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    Please use this identifier to cite or link to this item: http://ir.lib.ksu.edu.tw/handle/987654321/3203

    Title: 房貸創新對個人最適資產組合之影響
    The Impact of Derivative Mortgage on Individual’s Optimal Portfolio
    Authors: 謝企榮
    Keywords: 房貸創新
    Derivative Mortgage
    Optimal Portfolio
    Risk Aversion
    Date: 2008-12-10
    Issue Date: 2009-08-13 23:33:13 (UTC+8)
    Abstract: 由於房貸市場工具日趨多元化,個人可以調整其房貸負擔以符合其整體效用,本文發現風險趨避度高的個人,會採取保守的投資策略外,勞動所得與房貸支出之變異性,對最適資產組合會產生影響。勞動所得變異的增加會提高個人持有無風險資產,而變成保守的投資人。此外,當「當期房貸支出」與「下期非預期風險資產報酬」具有正向變異,會使個人傾向增加風險資產的配置,其投資策略更為積極。Due to the diversification of mortgage, the individual can adjust the mortgage payment to maximize personal utility function. We found that the individual who are more risk aversion tend to take conservative strategy of investment. The verities of labor income and mortgage payment make the allocation of risky asset be different. The labor with high variance of labor income will increase the tendency of holding riskless asset, and then become conservative. In addition, we also found when the positive correlation between the current mortgage payment and stock returns the labor will increase the risky asset in his portfolio and exhibit more aggressive strategy.
    Appears in Collections:[金融管理系] 期刊論文

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