Exchange Rate Predictability in International Portfolio Selection

匯率可預測性於國際投資組合之研究

張士傑(Shih-Chieh Chang) ； 楊尚穎(Shang-Yin Yang)

《證券市場發展季刊》 22卷4期 (2011/01) Pp. 1-48

https://doi.org/10.6529/RSFM.2010.22(4).1

摘要

本研究探討匯率可預測性對策略性投資人之最適資產組合與期末財富之影響，假設隨著時間改變，我們利用可預測之市場匯率動態資訊修正資產配置決策，即給定當期匯率及即期跨國利率過程可推估匯率過程，探討相對風險趨避(CRRA)之投資人於跨國投資時之最適決策。本研究將匯率學習效果納入Lioui與Poncet(2003)於跨國投資所建構之財務模型，歸納學習效果影響匯率期望報酬， 利用更新之利率資訊必須修正匯率過程之風險市場價值，因此投資人依照濾波器篩選財務訊息（利率對匯率之瞬時變化）時，必須依匯率預測效果動態調整資產持有部位。最後，本研究利用數值計算呈現學習效果可顯著增加期末財富，並分析於投資部位之影響。

關鍵字

可預測性 ； 動態學習 ； 資產配置 ； 相對風險趨避 ； 濾波器

並列摘要

This study provides theoretical findings and the numerical illustrations of exchange rate predictability in the international portfolio choice problem. Uncertainty regarding the predictive relation affects the optimal portfolio selection through dynamic learning, and creates a state-dependent relation between the optimal asset allocation and the investment time horizon. This study investigates the investment behaviors of constant relative risk averse (CRRA) investors and adjusts the exchange rate process by the observed interest rate dynamics. This approach is implemented through a filtering mechanism to evaluate the learning effects in the portfolio selection problem that were not fully explored by Lioui and Poncet (2003). Since the learning process updates the market price of exchange rate risk, this approach makes the necessary modifications based on exchange rate predictability. This study presents numerical illustrations showing that the learning mechanism significantly increases the terminal wealth, and investigates the effect of learning on the asset mix.

並列關鍵字

predictability ； dynamic learning ； asset allocation ； constant relative risk averse ； filtering

參考文獻

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