(44.192.66.171) 您好!臺灣時間:2021/05/18 22:23
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:劉宇恩
研究生(外文):Liu, Yu An
論文名稱:最小化特定風險函數的動能策略
論文名稱(外文):A Momentum Strategy with Minimizing Certain Risk Function
指導教授:劉明郎劉明郎引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:應用數學研究所
學門:數學及統計學門
學類:數學學類
論文種類:學術論文
畢業學年度:102
語文別:中文
論文頁數:48
中文關鍵詞:動能策略資產配置模型平均絕對偏差下方偏差動差大中取小選股準則VaRCVaR
外文關鍵詞:momentum strategiesasset allocation modelmean-absolute deviationlower partial momentsminimax portfolio selection ruleVaRCVaR
相關次數:
  • 被引用被引用:0
  • 點閱點閱:91
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
動能策略的投資選擇方法曾被證實具有超額的報酬,其獲利原因有許多種說法。本論文首先探討動能策略在台灣股票市場是否同樣具有超額報酬,分析此策略在不同形成期與持有期是否能帶來超額利潤。因為動能策略為一個未考慮投資風險且採用均等權重的投資組合,所以我們進一步使用四種不同的資產配置模型對動能策略所選定的股票,在限制各別股票投資權重上限且限制股票種類數下,重新尋求風險最小的投資組合。這些模型考慮四個風險函數:平均絕對偏差、下方偏差動差、觀測期間的最大損失以及最小報酬,使得新建構的投資組合兼具動能效應且考慮投資風險。本論文以台灣股票市場2008至2012這五年的歷史資料做實證分析,結果顯示台灣股票市場具有動能效應,以及數學規劃模型能有效改良動能策略並降低VaR與CVaR風險值。
Momentum strategy has been proved existing excess return. However, there are many interpretations for the profitability of momentum strategies. This paper discusses whether momentum strategies in Taiwan stock market can earn excess returns and analyzes the strategy in different formation period and holding period. Since momentum strategies did not consider the investment risk and were equal weights portfolio, we use four different asset allocation models for the stocks has been selected by momentum strategy to construct a new portfolio that minimize the given risk function and limit the number of stocks. These models consider four risk functions: mean-absolute deviation, lower partial moments, and the maximum loss and minimum return in observation period, the resulting portfolio will have momentum effect as well as minimize the risk. The empirical study is performed by using the Taiwan market data from 2008 to 2012. The empirical results show that the Taiwan market has the momentum effect. The portfolio constructed by proposed models can improve the performance of momentum strategies and reduce the risk in terms of VaR and CVaR.
摘要........................vi
Abstract........................vii
目錄........................viii
表目錄........................ix
圖目錄........................x

第一章 緒論........................1
1.1 前言 ........................1
1.2 研究目的與架構............3

第二章 文獻回顧.....................4
2.1 動能策略........................4
2.2 資產配置........................8

第三章 動能策略於台灣股票市場............10
3.1 建構價格動能策略............10
3.2 計算策略於持有期之績效............13
3.3 動能測略於台灣股票市場的實證表現............14

第四章 動能策略最佳化........................18
4.1 數學規劃模型探討........................18
4.2 模型參數的設定與改良............30
4.3 實證結果........................31

第五章 結論與建議............44

參考文獻........................46

Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, Momentum strategies, Journal of Finance 51 (5), 1681-1713 (1996).

Cooper, M. J., R. C. Gutierrez, and A. Hameed, Market states and momentum, Journal of Finance 59 (3), 1345-1365 (2004).

Daniel, K., D. Hirshleifer, and A. Subrahmanyam, Investor psychology and security market under- and overreactions, Journal of Finance 53 (6), 1839-1886 (1988).

Fama, E., Efficient capital market: A review of theory and empirical work, Journal of Finance 25 (2), 383-417 (1970).

Feinstein, C. D., and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39 (12), 1552-1553 (1993).

George, T. J., and C. Y. Hwang, The 52-week high and momentum investing, Journal of Finance 59 (5), 2145-2176 (2004).

Harlow, W. V., Asset allocation in a downside-risk framework, Finance Analysts Journal 47 (5), 28-40 (1991).

Hong, H., T. Lim, and J. C. Stein, Bad news travels slowly size, analyst coverage,and the profitability of momentum strategies, Journal of Finance 55 (1), 265-295 (2000).

Jegadeesh, N., and S. Titman, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48 (1), 65-91 (1993).

Jegadeesh, N., and S. Titman, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56 (2), 699-720 (2001).
Jorion, P., Value-at-Risk: the new benchmark for controlling market risk, McGraw-Hill, New York (2000)

Konno, H., and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37 (5), 519-531 (1991).

Lee C. M. C., and B. Swaminathan, Price momentum and trading volume, The Journal of Finance 55 (5), 2017-2069 (2000).

Markowitz, H., Portfolio selection, Journal of Finance 7 (1), 77-91 (1952).

Markowitz, H., Portfolio selection: Efficient diversification of investmenst, John Wiley &; Sons, New York (1959).

Moskowitz, T. J., and M. Grinblatt, Do industries explain momentum? Journal of Finance 54 (4), 1249-1290 (1999).

Rockafellar, R. T., and S. Uryasev, Optimization of conditional Value-at-Risk, The Journal of Risk 2, 21-41 (2000).

Speranza, M. G., Linear programming models for portfolio optimization, Finance 14 (1), 107-123 (1993).

Uryasev, S., Conditional Value-at-Risk: optimization algorithms and applications, Financial Engineering News 14, 1-5 (2000).

Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44 (5), 673-683 (1998).

周泰成,以不同條件風險值及高階動差重新檢視臺灣股市之動能策略,國立臺北大學企業管理學系碩士論文(民98)。

楊子德,52週高價動能策略、價格動能策略、產業動能策略於台灣股票市場的獲利性比較與分析,國立政治大學財務管理學系碩士論文(民97)。

楊芯純,大中取小法建立最佳投資組合,國立政治大學應用數學系碩士論文(民92)。

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
無相關期刊