台灣在民國90年底時將台灣加權股價指數選擇權納入做為選擇權市場的第一項商品，在隨後的幾年快速發展，如今已算是投資人重要的投資避險工具之ㄧ了。然而只要交易量夠多，市價就越能逼近無套利的價格且市場資訊也越能被選擇權資訊所反應，也因為如此，目前利用選擇權資訊內涵來估計風險趨避測度的方法相繼產生。而本文將利用資產定價核心，在Power Function的模型下，配合上無母數的方法來估計市場投資人的風險趨避測度。最後利用迴歸與相關性分析對投資人的風險趨避測度和經濟循環之間的關係做詳細的討論。

第一章、 前言-----------------------------------1
第二章、 文獻回顧-------------------------------3
第一節、資產定價模型------------------------3
第二節、風險趨避測度的估計及相關文獻探討----5
第三節、定價核心的發展----------------------7
第三章、 研究方法------------------------------10
第一節、實證干擾項機率密度-----------------10
第二節、實證定價核心-----------------------12
第三節、資料的選取準則與隱含波動率---------14
第四章、 實證分析------------------------------17
第一節、台灣加權股價指數統計概要-----------17
第二節、實證機率密度函數之估計-------------18
第三節、選擇權價格資料篩選結果-------------21
第四節、實證定價核心參數之估計-------------22
第五節、風險趨避測度與經濟循環之關連-------24
第五章、 結論與建議----------------------------29
參考文獻---------------------------------------31

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