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研究生:陳盈仁
研究生(外文):Ying-Ren Chen
論文名稱:考慮下方風險之投資組合決策
論文名稱(外文):The Portfolio Decision with Downside Risk Consideration
指導教授:羅志賢羅志賢引用關係
指導教授(外文):Chih-Hsien Lo
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融資訊研究所
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:101
畢業學年度:100
語文別:中文
論文頁數:40
中文關鍵詞:風險衡量指標最小風險投資組合風險值績效評估
外文關鍵詞:Risk measurementMinimum Risk PortfolioPerformance Evaluation
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本論文旨在考量不同風險模型下最小風險投資組合的投資績效,所考量的風險模型包括變異數、左偏動差、雙方協調性、混合左偏動差與雙方協調性的新模型等四種。將四種模型運用到MSCI亞太指數的12個成分國家指數上,並以夏普指標、資訊比率、風險值、期望損失等來評估投資績效與風險。實證結果發現,除了變異數以外,其餘風險模型下參數設定均對投資績效有重大影響;在四個風險模型當中,又以混合左偏動差與雙方協調性的新模型表現最佳。
This thesis considers the performance of minimum risk portfolios under alternative risk models. The risk models considered are variance, lower partial moment, two-sided coherent, and a new model which combines lower partial moment and two-sided coherent. These models are then applied to 12 component indices of MSCI Asia Index, and the portfolio performances and risks are evaluated by Sharpe ratio, Information ratio, Value at risk and expected shortfall. The empirical findings are as follows. The parameter settings of all risk models, except variance, significantly influence the portfolio performances. The performance of the new risk model which combines lower partial moment and two-sided coherent is the best.
摘要 i
Abstract ii
目錄 iii
圖目錄 iv
表目錄 v
第一章 緒論 1
第二章 文獻回顧 4
第一節 投資組合 4
第二節 風險模型於投資組合之應用 4
第三章 研究方法 7
第一節 研究架構 7
一、選擇投資標的 8
二、最佳化資金配置 9
三、績效評比 9
第二節 研究模型 10
一、風險衡量模型 10
二、目標函數 13
三、績效衡量指標 14
第三節 研究方法 17
一、移動視窗 17
二、參數設定 18
三、實驗假設 19
四、實驗設計 19
第四章 實證結果與分析 21
第一節 資料來源 21
第二節 實證結果與分析 23
第五章 結論與建議 30
參考文獻 32
[1]蔡弦翃,2011,運用不同風險衡量模型建構投資組合,國立高雄應用科技大學金融資訊研究所碩士論文。
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[3]Bawa, V. S. and Lindenberg, E. B., 1977. Capital market equilibrium in a mean-lower partial moment framework. Journal of Financial Economics, 5(2), Pages 189-200.
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[13]Lai, T. Y., 1991. “Portfolio Selection with Skewness: A Multiple-Objective Approach”, Review of Quantitative Finance and Accounting, (1:3), pp.293-305.
[14]Lee, C. L., 2006. Downside Risk Analysis in Australian Commercial Property, Australian Property Journal, 39(1), Pages 16-20.
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[20]Sharpe, W. F., 1963. A Simplified Model for Portfolio Analysis. Management science, 9(2), Pages 277-293.
[21]Tee, K. H., 2009. The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds. International Review of Financial Analysis, 18(5), Pages 303-310.
[22]Treynor, J. L. and Black, F., 1973. How to Use Security Analysis to Improve Portfolio Selection. Journal of Business, 46, January, Pages 66-88.
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[24]Venugopal, M. S., Subramanian, S. and Rao, 2004. Usefulness of Genetic Algoritm Mordel for Dynamic Portfolio Selection. Journal of Financial Management and Analysis, 17(1), Pages 45-5.
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