匯率波動會造成投資人在投資外國標的時影響投資組合的獲利能力。因此本文以風險值限制為條件,探討投資人投資外國資產標的時,同時考慮資產價格波動與匯率波動的投資組合配置模型與只考慮外國資產價格波動並把匯率視為一常數的模型進行比較。 本文利用Telser(1955)的投資組合準則為基礎,推導出兩模型的最適投資配置與投資組合風險值,並進一步比較投資組合表現與投資組合風險值準確度驗證。實證結果發現:在不同的投資期間、投資人可忍受的最低報酬和模型顯著水準下,模型同時考慮資產價格波動與匯率波動的投資組合配置表現皆優於只考慮資產價格波動且視匯率為一常數之模型。本文並以Kupiec(1995)所提出的概似比率檢定(Likelihood Ratio Test)來驗證投資組合風險值之準確性,結果說明兩模型皆能正確估計風險值。
When the investor invests foreign-assets portfolios, the variation of the exchange rate will influence the portfolios profit. In this paper we consider the both of the variation of the exchange rate and the price of foreign assets. We use a portfolio selection model suggested by Telser (1955), which allocates financial assets by maximizing expected return subject to the VaR constraint set by the investor. We show that the optimal asset allocation under VaR constraint provide the better performance result than the model is not consider the variation of the exchange rate.Furthermore, our VaR accuracy analysis suggested by Kupiec(1995) reveals that the both model can accurately calculate VaR for foreign–assets portfolios.