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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 博碩士論文  >  考慮模型不確定下以極小化期望損失角度解釋本國偏誤現象

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86076

    Title: 考慮模型不確定下以極小化期望損失角度解釋本國偏誤現象
    Authors: 王敏如
    Wang, Min-Ju
    Description: GH02101071502
    Date: 2014
    Keywords: 模型不確定性;本國偏誤
    Model Uncertainty;Home Bias
    Abstract: 本篇欲從極小化期望損失的角度,探討本國偏誤 (Home Bias) 的情況。當投資人擔心錯估參數、模型、資料正確性、經濟動盪不安等等,投資人害怕所持有的資產因模型不確定性 (Model Uncertainty) 而價值減損。本文遵循 Andersen et al. (1999)、Hansen et al. (1999) 與 Maenhout (1999) 等文獻,採穩健控制模型,在模型中加入約束條件以考量模型不確定性,透過哈密頓-雅可比-貝爾曼方程 (HJB equation, Hamilton-Jacobi-Bellman equation) 求解。探討在最糟的情況下,如何配適最適權重至各國市場上使得期望損失達到最小,並延伸 Uppal and Wang (2003) 多維模糊程度資訊來源的概念,在模型中加入反映全面模糊程度的單一參數和反映邊際模糊程度的矩陣。
    This paper means to discuss home bias phenomenon through minimizing expected loss level perspective. As investors concern about model uncertainty, they are afraid of unexpected value depreciation of holding assets due to model uncertainty. In this way, we formulate an expected loss model incorporated with model uncertainty concerns. We follow Andersen et al. (1999), Hansen et al. (1999) and Maenhout (1999) to construct a robust control model with constraint conditions. We solve the optimal ratios to allocate asset into different countries through Hamilton-Jacobi-Bellman equation. Furthermore, we extend concept of multiple resources of model uncertainty in Uppal and Wang (2003). Not only incorporate we a parameter that represents all level of ambiguity into objective function but also we add a matrix that reflects different levels of marginal ambiguity.
    URI: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86076
    Source: http://thesis.nthu.edu.tw/cgi-bin/gs/hugsweb.cgi?o=dnthucdr&i=sGH02101071502.id
    Appears in Collections:[計量財務金融學系] 博碩士論文

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