臺灣博碩士論文加值系統

本文探討在譜風險衡量指標下最佳投資組合的選取問題，其中以一階自我相關模型為各個標的資產報酬建立時間序列模型，而標的資產報酬間的相依性藉由關聯結構函數來描述，並利用線性規劃來找出最佳的資產配置。實證研究本文藉由分析台灣50指數的成分股，觀察風險厭惡程度、股價報酬的自我相關以及股價報酬尾部相依性對選擇投資組合問題造成的影響。數值結果說明風險規避程度低的投資人於景氣好時可獲得較高的報酬，而經濟不景氣時保守的投資人相較於其他投資人可獲取較高的報酬。然而這個現象在股價報酬尾部相依性高時則不明顯。景氣復甦時，報酬的自我相關為負則風險規避程度低的投資人可獲得較高的報酬。

In this article, a portfolio selection problem with spectral risk measure is considered. The dynamics of the returns of each underlying asset is modeled by an autoregressive model of order 1. The tail dependence structure of the underlying asset-return vector is depicted by a copula function. The technique of linear programming is employed to solve the optimal asset allocation. Empirical studies are conducted for investigating the impact of the degree of risk aversion, the level of autocorrelation and the tail dependence for underlying assets on the portfolio selection problem based on the component stocks of the Taiwan 50 Index. Numerical results indicate that less risk aversion investors have higher income during a period of economic prosperity while conservative investments have less losses during a recession. However, these phenomena are unapparent if the tail dependence for underlying assets is large. In addition, a less risk aversion investment strategy receives higher earnings in an economic recovery if underlying returns are negatively autocorrelated.

Abstract(Chinese)...ii
Abstract(English)...iii
1 Introduction...1
2 Literature Review...3
2.1 Coherent measures of risk...3
2.2 Spectral measures of risk...5
2.3 Portfolio selection with SRM...6
2.4 Copula methods in finance...7
3 Models and Data...8
3.1 Methodology...8
3.2 Data source...10
4 Empirical Results...11
4.1 The impact of the magnitudes of risk aversion...11
4.2 The impact of autocorrelation...13
4.3 The impacts of heavy-tail and tail-dependence...14
5 Discuss and Future Works...16

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