臺灣博碩士論文加值系統

中文摘要
在投資組合保險中，當調整次數愈頻繁時，則資產配置比率的精確度愈高，此
投資組合保險也愈不容易超出事先設定的要保額度之外。當考慮交易成本時，過度頻
繁的調整將產生一筆可觀的交易費用，而此交易費用勢必會侵蝕到投資組合保險策略
的績效。所以建立適當的調整法則，可以增進投資組合保險的之績效。
本研究提出GA 調整策略，使用多個調整法則，決定調整比率的大小。在利用
遺傳演算法之最佳化搜尋的能力，找出投資組合最佳最適調整法則，將此應用在台
灣證券市場之投資。根據本研究實証分析，GA 調整策略比傳統調整策略更能夠有效
提高獲利能力或降低風險。

ABSTRACT
In the investment portfolio insurance, as the frequency of adjustment are more
frequent, the accuracy of assert allocated ratio is higher, and the portfolio insurance hardly
exceed the insured amount that set in advance. Considering the cost of trade-off, the
adjustment of excess frequency will generate a large amount of trade-off charge, and it
would damage the effect of portfolio insurance. Therefore, building a proper adjustment
rule could improve the effect of the portfolio insurance.
This paper proposes the genetic algorithm(GA) by using many adjustment rules to
determine the ratio of adjustment. By using the optimal searching ability of GA, we’ll find
the optimal adjustment rule of portfolio insurance to apply in the investment of security
market in Taiwan. According to the research of this paper, the beneficial ability of GA is
better than the traditional adjustment strategy.

目錄
中文摘要................................................................................................................................i
英文摘要................................................................................................................................ii
誌謝......................................................................................................................................iii
目錄......................................................................................................................................iv
表目錄..................................................................................................................................vi
圖目錄.................................................................................................................................vii
壹、緒論................................................................................................................................1
一 、研究動機..............................................................................................................1
二 、研究目的..............................................................................................................2
三、研究架構................................................................................................................3
貳、 文獻探討......................................................................................................................5
一、投資組合保險的概念............................................................................................5
二、投資組合保險策略................................................................................................5
(一)固定比例投資組合保險策略(CPPI) ......................................................6
(二) 固定時間不變的投資組合保險策略(TIPP).........................................8
(三) 固定比例策略( CM)..............................................................................9
三、交易成本的考量..................................................................................................10
四、調整法則..............................................................................................................10
(一)傳統調整法則....................................................................................... 11
(二)技術分析調整法則...............................................................................13
(三)風險偏好調整法則...............................................................................16
五 投資組合保險調整策略相關研究........................................................................17
三、研究方法......................................................................................................................18
一、研究模型的建構..................................................................................................18
二、GA 調整策略及編碼...........................................................................................21
(一) 時間法則.............................................................................................22
(二) 市場波動法則.....................................................................................22
(三) 落差法則.............................................................................................23
v
(四) 威廉指標.............................................................................................24
(五) 買賣氣勢指標.....................................................................................24
(六) 買賣意願指標.....................................................................................25
三、基因演算法適應函數..........................................................................................26
肆、 實證分析....................................................................................................................27
一、實證設計..............................................................................................................27
(一)實證假設...............................................................................................27
(二)實證期間...............................................................................................28
(三)GA 參數設定.........................................................................................29
二、實證分析..............................................................................................................30
(一) 時間不變性投資組合保險策略(TIPP)...............................................30
(二)固定比例組合保險策略(CM)...............................................................34
(三)GA 調整策研究.....................................................................................38
伍、結論與後續建議..........................................................................................................42
一、研究發現..............................................................................................................42
二、研究貢獻..............................................................................................................43
三、後續建議..............................................................................................................43
參考文獻......................................................................................................................44
vi
表目錄
表4-1 訓練期間與測試期間...............................................................................29
表4-2 GA 調整策略參數設定............................................................................29
表4-3 時間不變性投資組合保險策略...............................................................30
表4-4 TIPP 策略訓練期與測試期結果..............................................................31
表4-5 固定比例組合保險策略..........................................................................35
表4-6 CM 策略訓練期與測試期結果................................................................36
vii
圖目錄
圖2-1 市場波動調整........................................................................................12
圖3-1 研究模型架構圖.......................................................................................19
圖3-2GA 調整策略架構圖.................................................................................20
圖3-3 GA 調整策略染色體示意圖....................................................................22
圖3-4 時間法則－基因示意圖及編碼..............................................................22
圖3-5 市場波動因素－基因示意圖及編碼.......................................................23
圖3-6 落差法則－基因示意圖及編碼...............................................................23
圖3-7 威廉指標－基因示意圖及編碼...............................................................24
圖3-8 買賣氣勢指標－基因示意圖及編碼.......................................................25
圖3-9 買賣意願指標－基因示意圖及編碼.......................................................25
圖4-1 要保期間移動視窗...................................................................................28
圖4-2 訓練期間-階段一股價走勢圖.................................................................33
圖4-3 訓練期間-階段二股價走勢圖.................................................................33
圖4-4 訓練期間-階段三股價走勢圖.................................................................34
圖4-5 訓練期間GA 調整策略報酬率比較圖...................................................38
圖4-6 訓練期間GA 調整策略標準差比較圖...................................................39
圖4-7 測試期間GA 調整策略報酬率比較圖...................................................40
圖4-8 測試期間GA 調整策略標準差比較圖...................................................41

參考文獻
一中文部份:
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45
二英文部份
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Management, Vol.13, pp.59-62.
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