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研究生:何佳豪
研究生(外文):Chia-Hao Ho
論文名稱:最適動態資產配置模型在投資組合之應用-以台灣五十成分股為例
論文名稱(外文):Application of Optimal Dynamic Allocation Model in Portfolio-Evidence on Taiwan-50 Stock Index
指導教授:李沃牆李沃牆引用關係
指導教授(外文):Wo-Chiang Lee
口試委員:張揖平邱建良李沃牆
口試日期:2011-05-08
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系碩士班
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:2011
畢業學年度:99
語文別:中文
論文頁數:59
中文關鍵詞:動態資產配置投資組合台灣五十指數DCC GARCH
外文關鍵詞:dynamic asset allocationinvestment portfolioTaiwan 50 indexDCC GARCH
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本文應用Markowitz(1952) 的平均數-變異數模型(Mean-Variance Model)來探討最適資產的配適。實證上選取台灣五十指數成分股為投資組合標的,經由動態的移動視窗法,以2008年9月5日至2009年8月28日共51筆週報酬資料做為第一期樣本資料,利用動態的方式對不同的模型去估計投資組合成分股下一期平均數、變異數和共變異數,再藉由平均數-變異數模型,導出下一期所應投入的投資組合最適權重。根據這些權重來預測2009年9月4日至2010年8月27日所應該要配適的最佳投資組合。透過不同的績效指標進行評估,發現利用DCC-GARCH模型去估計參數,相較於傳統平均數-變異數模型以歷史資料評估不但較能正確反映市場走勢,也有較佳的預測能力及投資績效。

This paper use the Mean-Variance Model of Markowitz(1952) to discuss the allocation of the optimal assets. We use the component stocks of Taiwan 50 Index for the underlying of the portfolio. Through the dynamic moving window estimation, we use the weekly return from 2008/9/5 to 2009/8/28 for the first sample data. Estimate the portfolio’s mean, variance and the covariance of the next period of different kinds of model by dynamic method, then using the Mean-Variance Model to derive the optimal weight of the portfolio. We use this weights to forecast the allocation of the optimal assets from 2008/9/4 to 2010/8/27. This paper found that through the estimation of the different performance index, compare to the Mean-Variance Model, DCC-GARCH model is not only more accurate to reflect the market trend but also has better forecast ability and investment performance.

目 錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究架構與流程 5
第二章 理論基礎與相關文獻回顧 6
第一節 資產配置 6
第二節 資產多角化(DIVERSIFICATION) 8
第三節 MARKOWITZ 投資組合理論相關文獻 8
第四節 波動性模型相關文獻 10
第三章 研究方法 13
第一節 MARKOWITZ 投資組合模型 13
第二節 GARCH相關特性與模型 16
第三節 績效評估 25
第四節 研究步驟 29
第四章 實證研究 30
第一節 研究資料與設定 30
第二節 成分股敘述統計分析 34
第三節 模型結果分析 38
第五章 結論與建議 52
第一節 結論 52
第二節 建議 54
參考文獻 55
表目錄
表4.1 台灣五十前二十名權重之股票代碼與權重 30
表4.2 台灣五十二十支成分股敘述統計數據 35
表4.3 三種動態模型投資組合內成分股的出現的次數 40
表4.3.1 DCC-GARCH(1,1) 模型最適權重 41
表4.3.2 CCC-GARCH(1,1) 模型最適權重 43
表4.3.3 HISTORICAL模型最適權重 45
表4.4 投資組合實際報酬敘述統計 48
表4.5 四種模型的績效指標評估表 50
表4.6 不同模型成對T檢定表 51









圖目錄
圖1 效率前緣 13
圖2 資本市場線與效率前緣 14
圖4.1 台灣五十指數和加權指數週收盤價 31
圖4.2.1 台灣五十二十支成分股次數分配圖(1) 36
圖4.2.2 台灣五十二十支成分股次數分配圖(2) 37
圖4.3 預測2009/01/04的最適投資組合 39
圖4.4 不同模型的投資組合實際報酬圖 48


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