臺灣博碩士論文加值系統

本研究以台灣50成分股為標的，分析投資組合持股調整方式與績效之關係。除了將各檔成分股以等權重的方式配置外，另用AR、GARCH及指數平滑模型分別預測下一期的報酬率、標準差與相關係數，並進一步將各模型所預測出來的數據，分別配合歷史資料所求出之統計量，經由固定視窗滾動法，透過設定夏普比率最大及風險最小的方式規劃求解出最佳投資組合；同時設定多組重新調整投資組合的時機點，分別敘述如下：
(1)以時間為周期，在每週、每月、每季、每年為設置組合調整時點進場持有，於上敘指定時間重新調整投資組合的持股分配。
(2)設定風險出場時點，當研究期間內投資組合風險波動高至某一程度(5%、10%、15%)，便重新調整投資組合的持股分配。
(3)訂立虧損程度的出場時點，當研究期間內整體投資組合價值低於容忍門檻(-5%、-10%、-15%)，便重新調整投資組合的持股分配。
本文所採用的資料為2001年1月至2010年12月各檔成分股的開盤與收盤價。實證結果顯示相較於同類型基金與大盤績效表現，在考慮交易成本後，藉由AR模型所擬定的投資組合並以每一季調整一次的方式所建構的投資組合有較佳的績效。

In this study, we use the data of the Taiwan 50 Constituents to discuss the relationship between the rebalance of portfolios and their performances. We use the equally weighted portfolios as well as the portfolios. Through the fixed window estimation, which returns, variances and/or correlations are predicted by the AR, GARCH and Exponential Smoothing models, respectively. The optimal portfolios would be built by solving the maximum problESM of the Sharpe ratio and minimum portfolios risk. We also set sveral combinations of rebalancing point of the portfolio, described as follows:
(1)Rebalancing at regular intervals of time, in weekly, monthly, quarterly, and annualy.
(2)Balancing based on waiting until the risk of portfolio grows to some threshold that triggers action. (5%、10%、15%)
(3)Balancing based on waiting until the values of portfolio reduce to some threshold that triggers action. (-5%、-10%、-15%)
The data used in this study are the daily data of the Taiwan 50 Constituents and spans from January 2001 to December 2010. Our result shows that under consideration of transaction cost, the portfolio, which is constructed by the AR model and quarterly rebalanced, has the best performance. Furthermore, it also outperforms the same type of stock index funds and the market.

目錄
中文摘要............................................................i
英文摘要............................................................iii
誌謝................................................................v
目錄................................................................vi
表目錄..............................................................viii
圖目錄..............................................................ix
第一章 緒論.........................................................1
1.1 研究動機與目的..................................................1
1.2 研究設計........................................................5
1.3 研究流程........................................................7
1.4 研究架構........................................................9
第二章 文獻探討.....................................................10
2.1 台灣50指數......................................................10
2.2 濾嘴法則........................................................11
2.3 效率前緣與夏普比率..............................................13
2.4 AR模型..........................................................17
2.5 GARCH模型.......................................................18
2.6 指數平華模型....................................................21
第三章 研究方法.....................................................22
3.1 資料來源........................................................22
3.1.1 研究期間......................................................23
3.2 持股調整方式....................................................25
3.3 濾嘴法則下投資組合風險與價值波動門檻設置........................29
3.4 研究設計與模型..................................................31
3.4.1 夏普比率......................................................31
3.4.2 共變異數矩陣..................................................32
3.4.3 規劃求解......................................................37
3.5 報酬率計算......................................................37
第四章 實證分析.....................................................41
4.1 不同投資組合資產配置績效........................................41
4.1.1 以時間為基礎重新調整投資組合的方式............................41
4.1.2 以濾嘴法則為基礎重新調整投資組合的方式........................42
4.2 考量風險後不同投資組合資產配置績效..............................44
4.2.1 考量風險後以時間為基礎重新調整投資組合的方式..................44
4.2.2 考量風險後以濾嘴法則為基礎重新調整投資組合的方式..............46
4.3 同類型基金與大盤之績效..........................................51
4.4 統計檢定........................................................52
第五章 結論與建議...................................................54
5.1 結論............................................................54
5.2 建議............................................................55
參考文獻............................................................56

表目錄
表3.5.1 舉例說明報酬率計算方式......................................39
表4.1.1.1 投資組合在各種調整頻率下的幾何平均年化報酬率..............42
表4.1.2.1 投資組合在各種調整機制下的幾何平均年化報酬率..............43
表4.2.1.1 投資組合在各種調整頻率下的年化標準差......................45
表4.2.1.2 投資組合在調整後的報酬率..................................45
表4.2.2.1投資組合在各種調整機制下的年化標準差.......................47
表4.2.2.2 投資組合在調整後的報酬率..................................47
表4.2.2.3 彙整120種投資組合在調整風險後的報酬率.....................49
表4.3.1 同類型基金與大盤之績效表現..................................51
表4.4.1 投資組合績效1至5名與同類型基金及加權股價指數之檢定..........52

圖目錄
圖1.3.1 研究流程圖..................................................8
圖2.3.1 投資組合效率前緣............................................14
圖2.3.2 夏普比率最大化下最適的投資組合配置..........................17
圖3.1.1 台灣50指數相關資訊與本研究樣本取樣的時間軸..................23
圖3.2.1 成分股權重進行調整的方式與時間..............................27
圖3.2.2 不等權重方式的成分股配置....................................28
圖3.3.1 風險控制....................................................29
圖3.3.2 投資組合價值波動設置........................................30
圖3.5.1當期投資組合報酬率計算方式...................................38

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