The Risk Management of Interest Rate in Pre-Sales House -- Just- in-Time Payment, Duration and Immunization.

• Main Authors: Wang, Ch'ien-I, 王倩儀
• Other Authors: Lee, Shyan-Yuan
• Format: Others
• Language: zh-TW
• Published: 1994
• Online Access: http://ndltd.ncl.edu.tw/handle/65555433646434021465

碩士 === 國立臺灣大學 === 商學系 === 82 === Duration measures the percentage change in asset values with respect to the fluctuation of interest rate. The concept of duration is widely used to both measure and control of the in- terest rate risk of portfolios. This study applies this concept to manage the interest rate risk of pre-sales house. In other words, the goal of this thesis is to explore the impact of in- terest rate fluctuations on the values of pre-sales house. In addition to measuring the durations of pre-sales houses, this thesis maximizes the value of pre-sales houses portfolio under the strict limit of funds and the condition of immunization. In summary, there are three parts in this study, including the calculation of duration about single pre-sales house, opti- mal selection of pre-sales houses subject to just-in-time pay- ment, and portfolio optimization under the conditions both just- in-time payment and duration matching.