지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
We investigate the dynamic asset allocation problem under inflation risk when the wealth of an investor is constrained with minimum requirements. To capture the investor’s risk preference, the CRRA utility function is considered and he maximizes his expected utility at predetermined date of the refund by participation in the financial market. The financial market is supposed to consist of three kinds of financial instruments which are a risk free asset, a risky asset, and an index bond. The role of an index bond is managing inflation risk represented by price process. The optimal wealth and the optimal asset allocation are derived explicitly by using the method to get the European call option pricing formula. From the numerical results, it is confirmed that the investments on index bond is high when the investor’s wealth level is low. However, as his wealth increases, the investments on index bond decreases and he invests on risky asset more. Furthermore, the minimum wealth constraint induces lower investment on risky asset but the effect of the constraints is reduced as the wealth level increases.
목차
Abstract
1. 서론
2. 모형의 설정
3. 최적자산 배분
4. 결과 분석
5. 결론
참고문헌
참고문헌 (18)
참고문헌 신청
1. [학술지(정기간행물)] - 김성문 / 2009 / 한국 주식시장에서 비선형계획법을 이용한 마코위츠의 포트폴리오 선정 모형의 투자 성과에 관한 연구 / 경영과학 26 (2) : 19 ~ 35
2. [학술지(정기간행물)] - Basak, S. / 2001 / Value-at-Risk- Based Risk Management：Optimal Policies and Asset Prices / The Review of Financial Studies 14 (2) : 371 ~ 405
3. [학술지(정기간행물)] - Black, F. / 1973 / The Pricing of Options and Corporate Liabilities / Journal of Political Economics 81 : 737 ~ 654
4. [학술지(정기간행물)] - Boyle, P. / 2007 / Portfolio management with constraints / Mathematical Finance 17 (3) : 319 ~ 343
5. [학술지(정기간행물)] - Brennan, M.P. / 2002 / Dynamic Asset Allocation under Inflation / Journal of Finance 57 : 1201 ~ 1238
2. [학술지(정기간행물)] - Basak, S. / 2001 / Value-at-Risk- Based Risk Management：Optimal Policies and Asset Prices / The Review of Financial Studies 14 (2) : 371 ~ 405
3. [학술지(정기간행물)] - Black, F. / 1973 / The Pricing of Options and Corporate Liabilities / Journal of Political Economics 81 : 737 ~ 654
4. [학술지(정기간행물)] - Boyle, P. / 2007 / Portfolio management with constraints / Mathematical Finance 17 (3) : 319 ~ 343
5. [학술지(정기간행물)] - Brennan, M.P. / 2002 / Dynamic Asset Allocation under Inflation / Journal of Finance 57 : 1201 ~ 1238
이 논문의 저자 정보
최근 본 자료
댓글(0)
0
UCI(KEPA) : I410-ECN-0101-2014-320-003164990