臺灣博碩士論文加值系統

共同基金目前已成為投資理財熱門的金融商品之一，而如何有效地投資於共同基金市場，是普獲關切的議題之一。
首先由台灣經濟新報資料庫(TEJ)基金評等系統，篩選標的基金並據以建構投資組合，再以樣本共變異數矩陣(Sample Covariance Model，SAM)、因素分析法(Implicit Factor Model，IFAC)、內含因子GARCH模型(Implicit Factor GARCH Model，IFAC-G)及全因子多變量GARCH模型(Full-Factor Multivariate GARCH Model，FFMG)等共兩種靜態與兩種動態模型，預測基金群組每期之共變異數矩陣及預期報酬，其後利用風險值(Value at Risk，VaR)及相對基準點風險值(Benchmark-Relative Value at Risk，BRVaR)之修正夏普指標，驗證各模型風險控管之敏銳度。試圖搜尋出較具效率的共變異數矩陣預測模型，期於共同基金市場獲得較高且具相對穩定之報酬。
實證結果發現上述四種模型中以FFMG動態共變異數矩陣預測模型建構的投資組合，擁有相對於SAM、IFAC及IFAC-G等三種預測模型較高的平均報酬及修正夏普指標，換言之FFMG動態共變異數矩陣預測模型能相對有效提升投資報酬率並控制投資風險。

Mutual fund has become a popular financial instrument of investment. It is a key research issue to invest mutual fund efficiently.
In the present study, we employ four static and dynamic models, which are the sample covariance model (SAM), implicit factor model (IFAC hereafter), implicit factor GARCH model (IFAC-G hereafter) and full-factor multivariate GARCH model (FFMG hereafter), to build up suitable portfolios of the mutual fund and calculate the covariance matrix and returns for each period fund samples. The sample is drawn from the data base of Taiwan Economic Journal (TEJ hereafter). Furthermore, based on the criteria of Value at Risk (VaR) and Benchmark-Relative Value at Risk (BRVaR) of the Improved Sharpe Ratio, we might find more efficient covariance matrix portfolios model of the mutual fund in order to obtain higher and stable returns in the mutual fund market. We empirically find out that the average returns and Improved Sharpe Ratio in FFMG is higher than those in three other models. In other words, FFMG could relatively increase returns and efficiently control the risk of the investment in the mutual fund market.

目錄
中文摘要 I
Abstract II
誌謝 III
目錄 IV
表目錄 VI
圖目錄 VII
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 文獻回顧 5
第一節 投資組合理論 5
第二節 風險值的應用 8
第三章 研究方法 13
第一節 資料來源與篩選 13
第二節 研究設計 13
第三節 研究方法 16
第四章 實證分析 29
第一節 資料篩選結果及敘述統計 29
第二節 共同基金投資組合之評比 30
第三節 成對樣本檢定 37
第五章 結論 41
第一節 結論 41
第二節 研究限制及建議 42
參考文獻 44
一、中文部分 44
二、英文部分 44
附 錄 47


表目錄
表2-1 文獻整理 11
表4-1 標的基金之敘述統計與相關係數 30
表4-2 共同基金群組於不同模型下之操作績效 33
表4-3 共同基金投資組合於擴張型取樣下之修正夏普指標 34
表4-5 共同基金投資組合之週轉率 37
表4-6 各模型於不同條件下之平均報酬成對樣本檢定 39


圖目錄
圖1-1 研究流程 4
圖3-1 研究步驟 15
圖3-2 擴張型 18
圖3-3 滾動型 19
圖3-4 報酬分配 25
圖4-1 台股指數 36

參考文獻
一、中文部分
1. 張雅惠(2000)。應用風險值評估共同基金之績效。未出版碩士論文，國立政治大學金融學系。
2. 張有若(2002)。全球共同基金群組風險與績效評估─以風險值修正夏普指標之應用。未出版碩士論文，中原大學企業管理系。
3. 張淑怡(2004)。應用Orthogonal Garch與Garch Bootstrap模型之風險值方式於國內共同基金之研究。未出版碩士論文，國立雲林科技大學財務金融系。
4. 廖益誠(1998)。極值理論在台灣股市之應用。寶來金融創新雙月刊第九期。

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