成本極小化下之投資組合操作策略分析

• Main Author: 何文豪
• Other Authors: 汪逸真
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/67488597430530756790

碩士 === 銘傳大學 === 金融研究所 === 90 === We construct a portfolio adjusting model in which exchange rate risk is specially considered. The no-trade region is derived via minimizing the cost of trading and the cost of tracking errors owing to no trade. General speaking, when portfolio weight falling in the no-trade region, then international investors do not have to adjust their portfolio weights, infrequent trading will incur significant tracking error relative to the desired returns.; once if the portfolio weights fall out of the no-trade region, international investors need to adjust their portfolio into no-trade boundary, frequent trading will incur transactions costs Our results show that, in a two risky asset economy, there exist at least two no-trade regions under certain initial parameters. The arc of no-trade region decreased as the transaction costs, foreign exchange rate risk decreased, and the arc of no-trade region is positive correlated with the change of the mean return of foreign trading, the correlation efficient between foreign exchange rate, and the correlation efficient between risky assets decreased. As a result, no-trade region is most sensitive to the change of transaction costs.