| Summary: | 博士 === 國立政治大學 === 財務管理研究所 === 95 === Risk management has received much attention in the last few years. Value-at-Risk (VaR) is widely used by corporate treasurers, fund managers and financial institution (Hull, 2000). A vast amount of literature considered a simple one-period asset allocation problem under VaR constraint. Furthermore, the aggregation of single-period optimal decisions across periods might not be optimal for multi-period as a whole. Basak and Shapiro (2001) were the first to address VaR-related issue in a dynamic general equilibrium setting. This dissertation builds upon the work of Basak and Shapiro (2001) to discuss three issues about dynamic asset allocation.
The first topic focuses on how deviations from normality affect asset choices made by risk managers. This study utilizes the Gram-Charlier expansion to approximate asset returns with negatively skewed and excess kurtosis. This work 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 , the probability that a loss exceeds VaR, and the agent will suffer from reduced terminal wealth in both the good and bad states.
The second topic solves an optimal investment problem involving a VaR risk manager who must allocate his wealth among cash, stocks and bonds. This study incorporates a stochastic interest rate process into the optimization problem. A Vasicek（1977）one-factor model governed the dynamics of the term structure of interest rates and risk premia are constant. Closed form formulate for the optimal investment strategy are obtained by assuming complete financial markets. Moreover, this study provides numerical examples to analyze the optimal terminal wealth and portfolio weights in stocks and bonds of the VaR risk manager. This work demonstrated the bond-stock allocation puzzle of Canner et al. (1997) that the bond-to-stock weighting ratio increases with risk aversion in popular investment advice in contradiction with standard two fund separation.
Finally, this work derives the optimal portfolio selection of the VaR manager by assuming complete financial markets and that the inflation and real interest rates follow correlated Ornstein-Uhlenbeck processes. This study provides numerical examples to analyze the optimal terminal real wealth and optimal portfolio in stocks and two nominal bonds with different maturities. Furthermore, this work studies the influence of the parameters of inflation on the solution. This work illustrated that the younger VaR agent who has a long investment horizon invests the fraction of wealth in stock varies with the state price. It is not consistent with the Samuelson puzzle.
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