臺灣博碩士論文加值系統

Markowitz (1952) 所提出之均異投資組合模型 (Mean-Variance Model)，成為現代投資組合理論之基石，但一般研究較偏重於如何更有效的衡量報酬與風險，使均異模型能夠更有效率，較少考慮融券放空與其他準則。本研究以均異模型為基礎，建立允許放空之投資組合，並加入β值、融券個數、融券比率與偏態係數等項準則，並考量因交易與融券所造成的諸多交易成本，以多目標之形式建構三項多準則投資組合模型，以 2007 年至 2009 年 3 月之台灣股市為例，利用移動視窗法模擬實際交易情況，由實驗結果可知，允許放空之多準則投資組合之模型的確能夠達到提昇獲利且分散風險之目標。

The mean-variance model proposed by Markowitz (1952) becomes a foundation for the theory of the portfolio selection. Therefore, most studies have focused on the effect of long position but paid less attention on the behavior of short selling and other criteria. In this study, we propose three multi-criteria portfolio selection models based on the mean-variance model with criteria of return, risk, short selling, β and skewness. And the multiple objective programming is used to deal with multi-criteria decision making problems. Two examples based on the Taiwan stock market are utilized to assess the proposed model by adopting a rolling window approach to simulate a real-life transaction situation. And we found the proposed model with multiple criteria has higher profit than mean-variance model.

目 錄

摘要 I
Abstract II
目 錄 III
表 目 錄 V
圖 目 錄 VI
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 研究架構與研究流程 4
第二章 決策方法 6
2.1 多準則決策(Multi-Criteria Decision Making, MCDM) 6
2.2多目標規劃方法 8
2.3 移動視窗分析(Rolling Window) 10
第三章 投資組合相關理論 11
3.1 投資組合模型：均異模式 (Mean-Variance Model) 11
3.2 融券 14
第四章 模糊多目標規劃方法建立多準則投資組合模式 16
4.1 多評準決策之考量項目 16
4.2 多準則之多目標規劃模式 21
4.2.1 四個準則之投資組合模式 21
4.2.2 加入β值之投資組合模式 25
4.2.3 加入偏態之投資組合模式 26
第五章 實証分析 28
5.1 資料來源與分析之描述 28
5.1.1 股票選取策略 29
5.1.2 股票所選之實驗時間 29
5.2 模擬資料之實作分析 29
5.2.1實驗一 29
5.2.1實驗二 31
5.3 實驗後資料分析 32
第六章 結論與建議 34
參考文獻 36
附錄A 40


表 目 錄

表1 股票名稱與代號 28
表2 實驗一 25期各期總市值結算 (單位：元) 30
表3 四模型 10 期總市值結算 (單位：元) 32
表4 模型三台泥融券比率、期望報酬與偏態係數一覽表 33




圖 目 錄

圖1 研究流程圖 5
圖2 移動視窗法 10
圖3 效率前緣 12
圖4 各種報酬率(吳永猛et al., 1999) 16
圖5 均異模型與三模式 25 期總市值趨勢圖 31
圖6 均異模型與三模式 10 期總市值趨勢圖 32
圖7 實驗一各模型各期風險比較表 33
圖8 實驗二各模型各期風險比較表 33

I.中文文獻
1.吳永猛、高凱聲、黃建森、柯勝揮 (民86)，「投資理財」，國立空中大學。
2.王浩翔 (民95)，「應用多準則決策及重新規劃法於投資組合」，碩士論文，國立暨南國際大學資訊管理所。
3.卓如茵 (民96)，「模糊目標規劃法應用於多準則決策之投資組合模式」，碩士論文，國立暨南國際大學資訊管理所。
4.安德烈．科斯托蘭尼 (民96)，「一個投機者的告白」，商智文化。


II.英文文獻
1.F.B. Abdelaziz and B. Aouni and R.E. Fayedh, “Multi-objective stochastic programming for portfolio selection,” European Journal of Operational Research 177 (2007) 1811-1823.
2.G.J. Alexander, “Short Selling and Efficient Sets,” Journal of Finance 4 (1993) 1497-1506
3.G.J. Alexander, M. A. Peterson, “Short selling on the New York stock exchange and the effects of the uptick Rule,” Journal of Financial Intermediation 8 (1999) 90-116
4.E.E. Ammara, “On solutions of fuzzy random multiobjective quadratic programming with applications in portfolio problem, “Information Sciences 178 (2008) 468-484
5.J.J. Angel, E.C. Stephen and G.F. Michael, “A Close Look at Short Selling on Nasdaq,” Financial Analysts Journal 59 (2003) 66-74.
6.B. Aouni, F.B. Abdelaziz and J.M. Martel, “Decision-Maker’s preferences modeling in the stochastic goal programming,” Journal of the Operational Research 162 (2005) 610-618.
7.F. Arditti, “Risk and the required return on equity,” Journal of Finance 22 (1967) 19–36.
8.B. Bilbao, P. Gladish, “Fuzzy compromise programming for portfolio selection,” Applied Mathematics and Computation 173 (2006) 251-264.
9.J. Bouri, M. Martel and H. Chabchoub, “A multi-criterion approach for selecting attractive portfolio,” Journal of Multi-Criteria Decision Analysis 11 (2002) 269-277.
10.A. Charnes, W. Cooper and R. Ferguson, “Optimal estimation of executive compensation by linear programming,” Management Science 1 (1955) 138-151.
11.G.A. Chdam, “Fuzzy programming (FGP) approach to a stochastic transportation problem under budgetary cobstraint,” Fuzzy Sets and Systems 66 (1994) 293-299.
12.L.H. Chen and F.C. Tsai, “Fuzzy goal programming with different importance and priorities,” European Journal of Operational Research 133 (2001) 548-556.
13.L.Chiodi et al., “Semi-absolute deviation rule for mutual funds portfolio selection,” Annals of Operations Research 124 (2003) 245-265
14.P. Chunhachinada, K. Dandapani, S. Hmid and A.J. Prakash, “Portfolio selection and skewness: Evidence from international stock markets,” Journal of Banking & Finance 21(1997) 143-167.
15.E. Costa and J.O. Soares, “A multicriteria model for portfolio management,” The European Journal of Finance 10 (2004) 198-211.
16.M. Ehrgott, K. Klamroth and C. Schwehm, “An MCDM approach to portfolio optimization,” European Journal of Operational Research 155 (2004) 752-770.
17.Y. Fang, K.K. Lai and S.Y. Wang, “Portfolio rebalancing model with transaction costs based on fuzzy decision theory,” European Journal of Operational Research 175 (2006) 879-893.
18.S. Figlewski, “The informational effects of restrictions on short sales: some empirical evidence,” Journal of Financial and Quantitative Analysis 16 (1981) 463-476.
19.A.A. Gaivoronski et al., “Optimal portfolio selection and dynamic benchmark tracking,” European Journal of Operational Research 163 (2005) 115-131.
20.P. Geoffrey, “Short sales restrictions, dilution and the pricing of rights issues on the Singapore Stock Exchange,” Pacific-Basin Finance Journal 10, (2002) 141-162.
21.B.P. Gladish, D.F. Jonesb, M. Tamizb and A. Bilbao, “An interactive three-stage model for mutual funds portfolio selection,” Omega 35 (2007) 75-88.
22.S. Grossman and J. Stiglitz, “On the Impossibility of Informationally Efficient Markets,” American Economic Review 70 (1980) 393-408.
23.W. Hallerbach, H. Ning, A. Soppe and J. Spronk, “A framework for managing a portfolio of socially responsible investments,” European Journal of Operational Research 153 (2004) 517-529.
24.W. Hallerbach and J. Spronk, “The relevance of MCDM for financial decisions,” Journal of Multi-Criteria Decision Analysis 11 (2002) 187-195.
25.E.L. Hannan, “On fuzzy goal programming,” Decision Sciences 12 (1981) 539-546.
26.C.R. Harvey and A. Siddique, “Conditional Skewness in Asset Pricing Tests,” Journal of Finance 55(3) (2000) 1263-1295.
27.J.J. Huang, G.H. Tzeng and C.S. Ong, “A novel algorithm for uncertain portfolio selection,” Applied Mathematics and Computation 173 (2006) 350-359.
28.X. Huang, “Portfolio selection with fuzzy returns,” Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology 18 (2007) 383-390.
29.C. Hwang, L. and K. Yoon, Multiple Attribute Decision Making Methods and Applications: A State-of-the-Art Survey, Springer-Verlag, New York, 1981.
30.J.P. Ignizio, “A review of goal programming: A tool for multiobjective analysis,” Journal of the Operational Research Society 27 (1978) 1109-1119.
31.Y. Ijiri, Management Goals and Accounting for Control, North-Holland, Amsterdam 1965.
32.T. Joro and P. Na, “Portfolio performance evaluation in a mean-variance-skewness framework,” European Journal of Operation Research 175 (2006) 446-461.
33.W. H. Kim, “Short-sales restrictions and volatility The case of the Stock Exchange of Singapore,” Pacific-Basin Finance Journal 4, (1996) 377-391.
34.C.Y. Kwan, “Optimal portfolio selection under institutional procedures for short selling,” Journal of Banking & Finance 19 (1995) 871-889.
35.E. S. Lee and R. J. Li, “Fuzzy multiple objective programming and compromise programming with Pareto optimum,” Fuzzy Sets and Systems, 53 (1993) 275-288.
36.C.M. Lin, J.J. Huang, M. Gen and G.H. Tzeng, “Recurrent neural networks for dynamic portfolio selection,” Applied Mathematics and Computation 175 (2006) 1139-1146.
37.H. Markowitz, “Portfolio selection,” Journal of Finance 7 (1952) 77-91.
38.C.S. Ong, J.J. Huang and G.H. Tzeng, “A novel hybrid model for portfolio selection,” Applied Mathematics and Computation 169 (2005) 1195-1210.
39.K. Peter, “The capital gain lock-in effect with short sales constraints,” Journal of Banking & Finance 22, (1998) 1533-1558.
40.A.J. Prakash, C.H. Chang, T.E. Pactwa, “Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets,” Journal of Banking & Finance 27 (2003) 1375-1390.
41.C. Romero, “A general structure of achievement function for a goal programming model,” European Journal of Operational Research 153 (2004) 675-686.
42.C. Romero, “Extended lexicographic goal programming: a unifying approach,” Omega 29 (2001) 63-71.
43.L. Schrage, LINGO Release 8.0, LINDO System, Chiago, 2003.
44.J.J. Seneca, “Short interest: bearish or bullish?” Journal of Finance 22 (1967) 67–70.
45.R.E. Steuer and P. Na, “Multiple criteria decision making combined with finance: A categorized bibliographic study,” European Journal of Operational Research 150 (2003) 496-515.
46.R.E. Steuer, Y. Qi and M. Hirschberger, “Multiple objectives in portfolio selection,” Journal of Financial Decision Making 1 (2005) 5-20.
47.Q. Sun and Y. Yan, “Skewness persistence with optimal portfolio selection,” Journal of Banking & Finance 27 (2003) 1111-1121.
48.W.G. Sun and C.F. Wang, “The mean-variance investment problem in a constrained financial market,” Journal of Mathematical Economics 42, (2006) 885-895.
49.J.A. White, “More institutional investors selling short: but tactic is part of wider strategy,” Wall Street Journal, 7 (1990) 493-501.
50.J.R. Woolridge, A. Dickinson, “Short Selling and Common Stock Prices,” Financial Analysts Journal 50 (1994) 20-28.
51.Y. Yang, J.P. Ignizio, H.J. Kim, “Fuzzy programming with nonlinear membership functions: Piecewise linear approximation,” Fuzzy Sets and Systems 11 (1991) 39-53.
52.H.J. Zimmermann, “Fuzzy programming and linear programming with several objective functions,” Fuzzy Sets and Systems 1 (1978) 45-55.

III.電子文獻
1.“台灣證券交易所”, http://www.tse.com.tw/ch/index.php
2.“美國YAHOO Finance”, http://finance.yahoo.com/