在現今變遷如此迅速的金融環境下，人們對於處理自身資產的態度需要越來越小心謹慎。尤其是在遭遇突發事件的來襲時，一不小心資產就有可能面臨大幅縮水或是化為泡沫，甚至背負了龐大的負債，於是到底該如何利用僅有資源去做出最佳的資產配置便是一個極為重要的議題。尤其在近年來詭譎多變的金融氣氛下，冷不防的一個負面突發事件來襲(像是金融風暴)，就有可能使人們龐大的資產一瞬間血本無歸，因此，在投資決策上加入突發事件的考量就更為重要了。
本篇論文除了一般的布朗運動外，嘗試利用事件風險模型來解釋目前的市場變化，此模型考量了波動率隨機化與加入突發事件因子，強化了對市場突發事件的解釋力，我們利用此模型作為分析主軸，並利用投資人效用函數來討論在不同情況下最佳投資權重的變化行為。但是當模型問題越來越複雜時，欲求得的封閉解會越困難，因此我們嘗試運用電腦模擬的方法並結合迴歸分析，去找出資產配置的最適投資權重，並以實證分析結果，希望能在不同模型假設下，利用本篇的模擬方法，找出的最佳投資權重能有顯著效果，並進一步證明此方法能與數理推導並行，做為另一種探討資產配置議題的工具。

In today such a rapidly-changing financial environment, people should take more serious attitude toward their asset allocation. When people meet the shock of contingency, sometimes their assets will shrink in a large way, or just turned into foam, even become a debt. So how actually should people use their scanty resources to do the best asset allocation strategy is very important. Sometimes, an unexpected event shock like the financial crisis may just make investor’s asset become nothing. So we try to explain financial market by using the event-risk model, which is proven have good explanation for the market event, and we add utility function to analyze the optimum investment portfolio weight.
In the past, the asset allocation problems are usually based on mathematical derivation to get the closure form, but if the problems become more complex, the closure form will be more difficult to get. So we try to avoid the mathematical analysis method, using computer simulation method to discuss the optimum portfolio weight issue, try to prove this method can be another way to analyze the asset allocation issue as mathematical method.

目 錄


第一章 研究背景與動機 1

第二章: 文獻回顧 4

第一節 資產配置 4
第二節 模型方法 5

第三章 研究方法及模型探討 8

第一節 模型探討 8
第二節 研究方法 10

第四章 結果分析 14

第一節 權重效果分析 14
第二節 動態資產配置 19

第五章 結論 28

參考文獻 29

附錄 31

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