本論文包含台灣壽險業資產配置國際化及匯率避險兩個主題。首先，探討台灣壽險業積極向主管機關申請核准提高國外資產配置比率，與美國投資人偏好投資自己國家資產不一致的現象，是台灣壽險業資產配置不得不的策略，或是國際化的迷思? 以25家壽險公司2004 年至2008年財務資料實證結果發現，國外資產納入投資組合對壽險業投資績效有利。如果將樣本公司依據所有權區分為本資公司與外資公司，資料顯示，本資公司國際資產配置較為積極，惟其報酬績效與外資公司差異並不顯著。研究亦發現，2008年美國次貸風暴顯著負向影響台灣壽險公司國外投資報酬，即提高國外資產配置雖可提高報酬，惟匯率風險、信用風險及系統風險暴露亦相對提高，建議壽險公司於追球較高報酬同時，應同時加強風險管理。另實證亦發現，資產規模愈大公司之投資報酬率相對較遜，建議於追求保費市占率成長時，應重視投資報酬績效的實質提升。 第二部分探討2004年至 2008年台灣壽險業國外投資匯率風險管理策略對投資績效影響。以整體產業觀察，匯率避險對投資報酬率有正面效果；本資公司避險策略相較外資公司積極，報酬率亦相對較優；股票上市公司有財報揭露股價波動之壓力，經理人有較強誘因採取避險策略，投資報酬率相較優於股票未上市公司，惟差異並不顯著。實證結果支持Glen and Jorion (1993) and Campbell et al. (2010)避險可以降低匯率風險提升投資報酬績效之研究結論，2006年實施之34號會計公報，顯著影響本資公司與上市公司之避險行為。 / In this study, we study two essays on international asset allocation and the currency hedging problem for Taiwan life insurer industry. In the first essay, we investigate the high percentage of foreign investments placed by Taiwan life insurers and how this phenomenon is at odds with the bias for investing at home common among American investors. The holdings of 25 Taiwan life insurance companies, between the years 2004 and 2008, are scrutinized with a view towards evaluating home bias and its financial impact. We find that foreign investment has proven profitable for the life insurance industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, and that while the performance of investments made by domestic-owned life insurers differs from that of foreign-owned life insurers, the difference is insignificant. We also found that global financial turmoil in 2008 had a massively negative impact on the foreign investments of Taiwan life insurance companies and firm size and return on investment is negative correlated, suggesting that life insurers should focus on enhancing investment performance and risk management. In the second essay, we examine the currency hedging strategy and its impact on the performance of Taiwan life insurance industry investments from 2004 to 2008. We find that currency hedging strategies have yielded positive results, overall, for the industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, the results show that the currency hedging strategies employed by the domestic-owned companies enjoy advantages over those of foreign-owned firms. If the sample is further divided into those publicly listed on the TAIEX and others, our results show that a hedging strategy has positive effects on listed company. Our findings support the work in Glen and Jorion (1993) and Campbell et al. (2010), which reveal that hedging strategies improve foreign investment returns and can reduce currency risks in comparison to non-hedging strategies. Our empirical results indicate that SFAS No. 34 has a significant effect on currency hedging behavior among domestically owned and listed companies.

Disturbance is one of most important selective factor causing removal of plant biomass. Man-made habitats are characterized by strong and unpredictable disturbances, providing bare soil surface colonized by plants with short life cycle. Populations of the short-lived plants are, however, vulnerable to the strong disturbance removing all stem parts with reserve axillary meristems in the case it occurs before plant flowering and fruiting. Nevertheless, 2 % of annual and 14 % of biennial plants are able to overcome meristem limitation by adventititous sprouting from hypocotyle or/and roots. This thesis is composed of four original studies describing the occurrence of adventitious sprouting in natural populations of 22 monocarpic weeds of Central Europe and one species in Indonesia. The studied phenomenon was analyzed in relation to various environmental factors and plant traits in the field and in experimental conditions.

Este trabalho analisa três estratégias de hedge de opção, buscando identificar a importância da escolha da estratégia para a obtenção de um bom desempenho do hedge. O conceito de hedge é analisado de forma retrospectiva e uma teoria geral de hedge é apresentada. Em seguida são descritos alguns estudos comparativos de desempenho de estratégias de hedge de opção e suas metodologias de implementação. Para esta análise comparativa são selecionadas três estratégias de hedge de opção de compra do tipo européia: a primeira utiliza o modelo Black-Scholes-Merton de precificação de opções, a segunda utiliza uma solução de programação dinâmica para hedge dinâmico multiperiódico e a terceira utiliza um modelo GARCH para precificação de opções. As estratégias são comentadas e comparadas do ponto de vista de suas premissas teóricas e por meio de testes comparativos de desempenho. O desempenho das estratégias é comparado sob uma perspectiva dinâmicamente ajustada, multiperiódica e autofinanciável. Os dados para comparação de desempenho são gerados por simulação e o desempenho é avaliado pelos erros absolutos médios e erros quadráticos médios, resultantes na carteira de hedge. São feitas ainda considerações a respeito de alternativas de estimação e suas implicações no desempenho das estratégias. / This work analyzes three option hedging strategies, to identify the importance of choosing a strategy in order to achieve a good hedging performance. A retrospective analysis of the concept of hedging is conducted and a general hedging theory is presented. Following, some comparative papers of hedging performance and their implementation methodologies are described. For the present comparative analysis, three hedging strategies for European options have been selected: the first one based on the Black-Scholes-Merton model for option pricing, the second one based on a dynamic programming solution for dynamic multiperiod hedging and the third one based on a GARCH model for option pricing. The strategies are compared under their theoric premisses and through comparative performance testes. The performances of the strategies are compared under a dynamically adjusted multiperiodic and self-financing perspective. Data for performance comparison are generated by simulation and performance is evaluated by mean absolute errors and mean squared errors resulting on the hedging portfolio. An analysis is also done regarding estimation approaches and their implications over the performance of the strategies.

本論文含蓋三篇文章，分別從評價、避險和風險控管三方面，分析上限型股權連結保本票券。 第一篇文章為上限型股權連結保本票券之設計、評價和比較。本文考量投資人保守的投資行為與設限型股權連結票券所存在的delta跳躍(delta jump)現象，延伸Brennan and Schwartz (1976)模型，提出一個能在股價波動之際，使發行的避險部位delta呈現平滑變動且兼具保本(protected principal)功用的一般化模型(general form)。相較於一般的設限型股權連結保本模型，本模型具有以下特色。第一，加入股價成長率的調整因子(adjustable factor)，當景氣低靡，股價不停下跌時，正的調整因子可減緩股價下滑之勢，進而增加投資人在票券到期日時獲取更多資本利得(capital gain)的機會。同時，調整因子縮小了當期股價成長率與股價上限成長率(capped stock growth rate)之間的差距，繼而減緩delta 跳躍的幅度，降低發行者的避險成本。並且在HJM利率模型下，delta隨股價與股價波動度的變化更顯平滑(smooth)。第二，在保本率(protection rate)和參與率 (participation rate)不變之下，本模型的期初合理價格(fair price)較低，投資人能以較低的成本取得同等的投資保障。第三，若將本票券的名目面額(notional principal)視作共同基金(mutual fund)的淨值(net value)，而該淨值與股價連動，則本模型即成為股權連結的保本型基金(principal-protected fund)。 第二篇文章是路徑依賴之上限型股權連結保本模型之評價和風險測量。該文是擴展Brennan and Schwartz (1976)模型發展一個路徑依賴之上限型股權連結保本模型，並且提出一個比二元數模型更精確的封閉解。此外，也對七個時間序列進行股價波動度之精確檢定，得知AR-ARCH(1)模型對上限型股權連結保本票券而言，較其它時間序列模型，更能有效估計股價之波動度。 第二篇文章是外國資產的風險管理。目前在國內金融市場上，國外金融商品很多，大都以外幣計價，因此匯率風險是投資人不可忽視的因子。本文拓展Kupiec(1999)模型，將匯率風險加入模型中，使投資人更有效進行風險管理。 / This thesis studies valuation, hedge and risk management of capped equity-linked and principal-protected notes by means of the following essays: (1) Design, Valuation and Comparison of Capped Equity-linked and Principal-protected Notes (2) Valuation and Risk Measurement of Capped Equity-linked and Principal-protected Notes with Path Dependence (3) Risk Management of Foreign Assets Capped equity-linked and principal-protected notes are similar with barrier options. There exists delta jump as stock price or growth rate reaches the barrier. But previous studies about equity-linked and principal-protected notes with a restricted growth rate of stock price never explicitly discussed how the delta jump could be solved. In my first essay, I present a new design for capped equity-linked and principal-protected notes and add an adjustable factor to growth rate of stock price in such a way that the adjustable factor narrows the gap between the current stock growth rate and the capped stock growth rate and thus really reduces the magnitude of the delta jump and hence lowers the hedging cost for brokers. Recently, the focus of previous studies about principal-protected notes has been on either the restriction on the rate of stock return or the path dependence on the underlying asset, but not both in the same context. In my second essay, I develop a model on the capped, equity-linked and principal-protected notes with path dependence. There are two issues in this article. The first issue is valuation on the capped, equity-linked and principal-protected notes with path dependence. I find a closed-form approximation using the 2nd-order Taylor approximation and the method of Vorst (1992) that has higher accuracy than binomial tree model as maturity time or volatility becomes large. The second issue is risk measurement. I use VaR model to evaluate market risk of the principal-protected notes, and employ seven univariate time series models to forecast volatility and examine the accuracy. Additionally, investors may well encounter potential loss as the prices of financial products are reduced in the secondary market. The VaR is mainly concerned with the downside risk and becomes a standard measure of financial market risk that is increasingly used by investors. But if we want to apply 〝textbook〞formulation to risk management of foreign assets, there leaves exchange rate risk out of consideration. Therefore, I extend the work by Kupiec (1999) to present VaR formula with exchange rate risk for foreign assets and then to manage market risk usefully.

L'approche traditionnelle des produits dérivés consiste, sous certaines hypothèses bien définies, à construire des stratégies de couverture à risque strictement nul. Cependant,dans le cas général ces stratégies de couverture "parfaites" n'existent pas,et la théorie doit plutôt s'appuyer sur une idée de minimisation du risque. Dans ce cas, la couverture optimale dépend de la quantité du risque à minimiser. Dans lecadre des options, on considère dans ce travail une nouvelle mesure du risque vial'approche de l'utilité espérée qui tient compte, à la fois, du moment d'ordre quatre,qui est plus sensible aux grandes fluctuations que la variance, et de l'aversion aurisque de l'émetteur d'une option vis-à-vis au risque. Comparée à la couverture endelta, à l'optimisation de la variance et l'optimisation du moment d'ordre quatre,la stratégie de couverture, via l'approche de l'utilité espérée, permet de diminuer lasensibilité de la couverture par rapport au cours du sous-jacent. Ceci est de natureà réduire les coûts des transactions associées / The traditional approach of derivatives involves, under certain clearly defined hypothesis, to construct hedging strategies for strictly zero risk. However, in the general case these perfect hedging strategies do not exist, and the theory must be rather based on the idea of risk minimization. In this case, the optimal hedging strategy depends on the amount of risk to be minimized. Under the options approach, we consider here a new measure of risk via the expected utility approach that takes into account both, the moment of order four, which is more sensitive to fluctuations than large variance, and risk aversion of the investor of an option towards risk. Compared to delta hedging, optimization of the variance and maximizing the moment of order four, the hedging strategy, via the expected utilitiy approach, reduces the sensitivy of the hedging approach reported in the underlying asset price. This is likely to reduce the associated transaction costs.