政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64607

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109951/140892 (78%)
Visitors : 46221787 Online Users : 685

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64607

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64607

Title:	通貨膨脹風險、學習機制與策略性資產配置
Other Titles:	Inflation Risk, Learning Mechanism and Strategic Asset Allocation
Authors:	張士傑;蔡政憲;黃雅文 Chang, Shih-Chieh;Tsai, Cheng-Hsien;Huang, Ya-Wen
Contributors:	風管系
Keywords:	Time horizon;expected utility;volatility;risk averse;improvement rate
Date:	2011-06
Issue Date:	2014-03-12 16:03:54 (UTC+8)
Abstract:	Campbell and Viceira (2001) were the first to incorporate inflation risk into the optimal portfolio problem and found that the investor decreased the holding weights of long term bonds in the absence of inflation-linked underlying assets. Xia (2001) found that opportunity cost was significantly substantial when investors ignored the learning mechanism of uncertainty parameters and used the learning method to predict the parameter of the dynamics of stock price. In this study, we not only show that the learning process increases the utility value of terminal wealth, but also analyze the effect of learning process on the expected utility value of terminal wealth. The results are as follows. 1. Investment horizon, instantaneous volatility of inflation rate and risk attitude positively affects the learning process on the terminal wealth and its expected utility. The effects are more significant when the investment horizon, volatility and risk-averse attitude increase. 2. When volatility of the consumer price index and the estimation error increase, the learning ability enhance the expected wealth and utility. However, the improvement rate of utility decrease since investors becomes hardly learn from the inflation rate.
Relation:	財務金融學刊, 19(2), 73-109
Data Type:	article
Appears in Collections:	[風險管理與保險學系] 期刊論文

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML2	1183	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...