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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/69794


    Title: 價格波動性的估計誤差對複製性賣權投資組合保險策略的影響
    Other Titles: The Effects of Volatility Misestimation on Synthetic, Option-Replicating Portfolio Insurance.
    Authors: 吳啟銘
    Contributors: 財務管理學系
    Keywords: 賣權;複製性賣權;投資組合保險;投資組合
    Put option;Option-replication;Portfolio insurance;Portfolio
    Date: 1993
    Issue Date: 2014-09-11 17:40:48 (UTC+8)
    Abstract: 投資組合保險對波動性大的台灣股市而言,是否具有風險控制的價值,是許多風險規避投資人所關心的主題。 本研究參考台灣1971年至1993年的歷史資料進行模擬分析,以探討不同的股市情境,不同的要保額度,以及不同的投資期限下,複製性賣權策略的投資組合保險績效受股票波動性估計誤差的影響程度,是否有所不同。 模擬結果發現如下: (1)長期而言,複製性賣權保險策略運用於台灣股市過去歷史資料的保險價值並不顯著。 (2)在股市呈空頭或盤整行情時,複製性賣權策略的投資績效優於買入持有策略與固定投資比重的混合策略。保險功能在此股市行情下特別明顯。股市波動性的估計誤差(特別是低估股市波動性),在股市呈空頭或盤整行情下,對保險績效的負面影響較大。 (3)要保額度的調低與保險期間的拉長使得股票波動性估計誤差對保險組合績效的不確定程度提高。
    Whether portfolio insurance strategies can be applied and effectively executed in Taiwan's volatile stock market is concerned increasingly by many risk-averse investors. Referring to historical data of Taiwan's 1971-1993 stock price behavior and adopting simulation approach, this study is to investigate the effects of volatilily misestimation on option-replication portfolio insurance under various conditions---stock market scenarios, floor value, and investment horizons. The results of simulation are as follows: (1) The insurance function of option-replication portfolio insurance is not superior to other strategies and unnecessary using 1971-1993 simulated data. (2) During stock bear markets or flat markets (compared with bull markets), option-replication strategies perform better than buy-hold strategies and 60/40 mix strategies and have greater insurance value. Also, volatility misestimation (especially underestimation) has greater negative impacts on the performance of option-replication strategies. (3) Under conditions of a lower floor value or a longer investment level of horizon, volatility misestimation will increase uncertainties of the investment performance of option-replication strategies.
    Relation: 行政院國家科學委員會
    計畫編號NSC82-0301-H004-065
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

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