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研究生:張婉蘭
研究生(外文):Wan-Lan Chang
論文名稱:因應台灣景氣循環的最適資產配置投資組合之研究
論文名稱(外文):Optimal Asset Allocation Of The Portfolio Over The Business Cycle In Taiwan
指導教授:闕河士闕河士引用關係
指導教授(外文):Horace Chueh
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:94
中文關鍵詞:最適投資組合資產配置景氣循環
外文關鍵詞:Business CycleMarkowitz Mean/variance Efficien
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摘要

本文以台灣金融市場上的九項資產為一投資組合,遵循目前在財務領域仍為廣泛運用的馬克維茲效率前緣的分析方法,並依據行政院經濟建設委員會所公佈的台灣景氣循環基準日期,劃分景氣擴張時期及景氣收縮時期,觀察本研究所建立之投資組合的九項資產在景氣擴張時期、景氣收縮時期及不分景氣的全循環時期,報酬率及風險的變化特性、風險分散的功能及最適資產配置比例的調整情形,並證明因應景氣循環調整資產配置比例的操作策略,確實可以提高投資組合的績效。研究期間自民國80年12月至90年6月,共115個月。

實證結果顯示:1. 因應景氣循環調整資產配置比例的操作策略,確實可以提高投資組合的績效。2.本研究所建立的投資組合,權益證券在景氣擴張時期優於景氣收縮時期,景氣收縮時期則反之,但整體而言,固定收益證券的報酬率較權益證券為高,因此,投資人應重視風險對於投資績效的影響。3.固定收益證券,不論在任何時期報酬率的變化都不大,波動性很小,但公債指數在景氣收縮時期有很好的績效表現,是兼顧報酬率與風險分散的投資工具,為投資組合中必要的資產配置。4.美元資產報酬穩定,風險分散功能佳,是風險規避型的保守投資人良好的避險工具。5.最適資產配置比例消長移動的變化情形,在景氣收縮時期較在景氣擴張時期快速。6.景氣收縮期比擴張期來得短,投資人可以藉預測景氣,以提高投資績效。

選擇報酬風險特性良好的資產,並正確的預測景氣的波段變化,做最適的資產配置,是投資決策的重要原則。
ABSTRACT

This paper utilizes a commonly financial market portfolio of nine equity, debt and equivalent cash assets. We show our results in Markowitz mean/variance efficiency by using different factors in expansion period, recession period and whole business cycle period separately. We define different business phases according to the turning point data sets of the business cycle issued by the Council For Economic Planning and Development through 1991/12 to 2001/06,115 months in all. Our research intends to provide a general picture of how cycle phase impacts specific assets and its proportion in portfolio. Thus, for comparative reason, we use the same assets in buy-and-hold strategy and give the performance quantitative evidence about business cycle effects.
Following are our findings : 1.Assets proportions adjusted by cycle phase enhance the performance compared with buy and hold strategy. 2.Equity assets show better performance than debt assets in expansion period, and reverse in recession. 3.The risk(standard deviation)of fixed income assets are little except bonds, whereas, bonds bear good character in return/risk. 4.The return from assets calculated in u.s. dollars are stable and they reduce risk. 5.The weights of optimal assets allocation change more fast in recession period than in expansion period. 6.The period of the recession phase is shorter than the expansion period. Predicting business cycle in advance promotes performance of the portfolio.
Asset selection policy and asset allocation strategy that adjusted by predicting business cycle fluctuation simultaneously are influential in making investment decision.
目 錄
中文摘要………………………………………………………….i
英文摘要…………………………………………………………ii
誌謝……………………………………………………………...iv
目錄………………………………………………………………v
表目錄…………………………………………………………..vii
圖目錄………………………………………………………….viii
第壹章 緒論..…………….………………………………….…..1
第一節 研究動機與目的………..…..………………………1
第二節 研究範圍及限制………..…………………………..3
第三節 研究流程………………..…………………………..6
第貳章 文獻探討..…………………...………………………….7
第一節 投資決策的擬定…………………….………..……7
第二節決定最適投資組合的方法……………………….11
第三節景氣循環對投資組合績效的影響分析………….29
第參章 研究方法與過程………………………..……………...37
第一節 研究方法流程…………. ………………………...37
第二節資產的選擇與資料的蒐集及處理……………… 39
第三節研究期間及景氣期間劃分方法………………….44
第四節研究方法及步驟…………………………..……...49
第肆章 實證結果與分析……………………………………….53
第一節 投資報酬率及風險的分析………………………..53
第二節資產相關性分析………………………….……….59
第三節效率前緣資產配置分析………………….……….65
第四節投資策略分析…………………………..…………75
第伍章 結論與建議……………..…….………………………80
第一節 結論……………….………….……………………80
第二節後續研究建議……….……………………………82
參考文獻……………………………….………………….…….84
附表..……….…………………………….……..……………….89


表 目 錄

表2-1 投資組合策略的決定因素……………………………...8
表2-2 最適投資組合相關理論彙整─以情境分析為主軸….28
表2-3 其他最適投資組合相關理論彙整……………….……29
表3-1 台灣景氣循環基準日期…………………………….…46
表3-2 景氣狀況時期……………………………………….…49
表4-1 九項資產報酬率及風險的分析…………….…………54
表4-2 九項資產之報酬率及風險排序………….……………55
表4-3 九項資產相關性分析…………………….……………60
表4-4 相同配置比例績效…………………….………………64
表4-5 景氣擴張時期效率投資組合………………………….69
表4-6 景氣收縮時期效率投資組合……………..………….. 70
表4-7 全循環時期效率投資組合…………………………….71
表4-8 效率前緣比較………………………………………….72
表4-9 九種資產實證績效分析….……………………………74
表4-10 投資策略績效比較(1) …………………………….75
表4-11 投資策略績效比較(2) …………………………….76

圖 目 錄

圖1-1 研究流程… ……………………………………………6
圖2-1 投資決策流程……………………………………….….10
圖2-2 隨機分散法的效力……………………………………..12
圖2-3 投資組合軌跡曲線……………………………………..16
圖2-4 投資組合的軌跡………………………………………..16
圖2-5 效率前緣………………………………………………..17
圖2-6 投資人最適投資組合的選擇…………………………..19
圖3-1 研究方法流程…………………………………………..37
圖3-2 歷年我國景氣對策信號與經濟成長率變動…………..46
圖4-1 九種資產效率前緣分布情形…………………………..73
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