本篇論文主要以事後的角度，分析美國實施量化寬鬆政策前後，在股市和房市上分別以ETF和REITs作為工具，研究如何進行國際資產配置以及匯率避險。國際資產配置包含兩項重要的工作：投資組合的建立以及匯率風險的管理，首先本研究會先以平均數─變異數投資組合模型以及夏普評鑑法進行投資組合的建構，接著以詹森迴歸法比較該投資組合與市場上其他指標基金有無超額報酬，最後再以最低變異數避險比率進行匯率避險，觀察績效改善的情況。 研究期間為2003年1月至2014年3月，時間序列切成金融危機前、金融危機期間、QE I、QE II和QE III期間，分析ETF投資在已開發和新興共24個國家，以及REITs投資在18個國家的結果。本篇研究發現： 一、從相關係數的變化可以發現一個國家所引發的金融事件可能會成為國際性的金融危機。 二、前後三次量化寬鬆政策成效以第一次最為明顯，之後報酬率的成長大抵上和量化寬鬆的規模呈正向關係。 三、金融危機前大多配置在新興國家，但股市於前兩次量化寬鬆時期配置於新興國家的比重較多，在第三次時則較多配置在已開發國家；而房市在三次量化寬鬆期間並無配置於某一型國家的偏好。 四、三次量化寬鬆期間最佳配置組合均優於新興國家型指標基金，說明單獨投資在新興國家頗不理想，突顯出國際資產配置的重要性。 五、金融危機前進行匯率避險績效可獲得改善，但除了ETF最適配置組合在QE I時期有獲得相當的績效改善之外，其他時期和REITs最適配置組合僅只報酬率標準差下降，績效改善幅度均不大。

The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor's portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject. / The purpose of this thesis is to use the martingale approach to solve dynamic international portfolio problems. This thesis consists of three essays in dynamic international portfolio allocation. In demonstrating that foreign consumption plays an important role in international portfolio allocations, in Chapter 2, we present the first essay where we provide the optimal consumption plan and portfolio allocation for a representative investor with continuoustime and complete market assumptions in a simple two-country setting. Due to the demand for foreign consumption, the optimal portfolio allocation requires suitable foreign bonds to hedge against the changes in the foreign investment opportunity set and the exchange rate. The empirical results not only show that the optimal portfolio allocation with domestic and foreign consumption is different from that without consumption or with domestic consumption only, but also demonstrate the need for the foreign bonds to hedge against the change in the exchange rate risk. We present the second essay in which we extend the research of the investor's portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With deterministic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, equities and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country. This issue displays in Chapter 3. The third essay is presented in Chapter 4. Here we develop a continuous-time intertemporal portfolio allocation model in an international mildly segmented market. With deterministic market prices of risks and CRRA utility function, the domestic investor in the segmented market optimally hedges against the stochastic interest rates by allocating funds into two portfolios. The restricted mean-variance portfolio is derived from the traditional mean-variance portfolio without foreign constrained securities. The hedge portfolio is comprised of domestic bonds with a specific horizon for hedging against the change in the domestic interest rate. The numerical results indicate that when the volatility of the stochastic discount factor increases due to the less diversification caused by market segmentation, the less risk-averse investor benefits accordingly. Chapter 5 summarizes the main findings of the three studies and concludes the thesis by suggesting some future research venues related the current subject.