政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49640
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 110934/141854 (78%)
造访人次 : 47784202      在线人数 : 621
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/49640


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/49640


    题名: 極端市場狀況下原物料商品加入投資組合的表現
    Portfolio performance with commodity investments: an extreme market case
    作者: 林文凱
    Lin, Wen Kai
    贡献者: 盧敬植
    Lu, Ching Chih
    林文凱
    Lin, Wen Kai
    关键词: 原物料投資
    投資組合
    極端市場
    Commodity Investment
    Portfolio Allocation
    日期: 2008
    上传时间: 2010-12-08 15:38:05 (UTC+8)
    摘要: In this thesis, we discuss the possible diversification benefits offered by commodity futures, especially in the extreme equity market conditions. We see that adding commodity investments into portfolios could improve their performance with better diversification efficiency. However, with correlation estimation by methods developed by Longin and Solnik(2001) and Ang and Chen(2002), we see correlations between equity and commodity investments increase while they are on downside moves . The results suggest that the diversification benefits offered by commodity investment may change in different market conditions. For further examination, we divide our sample in groups ranked by the home market (U.S. equity investments) returns to see if the commodity-equity portfolio could still perform better over all-equity portfolio in different times. The statistical test shows that the commodity-equity portfolios still perform better than all-equity portfolios. We conclude that commodity investments could make portfolios better-diversified, no matter how the market conditions are.
    參考文獻: Ang, A., and J. Chen, 2002, Asymmetric correlations of equity portfolios, Journal of Financial Economics, 63, 3, 443-494
    Balkema, A.A., and L. de Haan, 1974, Residual life time at great age, Annals of Probability 2, 792-804
    Bodie, Z. and V. Rosansky, 1980, Risk and return in commodity futures, Financial Analysts Journal 36, 27-39
    Boyer, B.H., M.S. Gibson, and M. Loretan, 1999, Pitfalls in tests for changes in correlations, International Finance Discussion Paper 597, Board of Governors of the Federal Reserve System
    Driesprong, G., Jacobsen, B., and B. Maat., 2008, Striking oil: another puzzle? Journal of Financial Economics, 89(2), 307-327
    Evans, J.L., and S. H. Archer. Diversification and the reduction of dispersion: An empirical analysis, Journal of Finance 23, 761-767.
    Fontanills, G.,2007, Getting started in commodity,(John Wiley and Sons, New Jersey)
    Forbes, K.J. and Roberto Rigobon,2002, No contagion, only interdependence: measuring stock market comovment, Journal of Finance ,57(5), 2223-2261
    Geman, H., 2005,Commodities and commodity derivatives: modelling and pricing for agriculturals, metals and energy, (John Wiley and Sons, New Jersey)
    Geman, H., Kharoubi, C., 2008 , WTI crude oil Futures in portfolio diversification: The time-to-maturity effect, Journal of Banking & Finance, 32(12), 2553-2559
    Gibbons, M., Ross, S. and J. Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121-1152
    Gorton, G. and K.G. Rouwenhorst, 2006, Facts and fantasies about commodity futures, Financial Analysts Journal 62, 47-68
    Grubel, H. G., 1968, Internationally diversified portfolios: welfare gains and capital flows, American Economic Review 58, 1299-1314.
    Gumbel, E.J., 1961, Multivariate extremal distributions, Bulletin de l’Institut International de Statistiques, Session 33, Book 2, Paris
    Ingersoll Jr., J.E. 1987, Theory of financial decision making, Rowman &Littlefield Publishers.
    International Monetary Fund, 2000, The impact of higher oil prices on the global economy,Research Department, <www.imf.org/external/pubs/ft/oil/2000/oilrep.pdf>
    Jobson, J.D. and B.M. Korkie, 1981, Performance hypothesis testing with the Sharpe and Treynor Measures, Journal of Finance, 36(4),889-908
    Jones, C.M. and G. Kaul, 1996, Oil and the stock markets, Journal of Finance 51(2),463-491
    Levy, H., and M. Sarnat, 1970, International diversification of investment portfolios, American Economic Review 60, 668−675.
    Longin, F. and B. Solnik, 2001, Extreme correlation of international equity markets, Journal of Finance, 56(2), 649-676
    Markowitz, H. 1952, Portfolio selection, Journal of Finance, 7(1), 77-91.
    Pickands, J., 1975, Statistical inference using extreme value order statistics, Annals of Statistics 3, 119-131
    Solnik, B. H., 1974, Why not diversify internationally rather than domestically?, Financial Analysts Journal, 30(4), 48-54
    Statman, M., 1987, How many stocks make a diversified portfolio?, Journal of Financial and Quantitative Analysis, 22(3),353 -363
    Tiago de Oliveira, J., 1973, Statistical extremes-A survey, Center of Applied Mathematics, Lisbon.
    描述: 碩士
    國立政治大學
    財務管理研究所
    94357029
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094357029
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    702901.pdf66KbAdobe PDF2561检视/开启
    702902.pdf127KbAdobe PDF2693检视/开启
    702903.pdf32KbAdobe PDF2592检视/开启
    702904.pdf54KbAdobe PDF2563检视/开启
    702905.pdf63KbAdobe PDF2657检视/开启
    702906.pdf2346KbAdobe PDF2721检视/开启
    702907.pdf7477KbAdobe PDF2749检视/开启
    702908.pdf5115KbAdobe PDF2723检视/开启
    702909.pdf1061KbAdobe PDF2602检视/开启
    702910.pdf1233KbAdobe PDF2787检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈