臺灣博碩士論文加值系統

對風險管理者而言，需要一明確的數據來判斷經理人所承擔之風險部位，以確保組織之永續發展，而風險值概念的提出正可滿足此一需求。本文假設在無「交易成本」下，藉由改變1.可接受的最大損失(L)，2.信賴水準( )與3.投資者的風險趨避程度，加入VaR限制式與CVaR限制式，對投資人的投資組合的選擇範圍會產生何種影響。希望藉由釐清在Mean-Variance模型架構下，加入VaR或CVaR的條件限制下對投資組合可選擇範圍的影響，亦即探討在傳統Mean-Variance模型裡加入風險管理概念的可行性。

最後我們歸納Mean-Variance模型加入VaR或CVaR的限制式的一些結果，
1.在最大損失可接受(L)固定下，隨著信賴水準( )的提高，效率前緣所滿足的範圍亦會隨之減少。
2在信賴水準( )固定下，隨著最大可接受損失(L)的減少，效率前緣所滿足的範圍亦會隨之減少。
3.在相同的最大損失可接受(L)與信賴水準( )設定下，CVaR的限制式是一較VaR嚴格之限制式。
4. Mean-Variance模型，加入風險管理概念，首當其衝者為風險趨避程度小之經理人(即 )，次之為風險趨避程度中等之經理人(即 )，最後才是風險趨避程度大之經理人(即 )。

Speaking of the risk manager, needs an explicit data to judge the agent to undertake the risk spot , guarantees the organization to continue forever to develop, the value of risk (VaR) concept proposed may meet this need. Under “no transaction cost”, we change 1. acceptable biggest losses (L), 2. confidence level( ), 3. the attitude of risk aversion( ). To distinguish Mean-Variance model structure , the condition of joining VaR or CVaR limitation and the influence of the range on investment combination to make , namely probe into the feasibility of joining the risk management concept into traditional Mean-Variance model.

We summarize the Mean-Variance model to join VaR or CVaR limitation some results:
1. Under acceptable biggest losses (L) be constant ,along with confidence level( ) enhancement, the range of efficiency frontier also reduce .
2. Under confidence level( ) be constant ,along with acceptable biggest losses (L) reducing, the range of efficiency frontier also reduce .
3. When the setting of acceptable biggest losses (L) and confidence level( ) be the same, the CVaR limitation is more strict than the VaR .
4. Mean-Variance model with the concept of risk management impacts the slightly risk-averse agent more than the highly risk-averse agent.

第一章 緒論 2
第一節 研究背景 2
第二節 研究動機與目的 3
第二章 文獻探討 4
第一節 風險值的定義與介紹 4
第二節 條件風險值的定義與介紹 9
第三節 投資組合理論 13
第三章 研究方法 21
第一節 資料選取 21
第二節 以歷史模擬法估計VaR與CVaR 22
第三節 比較靜態分析 26
第四章 實證分析與結果 27
第一節 資料的敘述統計量 27
第二節 投資組合無選擇權 28
第三節 投資組合有選擇權 47
第四節 探討期望報酬與風險值之關係 59
第五節 結論 61
參考文獻 62

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