| Summary: | 碩士 === 國立暨南國際大學 === 財務金融學系 === 101 === The purpose of this paper is given the limit downside risk, find the optimal asset allocation thought adjusting the loan amount to subject to investor’s VaR limit set. We uses the portfolio selection model developed by Campbell, Huisman and Koedijk (2001), which is similar to the Sharpe ratio. Emerging market’s stock index and bond index are used to build the optimal portfolio, then through the risk-free rate to adjust VaR of the portfolio, also compared with developed market. Empirical results show that, whether there are sample period cutting, as long as considering the value at risk, the investment in the proportion of cash will increase with rising confidence level. Secondly, the asset allocation in emerging market changing obviously since the volatility in emerging market is high. Thirdly, there are much more VaR and lend amount when the asset return distribution is Student-t distribution. Fourthly, in sample period cutting, there find that emerging markets have much more variation than developed market. Finally, all result confirmed Campbell et al. (2001) study, highlights the influence of expected return distribution assumptions on optimal asset allocation.
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