臺灣博碩士論文加值系統

本文應用Markowitz(1952) 的平均數-變異數模型(Mean-Variance Model)來探討最適資產的配適。實證上選取台灣五十指數成分股為投資組合標的，經由動態的移動視窗法，以2008年9月5日至2009年8月28日共51筆週報酬資料做為第一期樣本資料，利用動態的方式對不同的模型去估計投資組合成分股下一期平均數、變異數和共變異數，再藉由平均數-變異數模型，導出下一期所應投入的投資組合最適權重。根據這些權重來預測2009年9月4日至2010年8月27日所應該要配適的最佳投資組合。透過不同的績效指標進行評估，發現利用DCC-GARCH模型去估計參數，相較於傳統平均數-變異數模型以歷史資料評估不但較能正確反映市場走勢，也有較佳的預測能力及投資績效。

This paper use the Mean-Variance Model of Markowitz(1952) to discuss the allocation of the optimal assets. We use the component stocks of Taiwan 50 Index for the underlying of the portfolio. Through the dynamic moving window estimation, we use the weekly return from 2008/9/5 to 2009/8/28 for the first sample data. Estimate the portfolio’s mean, variance and the covariance of the next period of different kinds of model by dynamic method, then using the Mean-Variance Model to derive the optimal weight of the portfolio. We use this weights to forecast the allocation of the optimal assets from 2008/9/4 to 2010/8/27. This paper found that through the estimation of the different performance index, compare to the Mean-Variance Model, DCC-GARCH model is not only more accurate to reflect the market trend but also has better forecast ability and investment performance.

目 錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究架構與流程 5
第二章 理論基礎與相關文獻回顧 6
第一節 資產配置 6
第二節 資產多角化(DIVERSIFICATION) 8
第三節 MARKOWITZ 投資組合理論相關文獻 8
第四節 波動性模型相關文獻 10
第三章 研究方法 13
第一節 MARKOWITZ 投資組合模型 13
第二節 GARCH相關特性與模型 16
第三節 績效評估 25
第四節 研究步驟 29
第四章 實證研究 30
第一節 研究資料與設定 30
第二節 成分股敘述統計分析 34
第三節 模型結果分析 38
第五章 結論與建議 52
第一節 結論 52
第二節 建議 54
參考文獻 55
表目錄
表4.1 台灣五十前二十名權重之股票代碼與權重 30
表4.2 台灣五十二十支成分股敘述統計數據 35
表4.3 三種動態模型投資組合內成分股的出現的次數 40
表4.3.1 DCC-GARCH(1,1) 模型最適權重 41
表4.3.2 CCC-GARCH(1,1) 模型最適權重 43
表4.3.3 HISTORICAL模型最適權重 45
表4.4 投資組合實際報酬敘述統計 48
表4.5 四種模型的績效指標評估表 50
表4.6 不同模型成對T檢定表 51









圖目錄
圖1 效率前緣 13
圖2 資本市場線與效率前緣 14
圖4.1 台灣五十指數和加權指數週收盤價 31
圖4.2.1 台灣五十二十支成分股次數分配圖(1) 36
圖4.2.2 台灣五十二十支成分股次數分配圖(2) 37
圖4.3 預測2009/01/04的最適投資組合 39
圖4.4 不同模型的投資組合實際報酬圖 48

參考文獻
一、中文部分
1.許晉雄, 鄒慶士, 葉柏緯，(2010)，「不同風險衡量下效率投資組合之比較分析」，東吳經濟商學學報，第70期 , 頁 29-56.
2.羅妃珊，(2008)， 風險預測、條件風險值與最適投資組合績效. 國立虎尾科技大學經營管理研究所碩士論文.
二、英文部分
1.Alexander, G. J. and A. M. Baptista, (2004), “ A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model,” Management Science, Vol. 50, No. 9, pp. 1261-1273.
2.Artzner, P., F. Delbaen, J. Eber, and D. Heath, (1999), “ Coherent Measures of Risk,” Mathematical Finance, Vol. 9, No. 3, pp. 203-228.
3.Billio, M. and M. Caporin and M. Gobbo, (2006), ” Flexuble Dynamic Contional Correlation multivariate GARCH models for asset allocation,” Applied Financial Economics Letters, Vol. 2, Iss. 2, pp. 123-130.
4.Black, F., (1976), “ Studies of Stock Price Volatility Changes,” Meetings of the American Statistical Association, Business and Economic Statistics Section, pp. 177-181.
5.Bollerslev, T., R. F. Engle and J. M. Wooldridge, (1988), ” A Capital Asset Pricing Model with Time-Varying Covariances,” The Journal of Political Economy, Vol. 96, No. 1, pp. 116-131.
6.Bollerslev,T., (1986), “ Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, Vol. 31, Iss. 3, pp. 307-327.
7.Brinson, G. P., B. D. Singer and G. L. Beebower, (1991), “ Determinants of Portfolio Performance II : An Update,” Financial Analysts Journal, Vol. 47, No. 3, pp. 40-48.
8.Brown, K. C., W. V. Harlow and T. S. Laura, (1996), “ Of Tournaments and Temptations : An Analysis of Managerial Incentives in the Mutual Fund Industry,” The Journal of Finance, Vol. 51, No. 1, pp. 85-110.
9.Campbell, R., R. Huisman and K. Koedijk, (2001), “ Optimal Portfolio Selection in a Value-at-Risk Framework,” Journal of Banking and Finance, Vol. 25, No. 9, pp. 1789-1804.
10.Chen, H. L., N. Jegadeesh and R. Wermers, (2000), ” The Value of Active Mutual Fund Management : An Examination of the Stockholdings and Trades of Fund Managers,” Journal of Financial and Quantitative Analysi,. Vol. 35, Iss. 3, pp. 343
11.Clendenin, J. C., (1951), “ Quality Versus Price as Factors Influencing Common Stock Price Fluctuations,” The Journal of Finance, Vol. 6, No. 4, pp. 398-405.
12.Cooley, P. L., R. L. Roenfeldt and N. K. Modani, (1977), “ Interdependence of Market Risk Measures,” The Journal of Business, Vol. 50, No. 3, pp. 356-363.
13.Engle, R. F. and K. F. Kroner, (1995), ” Multivariate Simultaneous Generalized ARCH,” Econometric Theory, Vol.11, Iss. 01, pp. 122-150.
14.Engle, R. F., (1982), ” Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, Vol. 50, No. 4, pp. 987-1007.
15.Engle, R. F., D. M. Lilien and R. P. Robins, (1987), ” Estimating Time Varying Risk Premia in the Term Structure : The Arch-M Model,” Econometrica, Vol. 55, No. 2, pp. 391-407.
16.Engle, R. F., (2002), “ Dynamic Conditional Correlation,” Journal of Business and Economic Statistics, Vol. 20, No.3, pp. 339-350.
17.Grubel, H. G., (1968), ” Internationally Diversified Portfolios : Welfare Gains and Capital Flows,” The American Economic Review, Vol. 58, No. 5, pp. 1299-1314.
18.Gruber, M. J., (1996), “ Another Puzzle : The Growth in Actively Managed Mutual Funds,” The Journal of Finance, Vol. 51, No. 3, pp. 783-810.
19.Higgins, M. L. and A. K. Bera, (1992), “ A Class of Nonlinear Arch Models,” International Economic Review, Vol. 33, No. 1, pp. 137-158.
20.Jensen, M. C., (1968), “ The Performance of Mutual Funds in the Period 1945-1964,” The Journal of Finance, Vol. 23, No. 2, pp. 389-416.
21.Kallberg, J. G. and W. T. Ziemba, (1984), “ MIS-Specification in Portfolio Selection Problem,” Lecture Notes in Economics and Mathematical System, Vol. 227, pp. 74-87.
22.Kososidis, Y. A. and A. M. Duarte, (1997), “ A Scenario-Based Approach to Active Asset Alloction,” Journal of Portfolio Management, Vol. 23, No. 2, pp. 74-85.
23.Krokhmal, P., J. Palmquist and S. Uryasev, (2002), “ Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints,” Journal of Risk, Vol. 4, pp. 43–68.
24.Lucas, A. and P. Klaassen, (1998), ” Extreme Returns, Downside Risk, and Optimal Asset Allocation,” The Journal of Portfolio Management, Vol. 25, No. 1, pp. 71-79.
25.Makridakis and Wheelwright, (1974), ” An Analysis of the Interrelationships Among the Major World Stock Exchanges,” Journal of Business Finance and Accounting, Vol. 1, Iss. 2, pp. 195–215.
26.Mandelbrot, B., (1963), “ The Variation of Certain Speculative Prices,” The Journal of Business. Vol. 36, No. 4, pp. 394-419.
27.Markowitz, H., (1952), “ Portfolio Selection,” The Journal of Finance, Vol. 7, No. 1, pp. 77-91.
28.Rockafellar, R. T.and S. Uryasev, (2000), “ Optimization of Conditional Value-at-Risk,” Journal of risk, Vol. 2, pp. 21–42.
29.Sharpe, W. F., (1966), “ Mutual Fund Performance,” The Journal of Business, Vol. 39, No. 1, pp. 119-138.
30.Sharpe, W. F., (1992), ” Asset Allocation : Management Style and Performance Measurement,” The Journal of Portfolio Management, Vol. 18, No. 2, pp. 7-19.
31.Sherris, M., (1992), “ Portfolio Selection and Matching : a Synthesis,” Journal of the Institute of Actuaries, Vol. 119, pp. 87-105.
32.Treynor, J. L. and F. Black, (1973), “ How to Use Security Analysis to Improve Portfolio Selection,” The Journal of Business, Vol. 46, No. 1, pp. 66-86.
33.Treynor, J. L., (1965), “ How to Rate Management of Investment Fund,” Harvard Business Review, Vol. 13, pp. 131-136.
34.Wilkie, A. D., (1985), “ Portfolio Selection in The Presence of Fixed Liabilities : A Comment on The Matching of Assets to Liabilities,” Journal of the Institute of Actuaries, Vol. 112, pp. 229-277.