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研究生:吳家豪
研究生(外文):Wu, Chia-Hau
論文名稱:考量經濟循環及風險管理之投資組合配置
論文名稱(外文):The Incorporation of Economic Cycles and Risk Management in Assets Allocation Investment Portfolio
指導教授:俞凱允俞凱允引用關係
指導教授(外文):Yu, Calvin
口試委員:林榮禾林鴻裕俞凱允
口試委員(外文):Lin, Rong-HoLin, Hong-YuYu, Calvin
口試日期:2012-04-26
學位類別:碩士
校院名稱:明志科技大學
系所名稱:工業工程與管理研究所
學門:工程學門
學類:工業工程學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:71
中文關鍵詞:資產配置馬可夫鏈平均數-變異數法商品交易顧問景氣循環
外文關鍵詞:Assets AllocationMarkov-ChainMean-VarianceCommodity Trading Advisors (CTAs)Economic Cycles
相關次數:
  • 被引用被引用:0
  • 點閱點閱:348
  • 評分評分:
  • 下載下載:106
  • 收藏至我的研究室書目清單書目收藏:0
於低利率時代,決定未來經濟能力的因素不僅是專業能力,關鍵在於理財能力。理財不只是儲蓄,還需事先規劃及正確投資。而投資成敗與否,極大因素在於資產配置。本研究探討配合景氣狀態更迭做投資組合配置,並以商品交易顧問 (Commodity Trading Advisors, CTAs) 做為研究標的。運用Markowitz 平均數-變異數法依照不同景氣訊號進行最小風險值下之期望報酬最大化的投資組合配置,再透過馬可夫鏈分析景氣變化狀態,對長期投資績效做評估。本研究所發展之考量景氣循環變動的最佳資產配置模型,投資者依風險喜好需求,得到不同景氣狀態下之最佳資產配置。
In the years of low interest rate, personal financial management is the key to the future wealth, not only professional specialty. Personal financial management is not simply saving money, but also need to plan in advance and do the correct investments. Assets allocation seems to be the most important issue in doing the right investments. In this research, we incorporate the economic cycles and risk management in asset allocation investment portfolio, and select the commodity trading advisors (CTAs) as an example. First use Mean-Variance method to create efficient frontier, and then use Markov-Chain to analyze the transition of economic cycles in order to evaluate the long term gain. Using the method developed in this research, the investors can find a proper assets allocation investment portfolio under different risk preferences and different economic conditions.
目錄
明志科技大學碩士學位論文指導教授推薦書………………………….. i
明志科技大學碩士學位論文口試委員審定書…………………………. ii
明志科技大學學位論文授權書………………………………………… iii
誌謝 iv
摘要 v
ABSTRACT vi
目錄 vii
表目錄 ix
圖目錄 xi
第一章 緒論 1
1.1 研究背景 1
1.2 投資組合配置重要性 2
1.3 商品交易顧問簡介 3
1.4 研究動機與目的 5
1.5 研究流程架構 7
第二章 文獻探討 10
2.1 平均數-變異數 10
2.2 馬可夫鏈 13
2.2.1 應用在金融領域 13
2.2.2 應用在其他領域 14
2.3 投資組合配置 15
2.3.1 啟發式演算法進行投資組合配置 16
2.3.1.1 基因演算法 16
2.3.1.2 貪婪法 17
2.3.1.3 模擬退火法 17
2.3.1.4 禁忌搜尋法 18
2.3.2 確定性解法進行投資組合配置 18
2.3.2.1 動態規劃法 18
2.3.2.2 線性規劃法 19
第三章 研究方法 20
3.1 問題描述 20
3.2 符號及變數定義 20
3.3 平均數-變異數法 21
3.4 馬可夫鏈預測景氣 25
第四章 實例分析 29
4.1 世界景氣比較 30
4.2 各景氣狀態投資配置 33
4.2.1 景氣過熱狀態 36
4.2.2 景氣快要過熱狀態 39
4.2.3 景氣穩定狀態 43
4.2.4 景氣快要趨冷狀態 47
4.2.5 景氣趨冷狀態 51
4.3 未做投資組合配置之分析 57
4.4 景氣穩定狀態機率 58
4.5 綜合分析 59
第五章 結論與建議 63
5.1 結論 63
5.2 建議 64
參考文獻 65
中文部份:
李文聖 (2000)。因數、特徵與資產配置(未出版之碩士論文)。國立中央大學,桃園縣。
李青憲 (2002)。多情境資產配置系統雛形之建置(未出版之碩士論文)。元智大學,桃園縣。
李秋燕 (2002)。台灣退休基金資產配置之研究-以公務人員退休撫卹基金為例(未出版之碩士論文)。國立交通大學,新竹市。
侯靜怡 (2004)。應用SUR估計法於因數模型、特徵模型之資產配置-以台灣股票市場為例(未出版之碩士論文)。淡江大學,新北市。
洪慶昇 (2004)。不同風險預測模式之投資組合績效比較-以國際資產配置為例(未出版之碩士論文)。樹德科技大學,高雄市。
陳振寰 (2003)。多情境資產配置之智慧代理人系統架構設計(未出版之碩士論文)。元智大學,桃園縣。
遊欣慧 (1999)。多種情境式資產配置之研究(未出版之碩士論文)。國立台灣大學,臺北市。
閔志清 (1998)。台灣基金資產配置之研究(未出版之碩士論文)。國立台灣大學,臺北市。
黃致翔 (2004)。最佳投資組合研究-以台股為例(未出版之碩士論文)。國立中央大學,桃園縣。

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