(3.237.97.64) 您好!臺灣時間:2021/03/03 04:56
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:Saruultuya Tsendsuren
研究生(外文):Saruultuya Tsendsuren
論文名稱:蒙古金融市場的有效投資組合的貴金屬和貨幣與IPO指數
論文名稱(外文):Efficient Portfolios of Mongolian Financial Market of Precious Metal and Currency and IPO Index
指導教授:林烱垚林烱垚引用關係
指導教授(外文):Dr. Joung-Yol Lin
學位類別:碩士
校院名稱:亞洲大學
系所名稱:經營管理學系碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
畢業學年度:99
語文別:英文
論文頁數:55
中文關鍵詞:投資組合高效投資組合分散風險
外文關鍵詞:PortfolioEfficient portfolioRisk diversification
相關次數:
  • 被引用被引用:0
  • 點閱點閱:113
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
摘要
本碩士論旨在提供投資機會的投資組合回饋利潤。事實上,本論文研究許多對於持續性配套結合成顯著差異的金融市場、有價物質與貨幣投資形配套措施。本研究工作主要意圖即是將突顯蒙古金融市場的投資組合回饋利潤與標準偏差。我們設置三種不同的投資組合。結論首選蒙古二十家代表性公司,首選公開募股(Initial Public Offering IP0),股市指標,同樣的蒙古黃金和純銀價格與AMEX黃金指標和常見貨幣價格的持續組合。我們在此想要協助投資者於無頭緒的情況時,結合本論文以建構有效的投資組合。研究工作以蒙古數據與部份世界數據,因而絕大多數數據從蒙古股市、蒙古中央銀行、部份蒙古仲介商收集而來。由於股市公司發行的股票即乎全部失效,始終尾隨危機,當代多數的股市公司又處於不活躍的狀態,因而選擇有效的投資貨幣條件是非常困難的。由於這種低率經濟發展特點的最終結果,蒙古證交所應採取較新發展方法。
ABSTRACT
In this master thesis have intended of sustainable portfolio return on invesment opportunity set. Essentially of this master thesis did several kinds of investment selections which are financial market, precious metals and currency that made crucial difference in terms of portfolio selection. The main purpose of research work is to reveal Mongolian financial markets portfolio return and standard deviation. We build up three kinds of different portfolios it’s including the portfolios had chosen by top 20 index company, IPO (Initial Public Offering) and stock index, also Mongolian gold and silver price and AMEX gold index, and most common currency prices in Mongolia. Hence we want to help for investors to constitute efficient portfolio in unpredictable condition using this master thesis. The research work is based on the Mongolian data and some of World data therefore most of all data were collected from Mongolian stock market, Mongolian Central bank and some of Mongolian Broker Companies. At present Mongolian stock exchange run up against with any difficulties of lower rate of return. Therefore, it’s very hard to choose effective portfolio current condition. Nowadays most of all Mongolian stock companies inactive working now. Because of when company issuing stocks in the financial market almost all completely failure again and always following risks. This inefficient ultimate results due to characteristics of economic development, even Mongolian stock exchange center is newer and the way on developing now.
Outline of Contents

TABLE CONTEXT....................................................VII
FIGURE CONTEXT ................................................VIII
ABSTRACT .................................................iii
Chapter 1 INTRODUCTION ............................................1
1. Research background........................................2
1.1.1 Brief introduction of Mongolia.............................2
1.1.2 Economy of Mongolia........................................2
1.2 Research motivation........................................4
1.2.1 Brief introduction to Mongolian Stock Exchange Center .....5
1.2.2 Procedure of Mongolian Stock Exchange Center...............5
1.3 Research Objective.........................................5
1.4 Methodology Flowchart......................................6
Chapter 2 LITERATURE REVIEW........................................7
2.1 Portfolio asset class......................................8
2.2 The Seven-step process towards identifying the right shares for portfolio.........................................................13
2.2.1 Setting personal objectives.................................13
2.2.2 Establishing a strategy for risk............................14
2.2.3 Choosing sectors for investment.............................18
2.2.4 Evaluate annual report and other information ...............19
2.2.5 The main financial reports..................................20
2.3 Efficient frontier........................................20
2.3.1 Optimal portfolio.........................................20
2.3.2 Minimum variance portfolio................................24
2.4 Adding a risk free asset..................................25
2.4.1 Capital market line & market portfolio....................25
2.5 Value at Risk based optimization..........................25
2.5.1 Value at Risk efficient frontier..........................25
2.6 Diversification...........................................28
2.7 Difference between Two Populations........................31
Chapter 3 RESEARCH DESIGN.........................................32
3.1 Methodology Framework (Empirical test the hypothesis).........32
3.2 Research Variable and Measurement and Hypothesis Development..32
3.2.1 Hypotheses Development......................................33
3.3 Sample........................................................33
3.4 Method........................................................34
Chapter 4 ANALYSIS AND RESULT.....................................35
4.1 Portfolio Combination of Return, Standard deviation...........35
4.2 Portfolio Risk................................................37
5. Chapter 5 CONCLUTION..........................................40
5.2 Managerial Implications.......................................41
5.3 Limitations and Further Research..............................41
Appendix 1........................................................42
Appendix 2........................................................43
Appendix 3........................................................44
Appendix 4........................................................45
Appendix 5........................................................46
Appendix 6........................................................48
Appendix 7........................................................50
Appendix 8........................................................51
REFERENCE.........................................................53

TABLE CONTEXT

Table 1: Country profile of Mongolia................................3
Table 2: A Spectrum of investment opportunities in order of risk...15
Table 4-1 A combination of portfolio return, portfolio standard deviation ...................................................37
Table 4-2 A portfolio risk and return risk capital.................38
Table 4-3 B portfolio risk and return risk capital.................38
Table 4-4 C portfolio risk and return risk capital.................38
Table 4-5 A-B The portfolio risk testing (statistical test)........39
Table 4-6 A-C The portfolio risk testing (statistical test)........39
Table 4-7 B-C The portfolio risk testing (statistical test)........40
Table 4-8 C-B The portfolio risk testing (statistical test)........40

FIGURE CONTEXT

Figure 1: Research objective chart.................................14
Figure 2: Research Flow Chart......................................15
Figure 3: The seven steps towards choosing the best shares for your portfolio..........................................................11
Figure 4: The standard risk model..................................13
Figure 5: The efficient frontier...................................20
Figure 6: The optimal portfolio....................................22
Figure 7: The minimum variance portfolio...........................24
Figure 8: Definition of Value at Risk..............................26
Figure 9: Conceptual Framework.....................................32
Figure 4-1 Investment portfolio optimal weights A..................36
Figure 4-2 Investment portfolio optimal weights B..................36
Figure 4-3 Investment portfolio optimal weights C..................36
Figure 4-4 Integration of the portfolio risk and return of capital risk...............................................................38
REFERENCE
1. Augusto C. Casas., “Tactical Asset Allocation: An Artificial Neural Network BasedModel”, Nova Southeastem Universit, School of Computer and Information Sciences,2001, 1-3.

2. Amir D.Aczel, (2006), Complete Business Statistics, 6th edition, chapter 8, pp. 326-336.

3. Artzner, P. Delbaen, F. Eber, J.M, and Heath, D. “Coherent measures of risk,” Mathematical Finance, 1999(9), 203-228.

4. Bernstein P, Damodaran A. Investment management. New York: Wiley, 1998.

5. Bodie, Kane, Marcus (2008), Investments, 7th edition, part 2, chapter 2, pp. 206-222.

6. Bogle, J.C. 1994, Bogle on Mutual Funds: New Perspectives for the Intelligent Investor. Irwin.

7. Booth, D. and E. Fama. “Diversification and Asset Contributions.” Financial Analysts Journal, Vol. 48, No.3 (1992), pp. 26-32.

8. Brinson G, Hood R, Beebower G. Determinants of portfolio performance. Financial Analysts Journal 1986; 44:39–44.

9. Corrado J.Charles, Bradford D. Jordan, Fundamentals of investments valuation and management, 3th edition, pp. 373.

10. Choueifaty and Coignard Yves (2008), Toward Maximum Diversification, The journal of Portfolio Management, pp. 40-51.

11. Fulga Cristinca, Dedu Silvia (2008), A New Approach in Multi-Objective Portfolio Optimization using Value-at-Risk based Risk Measure. pp.1.

12. Edwin Elton, J. Gruber J. Martin, Stephen J. Brown, William N. Goetzmann. 2007. Modern Portfolio Theory and Investment Analysis. 7th ed. John Wiley & Sons, New York.

13. Elton, E.J. and M.J. Gruber. “Risk Reduction and Portfolio Size: an Analytical Solution.” Journal of Business 50 (1977), 415-437.

14. Evans, J.L. and S.H. Archer. “Diversification and the Reduction of Dispersion: an Empirical Analysis.” Journal of Finance 23 (1968), 761-767.

15. Ebdon, David. Statistics in Geography. Blackwell, 1985.

16. Ibbotson, R.G. Kaplan, P.D. 2000. Does asset allocation policy explain 40, 90, or 100 percent of performance? Financial Analysts Journal 56, 26–33.

17. Jack Schannep, Investment analysis, 2008, John Wiley & Sons, Inc., Hoboken, New Jersey.

18. Leibowitz, Martin L. and Anthony Bova. “Allocation Betas.” Financial Analysis Journal, July /August 200, pp.70-82.

19. Fama, E. and K. French. “Common Risk Factors in the Returns on Stocks and Bonds” Journal of Financial Economics, 33 (February 1993) pp. 3-56.

20. Fama, E. and K. French. “Multifactor Explanations of Asset Pricing Anomalies.” Journal

21. Fisher, L. and J.H. Lorie. “Some Studies of Variability of Returns on Investments in Common Stocks.” Journal of Business 43 (1970), 99-134.

22. Jorion P. Portfolio optimization in practice. Financial Analysts Journal 1992; 48:68–74.

23. Gao Jianwei, and Lufang Liu 2009. “Mean Conditional Value-at-Risk Model for Portfolio Optimization” International Conference on Business Intelligence and Financial Engineering. pp1

24. Fama, E. and K. French. “Multifactor Explanations of Asset Pricing Anomalies.” Journal of Finance, 51 (March 1996), pp 26-32.

25. Kahn P. Three steps to global asset allocation. The Journal of Portfolio Management 1996; 23:23–31.

26. Ken Langdon, Alan Bonham. “Building a Value Portfolio”, Pearson Professional Limited 1997. pp. 35-45, 53-58, 77-84, 89-92.

27. Markowitz, “Portfolio Selection.” Journal of Finance, Vol.7, No.1 (1952), pp.77-91.


28. Mitchell, Andy. The ESRI Guide to GIS Analysis, Volume 2. ESRI Press, 2005.
29. Merton, R.C., 1969. Lifetime portfolio selection under uncertainty: the continuous-time case. Review of Economics and Statistics 51, pp. 247–257.

30. Mongolian Stock Exchange center, 2008, Fact Book 13-20.

31. Mongolian Stock Exchange center-Yearly book, 23-25.

32. Michael R. Walls (2004), Combining decision analysis and portfolio management to improve project selection in the exploration and production firm, 4, 55-65, pp. 56-57 .

33. Olivier Brandouy, Walter Briec b, Kristiaan Kerstens, Ignace Van de Woestyne, Portfolio performance gauging in discrete time using a Luenberger productivity indicator

34. Richard O. Michaud (2008), Efficient Asset Management, pp. 7-11, pp. 16, 23

35. Sharpe, W. “Capital Asset Prices: A Theory of market Equilibrium under Conditions of risk.” Journal of Finance, Vol. 19, No.3 (1964), pp.425-442.

36. Hasuikea Takashi, Katagirib Hideki, Hiroaki Ishii, (2009) Portfolio selection problems with random fuzzy VaRiable returns Fuzzy Sets and Systems 160 (2009) 2579–2596, pp. 1-2.

37. Treynor, J. “Why Market –Valuation –Indifferent indexing works.”Financial Analysis Journal, Vol.61, No 5 (2005), pp.65-69.

38. William N. Goetzmann (1996), Investment theory, YALE School of Management, Chapter1, chapter 2

39. Goodchild, M.F., Spatial Autocorrelation. Catmog 47, Geo Books, 1986
40. Philippe, J., “Value at risk: The New Benchmark for Controlling Market Risk,” Irwin Professional Publishing, Chicago, 1996.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔