Dynamic asset management with stochastic volatility

• Main Authors: Ze-Kong Liu, 劉子康
• Other Authors: Chung-Gee Lin
• Format: Others
• Language: en_US
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/24878398409600361180

碩士 === 東吳大學 === 商用數學系 === 94 === This study develops a dynamic asset allocation with stochastic volatility model, which integrates the underlying assets stochastic volatility into the asset allocating process. Investors can apply this model for to efficiently diversify the unsystematic risks, so as to achieve better performance. We demonstrate the superiority of our model over the alternative asset allocation models by using the empirical data of Taiwan equity markets. Finally, we showed that under the consideration of transaction costs and asset allocation decision timings, an optimal asset allocation frequency can be derived.