臺灣博碩士論文加值系統

在投資股票及其投資組合的過程中，投資人最重視的是風險與報酬兩大因素；在風險衡量方面，傳統的平均數-變異數模型將股價上漲與下跌視為相同的風險，這種做法並不符合投資人對風險的實際感受。有鑒於此，Bawa（1975）及Fishburn（1977）提出左偏動差（lower partial moment，LPM）理論作為衡量下方風險（downside risk）的方法，此方法一直被認為較能合理描述投資人的風險態度。但是此方法所估計的風險是否真能在國際資產配置績效上優於傳統的變異數法，則是本研究所要探討的命題。
本研究選取摩根史坦利公司所編製遠東指數中涵蓋國家(剔除中國大陸)之股價指數，期間為1987年12月至2002年12月。利用Classical Bootstrap法模擬事前（ex ante）報酬率序列，估計並比較「左偏動差模型」與「平均數-變異數模型」投資組合報酬率的分配；且以實際資料進行配置，並檢定兩種模型投資組合在報酬率表現較佳次數以及平均報酬率方面是否有顯著差異。
本研究實證結果發現，在考慮匯率風險與放空限制與否等情況下，「左偏動差模型」與「平均數-變異數模型」投資組合報酬的分配型態皆無太大的差異；以實際資料進行配置時，兩種模型投資組合在報酬率表現較佳次數以及平均報酬率方面都沒有顯著差異。雖然「左偏動差模型」被認為可較合理描述投資人想規避的風險，但是其風險衡量方式在操作上較「平均數-變異數模型」複雜許多；在兩者資產配置績效上無顯著差異的情況下，建議專業經理人在從事資產配置時採用操作方式比較簡單的「平均數-變異數模型」即可。

In the traditional portfolio theory（Mean-Variance model, MV）, the investment risk is measured by the variance. Based on this method, an increase and a decrease in prices of financial assets are treated the same. However, the risk that investors really want to avoid is the so-called downside risk. Therefore, Bawa（1975）and Fishburn（1977）introduce the Lower Partial Moment (LPM) approach to measure downside risk, and this approach is believed to obey the investors'' real feeling. The main subject of this paper is to investigate whether risk estimated by the Lower Partial Moment approach on asset allocation decisions is superior to that estimated by the traditional variance approach.
This study uses historical monthly stock price index of MSCI Far East Index coverage countrys (ex China) over the time-period from 1987:12 to 2002:12. This study uses employ the Classical Bootstrap technique to generate ex-ante data and to estimate the ex-ante return distributions of MV and LPM portfolios. Thereafter, we also investigate the portfolio performances of these two approaches by using historical data and test whether there is an obvious difference between the portfolio performances of these two approaches.
No matter we consider exchange rate and short sale or not, the result of this study shows that the return distributions of MV and LPM portfolios are similar and the null hypothesis of the same performance of MV and LPM portfolios could not be rejected. It implies that there is no significant difference between the performances of these two approaches. Although the popular belief is that the risk measured by the LPM approach could better describe the investors’ real feeling, this approach is much more complicated in calculating the risk and is lacking in superiority in performance of asset allocation. Therefore, we would recommend that the investors co uld simply employ the MV approach in their asset allocation decisions.

目錄
誌謝……………………………………………………..…………………Ⅰ
中文摘要…………………………………………………………………..Ⅱ
英文摘要…………………………………………………………………..Ⅲ
目錄…………………………………………………………………….….Ⅳ
表目錄…………………………………………………………………..…Ⅵ
圖目錄……………………………………………………………………..Ⅷ
第一章 緒論…………………………………………………………….…1
1.1研究背景與動機…………………………………………….……..…1
1.2研究目的……………………………………………………...………3
1.3研究流程………………………………………………………...……4
1.4論文結構……………………………………………………...………5
第二章 文獻探討………………………………………………………….6
2.1平均數-變異數模型………………………………………….….……6
2.2下方風險概念的演進與左偏動差理論.……………………….…….8
2.2.1下方風險概念的演進.……………………………………...…...8
2.2.2左偏動差模型理論……………….………………………...…...9
2.3 MV模型與LPM模型投資組合績效比較之相關文獻………....……11
2.3.1績效比較基礎之問題…………..……………….………….....11
2.3.1相關文獻整理…………….………………………………….....12
第三章 資料與研究方法…………………………………………………16
3.1研究資料…………………………………………………………..…16
3.2資料處理………………………………………………………..……18
3.3投資組合模型設計……………………………………………..……19
3.4 Classical Bootstrap 模擬法……………………….…..………20
3.5歷史資料分析法…………………………………………..…………22
第四章 實證結果與分析…………………………………………………24
4.1樣本資料的敘述統計…………………………………….………...24
4.2利用Classical Bootstrap模擬法分析結果………..…….………26
4.3歷史資料法分析結果……………………………………………..…55
4.3.1次數分析檢定…………………………………….……….……55
4.3.2平均數檢定………………………………………………….….56
第五章 結論及建議…………………………………………………...58
5.1結論………………………………………………………………..…58
5.2後續研究建議……………………………………………………..…59
參考文獻………………………………………………………………….61
中文部分………………………………………………………………...61
英文部分…………………………………………………………….…..61

參考文獻
中文部分
1.陳怡伶，2002， 「平均數-低偏動差模型之投資績效表現－與平均數- 變異數模型之比較」，中原大學國際貿易學系碩士論文。
2.游耀宗，2001， 「投資組合資產配置策略之研究－左偏動差模型之應用」，銘傳大學金融研究所碩士論文。
英文部分
1.Bawa, V. S., 1975, “Optimal rules for ordering uncertain prospects”, Journal of Financial Economics, 2, 95-121.
2.Bawa, V. S. and E. B. Linderberg, 1977, “capital market equilibrium in a mean-lower partial moment framework”, Journal of Financial Economics, 5, 189-200.
3.Cheng, P., 2001, “Comparing downside-risk and mean-variance analysis using bootstrap simulation”, Journal of Real Estate Portfolio Management, 7(3), 225-238.
4.Cheng, P. and L. M. Wolverton, 2001, “MPT and the Downside Risk Framework: A Comment on Two Recent Studies”, Jouranl of Real Estate Portfolio Management, 7:2,125-31.
5.Efron, R., 1979, “Bootstrap Methods: Another Look at the Jackknife”, The annals of Statistics, 7,1-26.
6.Eurrza, V., 1977, “Gains from Portfolio Diversification into Less Developed Countries Securities”, Journal of International Business Studies, Fall/Winter, 83-99.
7.Fishburn, P. C., 1977, “Mean-risk analysis with risk with below-target return”, The American Economic Review, 67(2), 116-25.
8.Harlow, W.V., 1991, “Asset Allocation in a Downside-Risk Framework”, Financial Analysis Journal, Sept.-Oct., pp.29-41.
9.Hogan, Willian W. and James M. Warren, 1972, “Computation of the Efficient Boundary in the E-S Portfolio Selection Model”, Journal of Financial and Quantitative Analysis, Vol7 No.4, pp.1881-1896.
10.Lucas, A., and Klaassen, P., 1998, “Extreme Returns, Downsdie Risk, and Optimal Asset Allocation”, Journal of Portfolio Management, Fall, 71-79.
11.Markowitz, H., 1952, “Portfolio Selection”, Journal of Finance, 7, 77-91.
12.Markowitz, H., 1959, Portfolio Selection (John Wiley & Sons: New York, NY.)
13.Porter, R. Burr., 1974, “Semivariance and Stochastic Dominance: A Comparison”, American Economic Review, Vol.64, No.1, 200-204
14.Sivitanides, P. S., 1998, “A downside-risk approach to real estate portfolio structuring”, Journal of Real Estate Portfolio Management, 4(2), 159.
15.Soritno, Frank A. and v.d. Meer. Robert, 1991, “Downside Risk”, The Journal of Portfolio Management, Fall, 59-64.
16.Rom, Brian M. and Kathleen W. Ferguson, 1994, “Post-Modern Portfolio Theory comes of Age”, The Journal of Investing, Fall, 11-17.
17.Roy, A. D., 1952, “Safety first and the holding of assets”, Econometric, 20, 431-440.
18.Sing, T. F. and S. E. Ong, 2000, “Asset Allocation in a Downside Risk Framework”, Journal of Resl Estate Portfolio Management, 6:3, 213-24.