Title page for etd-0727109-152711


[Back to Results | New Search]

URN etd-0727109-152711
Author Hsin-jung Chen
Author's Email Address No Public.
Statistics This thesis had been viewed 5061 times. Download 6 times.
Department Applied Mathematics
Year 2008
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Mutual fund portfolio optimization for
investment-linked insurance
Date of Defense 2009-06-19
Page Count 50
Keyword
  • investment-linked insurance
  • utility function
  • mean-variance portfolio
  • risk neutral probability measure
  • Abstract Investment-linked insurance in Taiwan has been listed for almost a decade since 2001.
    In 2002, after the big sales of the investment-linked insurance, the domestic insurance
    companies also joined the market. For the investment-linked insurance, the policyholders
    retain the protection of the life insurance as well as share the earnings of the investment.
    Since the main investment instruments of the investment-linked insurance are mutual funds,
    it is important to study how to optimally allocate the portfolio. This research consider the
    returns of the mutual funds under tree models assumption. The objective is to find the
    optimal portfolio which has minimum variance and attained a given expected return level.
    The problem is also known as mean-variance portfolio problem.
    In the empirical work, we study eleven daily mutual fund price data from Sep. 2007
    to Nov. 2008. Using the data of the first 12 months, we first establish initial tree price
    models, then update the parameters of the tree model by the EWMAmethod. The optimal
    trading strategies of the mean-variance portfolio are investigated under this model setting.
    We class the mutual funds into three categories: equity funds, balanced funds and bond
    funds. Different combination of these three kinds of funds are considered to find the
    optimal trading strategy respectively. The results showed that the realized returns using
    this optimal trading strategy in practice is close to the pre-specified expected return level.
    Advisory Committee
  • Mong-Na Lo - chair
  • Fu-Chuen Chang - co-chair
  • May-Ru Chen - co-chair
  • Shih-Feng Huang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0727109-152711.pdf
  • indicate in-campus access in a year and off_campus not accessible
    Date of Submission 2009-07-27

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys