政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64845

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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/64845

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题名:	Elucidating Asymmetric Volatility in Asset Returns and Optimizing Portfolio Choice Using Time-Changed Lévy Processes
作者:	陳正暉;廖四郎 Chen, Zheng-Hui;Liao, Szu-Lang
贡献者:	金融系
关键词:	Optimal portfolio choice;stochastic volatility;time-changed Lévy processes;leverage effect;volatility feedback effect;asymmetric volatility
日期:	2010-06
上传时间:	2014-03-24 13:50:59 (UTC+8)
摘要:	This study significantly extends the applicability of time-changed Lévy processes to the portfolio optimization. The leverage effect directly induces the intertemporal asymmetric volatility hedging demand, while the volatility feedback effect exerts a minor influence via the leverage effect under the pure-continuous time-changed Lévy process. Furthermore, the leverage effect still plays a major role while the volatility feedback effect just works over the short-term investment horizon under the infinite-jump Lévy process. Based on the proposed general stochastic asymmetric volatility asset return model, we conclude that the diffusion term is an essential determinant of financial modeling for index dynamics given infinite-activity jump structure.
關聯:	財務金融學刊, 18(2), 135-166
数据类型:	article
显示于类别:	[金融學系] 期刊論文

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