臺灣博碩士論文加值系統

對於投資大眾而言，資產配置能夠降低投資風險，但只有概念卻無實際的參考模式。本文將風險值(VaR)與資產配置兩者觀念相互結合，透過投資人所能容忍最大損失的概念，將各個投資部位的權重，利用線性代數的方法，將模型推導出來。
模型推導分為兩階段，第一階段先決定最適資產配置的策略，而第二階段則將風險值的概念納入考慮，進而推導出最適資產配置。最後可以得到，各個投資部位權重，透過個人最大容忍損失、投資部位之超額報酬、資產之共變異數與風險值導入模型，可明確的表示出所代表的比例，達到調控整體風險值的功能。

To all investors, the asset allocation can reduce investigative risk. But they only know this concept not actual reference pattern. In this article, we combined VaR and asset allocation mutually, the concept of maximum possible loss that investors can suffered. We used linear algebra to find out each proportional investment weight then inferred the model.
The inferential process can be divides into two stages. To decide what is the most optimal asset allocation strategy in first stage. In second stage, we took the risk value's concept into consideration then inferred the most optimal asset allocation. Finally, we can obtain each investment weight. We introduce maximum sufferable loss, over-quota reward, covariance of asset and VaR into this modal. This will be able to find out each investigative ratio explicitly. Achieve the function of overall risk control.

中文摘要 Ⅰ
英文摘要 Ⅱ
謝誌 Ⅲ
目錄 Ⅳ

第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 5
第貳章 文獻回顧及探討 6
第一節 風險值的定義與介紹 6
第二節 股價波動行為 13
第三節 投資組合理論相關文獻探討 17
第參章 研究模型 23
第肆章 結論與建議 31
參考文獻 33

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