolio model does not sufficiently utilize relevant information; moreover, the traditional portfolio does not offer us interesting information. Thus this paper takes advantage of general equilibrium model that allow us to derive exchange rate、stock price and interest rate stochastic equations to decide appropriate asset allocation.