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dc.contributor.author張簡裕明en_US
dc.contributor.authorYu-Ming Chang-Chienen_US
dc.contributor.author林建榮en_US
dc.contributor.author李經遠en_US
dc.contributor.authorJ. R. Linen_US
dc.contributor.authorGin-Yuan Leeen_US
dc.date.accessioned2014-12-12T02:10:07Z-
dc.date.available2014-12-12T02:10:07Z-
dc.date.issued2003en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT009131526en_US
dc.identifier.urihttp://hdl.handle.net/11536/56512-
dc.description.abstract免疫策略的目標是無論利率如何變化,維持債券投資組合的期末價值高於或儘可能接近期初目標投資組合價值。在Nelson & Siegel (1987)的利率期間結構模式的基礎下,過去台灣在此方面的實證研究上,無考量到同時變動利率期間結構變動之二因子,此外,大部份也沒有考慮到票息效果的影響。 因此,本研究利用高斯-牛頓法估計利率期間結構的係數,並考量同時模擬變動任意兩係數下,債券投資組合績效之變化。實證結果有以下三點發現:(1) M-Vector策略中的M3, M4,及M5無論在模擬資料及實際資料中,皆能一致性地排名於前。(2) 傳統的存續期間免疫策略及M-Square策略並不能保護債券投資組合免除利率風險,尤其在利率大幅度變動下。(3) Nelson & Siegel (1987) 模型能相當有效地配適台灣地區實際利率期間結構曲線。zh_TW
dc.description.abstractThe objective of immunization strategy is to maintain the terminal value of bond portfolio above or close to the target value of portfolio no matter how high or low the interest rate is. The empirical researches in Taiwan concerning immunization strategies and term structure don’t consider the removal of the coupon effect and the variation in two estimated coefficients. Thus, this study uses Nelson & Siegel (1987) model with Gauss-Newton method to determine term structure as well as variate two estimated coefficients simultaneously. The major findings are as follows: (1) M-Vector strategies(M3, M4, and M5) perform quite well in both historical data and the two simulated data. (2) Traditional duration strategies and M-Square strategies can’t protect against the change in the risk of interest rate , especially when interest rate changes by a large scale. (3) Nelson & Siegel (1987) model does a good job in fitting the term structure in Taiwan which is demonstrated from high R-Square.en_US
dc.language.isozh_TWen_US
dc.subject免疫策略zh_TW
dc.subject利率期間結構zh_TW
dc.subjectNelson & Siegel 模式zh_TW
dc.subjectimmunization strategyen_US
dc.subjectterm structureen_US
dc.subjectNelson & Siegel modelen_US
dc.title在不同免疫策略下臺灣地區債券投資組合績效比較zh_TW
dc.titleThe Comparison of Performance for Bond Portfolio in Taiwan under Different Immunization Strategiesen_US
dc.typeThesisen_US
dc.contributor.department管理科學系所zh_TW
Appears in Collections:Thesis


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