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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/6092

    Title: Dynamic Asset Allocation Strategies for Investors with Mortgage Liability in the Environment of Time-Varying Interest Rates
    Authors: 徐辜元宏;顏錫銘
    Hsu Ku,Yuan-Hung;Yen, Simon H.
    Keywords: Stochastic investment opportunities;mortgage liability;intertemporal model
    Date: 2006
    Issue Date: 2008-11-05 16:52:56 (UTC+8)
    Abstract: This paper provides a model of dynamic asset allocation strategy for investors with mortgage liability facing time-varying interest rates. We adopt the Duffie-Epstein (1992b) formulation to describe investors' preferences by a recursive utility function defined over consumption flows and use perturbation methods to get linear approximate solutions in continuous-time. We show that the long-term investor will have a positive intertemporal hedging demand on bonds coming from pure changes in interest rates. We provide other distinguishable hedging components in the equity portfolio and long-term real bonds of the optimal dynamic asset allocation for hedging investors' mortgage liability in this paper.
    Key words: Stochastic investment opportunities, mortgage liability, intertemporal model.
    Relation: Journal of Financial Studies, 15(1), 31-64
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

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