Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 102 === In order to reduce and diversify investment risks, investors get returns by global diversified asset allocation, but they will face the problem of foreign currency exposure . How to reduce investment risk is an important issue.
This study considers the currency hedging strategies by Campbell et al. (2010), using the monthly stock and bond market data of the United States, Japan, Germany, United Kingdom and Taiwan, from October 2010 to December 2013.To analyze the mean, standard deviation and correlation of interest rates, stock market and bond market portfolio.
Due to the RMB business launched in Taiwan’s Domestic Banking Unit (DBU) in 2013, this study also uses the monthly stock and bond market data of the United States, Japan, Germany, United Kingdom, China and Taiwan, from October 2010 to December 2013. To analyze the mean, standard deviation and correlation of interest rates, stock market and bond market portfolio.
This study intends to explore the external and internal factors that RMB appreciation.
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