Essays on Finance
Date Issued
2006
Date
2006
Author(s)
Han, Nan-Wei
DOI
en-US
Abstract
This thesis is composed of three parts. In Chapter Two, I present an asset allocation model with unknown return on risky assets. I conclude that the effect of leaning about exact asset returns would make long-term investor reduce his holding on risky asset. Besides, with heterogeneous prior believes in estimated returns, the optimal portfolio weight would bias toward assets with higher prior confidence. This partly explains the home bias puzzle.
In Chapter Three, I solve for an asset allocation problem under unobservable inflation rate. I show that the investor's optimal portfolio would have an additional hedging demand against the estimation risk of inflation.
The estimation risk also reduces the investor's optimal consumption. It's worth to note that the change of nominal price level would affect the real consumption through the estimated inflation. In Chapter Four, I establish a production-based partial equilibrium model of equity price and equity return with technology progress. Under specific condition, I successfully show that equity return is negatively associated to technology growth rate. I also indicate that when R&D of new technology improves the profitability less effectively, the equity return would be relatively lower.
Subjects
參數不確定性
通貨膨脹率
技術研發
中間財
parameter uncertainty
home bias
inflation rate
technology progress
intermediate inputs
Type
thesis
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