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研究生:鄭威宏
研究生(外文):Wei-Hong Zheng
論文名稱:應用 Black-Litterman model下使用EARCH-M 找出投資者看法之台灣50應用
論文名稱(外文):An application of the Black-Litterman model with EGARCH-M-derived views for taiwan 50 constituent portfolio management
指導教授:林丙輝林丙輝引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融系所
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:2010
畢業學年度:98
語文別:中文
論文頁數:35
中文關鍵詞:資產配置Black-LittermanMarkowitz均異化最適動能外資
外文關鍵詞:asset allocationBlack-LittermanMarkowitz mean-variance optimizationmomentumforeign investors
相關次數:
  • 被引用被引用:2
  • 點閱點閱:243
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
本篇論文目的在於研究Black and Litterman model 在台灣50成份股之績效,在投資者看法使用EGARCH-M與動能策略等建立,結合&;#38560;含均衡報酬後最終形成預期超額報酬,並形成投資組合。本研究將擁有二種投資組合,依投資人看法為是否具有動能策略為區分,形成具含有(無)動能策略之【投組一】(【投組二】),又因研究期間2005年1月至2009年12月,經歷全球金融海嘯,使全球金融市場嚴重動盪,故盼EGARCH-M能發揮波動性群聚之效果,有效降低投資者風險。
得到下例實證結果:
1. 雖許多數據仍指出應用Black and Litterman model比傳統資產配置得到更好的報酬率等,但在無法明確指出Black and Litterman model比傳統資產配置更好。
2. 一個月之投資組合好過雙週投資組合。
3. 不含動能策略之投資組合優於含動能策略之投資組合。
4. 而在風險控管上Black and Litterman model比傳統資產配置與對照指數佳,特別採用高信心(90%)看法最佳。


This research studies performance of the Black-Litterman Model on Taiwan 50 constituent allocation .As to the portion of the invertors’view ,with EGARCH-M and Momentum strategy ,the combination of the Implied Excess Equilibrium Return and investor’s views to take shape of expected excess returns to formulate the investment portfolio.This research formulates two kinds of investors’ views which are respectively the exclude Momentum strategy of the previous periods, “Portfolio I” and include Momentum strategy “Portfolio II”。
Because the data of the research spans from January in 2005 to December in 2009. The global financial markets severe turbulence in the period .So we try to use the EGARCH-M that can help us capture the volatility clustering effect and reduce investor risk in the same time.
The empirical results are follows:
1. Although data indicate that application of Black and Litterman model better than the traditional asset allocation. There is no statistics evidence can prove that Black and Litterman model is better than traditional asset allocation
2. One month investment portfolio is better than bi-weekly
3. Portfolio without momentum strategy is better than portfolio with momentum strategy.
4. Black and Litterman model has better risk management ability than the traditional asset allocation and index , especially the best with high confidence (90%) view


目錄 iv
表目錄 v
圖目錄 v
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構與流程 2
第二章 文獻回顧 4
第一節 傳統投資組合相關文獻回顧 4
第二節 Black-Litterman model相關文獻回顧 5
第三節 EGARCH-M、動能相關與相關文獻回顧 6
第三章 研究方法 10
第一節Black-Litterman model之參數設定 10
第二節 投資人看法之模型 16
第三節 績效衡量與風險分析 18
第四章 實證結果 22
第一節 資料來源 22
第二節 樣本架構 22
第三節 實證結果 23
第五章 結論與建議 32
第一節 結論與建議 32
參考文獻 33


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梁益民(2001) Black-Litterman 模型在國際資產配置之應用 國立中央大學,碩士論文。
游明修(2007) 兩階段資產配置應用於內部基金建置 ,國立台灣大學,碩士論文
黃聖棠(2007)台灣股市外資與動能投資策略,東華大學,博士論文


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