Optimal Asset Allocation:Investment-Linked Insurance, Risk-free Deposit, Risk Asset
碩士 === 國立臺灣大學 === 國際企業學研究所 === 101 === Structured products have been discussed by investors, experts for decades. In Taiwan, the investment-linked insurance is one of the popular structured products. However, complexity is too high to price, so that investor can’t make a good decision about propor...
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ndltd-TW-101NTU053200272016-03-16T04:15:06Z http://ndltd.ncl.edu.tw/handle/43497336206427632928 Optimal Asset Allocation:Investment-Linked Insurance, Risk-free Deposit, Risk Asset 最適化資產配置:投資型保險、無風險存款、風險性資產 Yi-Chao Lin 林義超 碩士 國立臺灣大學 國際企業學研究所 101 Structured products have been discussed by investors, experts for decades. In Taiwan, the investment-linked insurance is one of the popular structured products. However, complexity is too high to price, so that investor can’t make a good decision about proportion of investment-linked insurance. An investment environment based on Jessen and Jorgensen (2012) assumes, a risk-free bank deposits, two market indexes (Index A, Index B), and an investment-linked insurance, linked with Index A and Index B. Investors only can invest Index B by investment-linked insurance. In this environment, we analyze the optimal proportion of the investment linked insurance, as well as the optimal asset allocation. In order to understand the investment behavior of investors and the process of psychological changing, we also explore sensitivity of optimal proportion of investment-linked insurance and asset allocation by risk aversion, insurance cost, correlation between Index A and Index B, and cumulative return. We apply four utility functions and the expected utility maximization to get optimal asset allocation. The result shows that investment-linked insurance would be excluded form portfolio if investors can invest Index B directly. Mao-Wei Hung 洪茂蔚 2013 學位論文 ; thesis 46 zh-TW |
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碩士 === 國立臺灣大學 === 國際企業學研究所 === 101 === Structured products have been discussed by investors, experts for decades. In Taiwan, the investment-linked insurance is one of the popular structured products. However, complexity is too high to price, so that investor can’t make a good decision about proportion of investment-linked insurance. An investment environment based on Jessen and Jorgensen (2012) assumes, a risk-free bank deposits, two market indexes (Index A, Index B), and an investment-linked insurance, linked with Index A and Index B. Investors only can invest Index B by investment-linked insurance. In this environment, we analyze the optimal proportion of the investment linked insurance, as well as the optimal asset allocation. In order to understand the investment behavior of investors and the process of psychological changing, we also explore sensitivity of optimal proportion of investment-linked insurance and asset allocation by risk aversion, insurance cost, correlation between Index A and Index B, and cumulative return.
We apply four utility functions and the expected utility maximization to get optimal asset allocation. The result shows that investment-linked insurance would be
excluded form portfolio if investors can invest Index B directly.
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author2 |
Mao-Wei Hung |
author_facet |
Mao-Wei Hung Yi-Chao Lin 林義超 |
author |
Yi-Chao Lin 林義超 |
spellingShingle |
Yi-Chao Lin 林義超 Optimal Asset Allocation:Investment-Linked Insurance, Risk-free Deposit, Risk Asset |
author_sort |
Yi-Chao Lin |
title |
Optimal Asset Allocation:Investment-Linked Insurance, Risk-free Deposit, Risk Asset |
title_short |
Optimal Asset Allocation:Investment-Linked Insurance, Risk-free Deposit, Risk Asset |
title_full |
Optimal Asset Allocation:Investment-Linked Insurance, Risk-free Deposit, Risk Asset |
title_fullStr |
Optimal Asset Allocation:Investment-Linked Insurance, Risk-free Deposit, Risk Asset |
title_full_unstemmed |
Optimal Asset Allocation:Investment-Linked Insurance, Risk-free Deposit, Risk Asset |
title_sort |
optimal asset allocation:investment-linked insurance, risk-free deposit, risk asset |
publishDate |
2013 |
url |
http://ndltd.ncl.edu.tw/handle/43497336206427632928 |
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