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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0727109-152711 |
| Date | 27 July 2009 |
| Creators | Chen, Hsin-jung |
| Contributors | Shih-Feng Huang, May-Ru Chen, Mong-Na Lo, Mei-Hui Guo, Fu-Chuen Chang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727109-152711 |
| Rights | campus_withheld, Copyright information available at source archive |
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