利用隨機波動風險溢酬做交易策略

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.author	劉耿瑋	en_US
dc.contributor.author	Liu, Keng-Wei	en_US
dc.contributor.author	盧鴻興	en_US
dc.contributor.author	許元春	en_US
dc.contributor.author	Lu, Horng-Shing	en_US
dc.contributor.author	Sheu, Yuan-Chung	en_US
dc.date.accessioned	2014-12-12T02:42:46Z	-
dc.date.available	2014-12-12T02:42:46Z	-
dc.date.issued	2013	en_US
dc.identifier.uri	http://140.113.39.130/cdrfb3/record/nctu/#GT079920508	en_US
dc.identifier.uri	http://hdl.handle.net/11536/75220	-
dc.description.abstract	風險溢酬係指投資人投資於有價資產，相較投資於無風險利率或商品所需承擔之較高風險，而要求之超額報酬。文獻上，Chevallier 和Sevi (2013)發現風險溢酬和未來一個月的原油期貨報酬有著負向的線性關係，我們因此根據這樣的發現去建構一種交易策略。	zh_TW
dc.description.abstract	Risk premium is the minimum amount of money one expects to get in order to hold a risky asset rather than a risk free asset. It can be seen as compensation to investors for undertaking risks. Interestingly, in the literature, Chevallier and Sevi (2013) have found a negative linear relationship between volatility risk premium and future 1 month crude oil future returns; we then use this idea to develop a trading strategy.	en_US
dc.language.iso	zh_TW	en_US
dc.subject	風險溢酬	zh_TW
dc.subject	Volatility Risk Premium	en_US
dc.subject	stochastic volatility	en_US
dc.title	利用隨機波動風險溢酬做交易策略	zh_TW
dc.title	Derivative Trading upon Volatility Risk Premium	en_US
dc.type	Thesis	en_US
dc.contributor.department	應用數學系數學建模與科學計算碩士班	zh_TW
顯示於類別：	畢業論文