Optimal Asset Allocation over the Business Cycle and Monetary Cycle for Offshore Funds

• Main Authors: Su-hua Hsu, 許素華
• Other Authors: Andy Chien
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/76269281300596138542

碩士 === 國立高雄第一科技大學 === 金融研究所 === 100 === This paper uses the business cycle which is released by the U.S. National Bureau of Economic Research, rediscount rate which is one of the monetary policy tools of the U.S. Federal Reserve , and U.S. federal funds rate as the basis to adjust the investment portfolio in-sample and the out-of- sample, and applies them in the offshore Fund''s portfolio in 2001 to 2012. This paper refers to the literature from Brocato and Steed(1998), Jensen and Mercer (2003).The empirical results show that the strategy which adjusts the proportion of asset allocation on the basis of the business cycle and monetary cycle can improve performance than the buy-and-hold strategy in the full-cycle period.