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研究生：	潘彥廷 Monzo Pan
論文名稱：	Intermediary's Bank Share in Taiwanese Capital Market
指導教授：	傅承德博士 Dr.Cheng-Der Fuh
口試委員:
學位類別：	碩士 Master
系所名稱：	理學院 - 統計研究所 Graduate Institute of Statistics
論文出版年：	2013
畢業學年度：	101
語文別：	英文
論文頁數：	40
中文關鍵詞：	資產重新分配、雙樹模型、恆定相對風險厭惡、投資組合權重、貝爾曼最佳化
外文關鍵詞：	asset reallocation, two trees, constant relative risk aversion, CRRA, portfolio weight, Bellman’s optimality
相關次數：	點閱：6 下載：0
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如果我們有兩個資產，分別投資在銀行和股本市場，而銀行有可能發生倒閉的風險，中介機構在監控風險和資產重新分配之中扮演重要的作用。我們所使用的模型，參考Stanton等人（2012）再加以考慮銀行複利的推廣。我們將解決如何重新分配資產在給定恆定相對風險厭惡係數（CRRA coefficient）和銀行的活期存款利率，而恆定相對風險厭惡係數通常是由仲介機構的偏好所決定。我們將對台灣資本市場從1987年的加總行為做實證分析。

If we have two assets invested in a bank with bank crush possibility and equity market, the intermediary plays an important role of monitoring and reallocating capital. Our model based on Palour, Stanton and Walden (2012) with a bank current deposit interest rate captures the behavior of intermediation. We will solve the problem of how to reallocate with constant relative risk aversion(CRRA) and of bank current deposit interest rate, the CRRA coefficient is given by agent’s preference. And we will do empirical analysis of aggregate behavior of Taiwanese capital markets from 1987.

Abstract                                          i
摘要                                               ii
Acknowledgement                                   iii
Table of Contents                                 v
List of Figures                                   vii
List of Tables                                    ix
Introduction                                    1                           
Model Review                                    2
1 Geometric Brownian Motion(GBM)          2
2 Jump Diffusion Model                    3
3 Ornstein-Uhlenbeck Process              3
4 Two Trees Model                           4
Main Idea and Model Assumption                  5
1 Main Idea                               5
2 The Issue and the Equilibrium           8
Simulations                                     12
1 Small Scale of λ                        12
2 Large Scale of λ                        19
Empirical Analysis                              20
1 Intro                                   20
2 Data Description                        20
3 Results                                 23
Conclusions and Aspect                          27
References                                        28

                                

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[5]. Merton, R., 1969. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case. The Review of Economics and Statistics, Vol.51, No.3, 247-257.
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[7]. Parlour, C., Stanton, R., Walden, J., 2012. Financial Flexibility, Bank Capital Flows, and Asset Prices. The Journal of Finance, Vol.67, No.5, 1685-1722.
[8]. Pennacchi, G., 2008. Theory of Asset pricing. Pearson Education.
[9]. Pratt, J.C., 1964. Risk Aversion in the Small and in the Large. Econometrica, Vol.32, No.1/2, 122-136.

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