附最低保證下之最適資產配置

• Main Authors: Chen,Pei-Yin, 陳姵吟
• Other Authors: Chang, Shi-Cheil
• Format: Others
• Language: en_US
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/96546055220785059493

碩士 === 國立政治大學 === 風險管理與保險研究所 === 92 === In this study, we consider a portfolio selection problem for long-term investors. Dynamic investment strategy with the continuous-time framework incorporating the minimum guarantees are constructed. Maximizing expected utility of the terminal wealth is employed by investors to trade off profits in good future state against losses incurred in worse states. Follow the previous works of Deelstra et al. (2003), we concentrate on the simplest case of a one-factor Cox-Ingersoll-Ross (CIR) model in formulating the stochastic variation from the interest rate risks. Under the market completeness assumption, the fund growth is modelled under the market neutral valuation and the optimal rules are mapped into the static variational problem of Cox and Huang (1989). In this study, we show that the optimal portfolio is equivalent to a certain mutual fund that can be replicated by the market primary assets