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研究生:張文慈
研究生(外文):Wen Tzu Chang
論文名稱:投資組合最佳化研究-以國內基金為例
論文名稱(外文):A study of portfolio optimization with Taiwan funds
指導教授:蔡榮發蔡榮發引用關係
口試委員:蔡榮發高淩菁邱志洲余強生
口試日期:2016-05-16
學位類別:碩士
校院名稱:國立臺北科技大學
系所名稱:經營管理系碩士班
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:104
語文別:中文
中文關鍵詞:投資組合、峰態、偏態、基金
外文關鍵詞:Portfolio selection;Skewness;Kurtosis; Funds
相關次數:
  • 被引用被引用:3
  • 點閱點閱:337
  • 評分評分:
  • 下載下載:102
  • 收藏至我的研究室書目清單書目收藏:0
本研究探討基金的投資組合最佳化問題,過去投資組合問題之研究主要以Markowitz所提出的平均值-變異數模型為主並加以改良,本研究試圖加入偏態與峰態到此模型中探討基金投資組合問題,並考慮模型之變數為離散變數,建構一非凸之非線性整數規劃模型以求解此問題,所建構之模型目前並無有效的方法可以求得全域最佳解,故本研究運用新的線性化技術將非線性整數規劃模式轉換成一混合整數線性規劃模式以求得原問題之全域最佳解。本研究也採用實際的基金資料來驗證所提出模式與方法之可行性與有效性。
摘 要 i
ABSTRACT ii
誌謝 iii
目 錄 iv
表目錄 vi
圖目錄 vii
第一章 緒論 1
1.1研究動機與背景 1
1.2研究目的 9
1.3研究架構 11
第二章 文獻探討 13
2.1 Markowitz投資組合理論 13
2.2基金績效評估 16
2.3 確定性方法 17
第三章 研究方法 19
3.1原始模型介紹 19
3.2介紹偏態及峰態 20
3.3探討報酬、風險、偏態、峰態之間的關係 21
3.4多項式線性轉換 24
3.4.1離散變數轉換 24
3.4.2乘積項轉換 25
3.5模型建構 28
第四章 實證研究 35
4.1數據分析 35
4.2線性化結果 37
第五章 結論與建議 45
5.1結論 45
5.2後續研究建議 45
參考文獻 47
英文部分
[1]Arditti,F.D (1967). “Risk and Required Return on Equity,” Journal of Finance, 19-36.
[2]Arditti, F.D(1971). “Another Look at Mutual Fund Performance,” Journal of Financial and Quantitative Analysis, 6, 909-912.
[3]Arditti,F.D and Levy, H (1975). “Portfolio Efficiency Analysis in Three Moments: The Multiperiod Case,” Journal of Finance, 30 ,797-809.
[4]Arrow, K. J. (1971), “Essays in the Theory of Risk-Bearing,” Chicago: Markham Publishing Co.
[5]Badrinath,S.G and S. Chatterjee (1988). “On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index,” Journal of Business 61, 451-472.
[6]Biegler, L. T., & Grossmann, I. E. (2004). Retrospective on optimization. Computers &Chemical Engineering, 28, 1169–1192.
[7]Biglova, A., Ortobelli, S., Rachev, S.T. and Stoyanov, S.(2010), A note on the impact of nonlinear reward and risk measures. J. Appl. Funct. Anal., 5(2), 194–202 Business, 63, 399-426.
[8]Bilson, C., A. Frino and R.A. Heaney, (2005), Australian Retail Superannuation Fund Performance Persistence. Accounting and Finance 45, 1, 25-42.
[9]Boyle, Phelim (2012) Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification, Management science 58,253 – 272
[10]Elton, Edwin J.; Gruber, Martin J.; and Blake, Christopher R. (1996). The persistence of risk adjusted mutual fund performance. Journal of Business 69 , 133-157.
[11]Fielitz, B. (1974). “Indirect Versus Direct Diversification,” Financial Management, 3, 54-62.
[12]González-Pedraz, Carlos, Manuel Moreno, and Juan Ignacio Pena (2015), Portfolio selection with commodities under conditional copulas and skew preferences. Quantitative finance,15(1),151-170
[13]Goetzmann, William N. and Roger G. Ibbotson. “Do Winners Repeat?” The Journal of Portfolio Management, Winter 1994, pages 9-18.
[14]Jan, Y. C., Hung, M. W., 2003, Mutual Fund Attributes and Performance, Financial Services Review, 12(2), 165-178.
[15]Jean ,W.H (1971). “The Extension of portfolio Analysis to Three or More Parameters,” Journal of Financial and Quantitative Analysis, 6, 505-515.
[16]Jobson, J. D., and Korkie, B. (1980), “Estimation of Markowitz efficient portfolios,” Journal of the American Statistical Association 75, 544–554.
[17]Jobson, J. D., Korkie, B., and Ratti, V. (1979), “Improved estimation for Markowitz portfolios using James-Stein type estimators,” Proceedings of the American Statistical Association, Business and Economic Statistics Section, 279–284.
[18]Junkus, J.(1991) “Systematic Skewness in Futures Contracts,” Journal of Futures Markets 2, 9-23
[19]Keynes, J. M. (1921). A Treatise on Probability, 1st ed. MacMillan, London.
[20]Kraus, F. and Litzenberger R.H (1976). Skewness Preference and the Valuation of Risk Assets. Journal of Finance, 31, 1085-1100.
[21]Levy, H. (1969). “A Utility Function Depending on the First Three Moments,” Journal of Finance , 715-721.
[22]Li, H. L., & Lu, H. C. (2009). Global optimization for generalized geometric programs with mixed free-sign variables. Operations Research, 57(3), 701–713.
[23]Markowitz, H., (1952b), “Th e Utility of Wealth,” Journal of Political Economy 152–158
[24]Payne, T. H., Prather, L., Bertin, W., (1999), Value Creation and Determinants of Equity Fund Performance, Journal of Business Research, 45(1) , 69-74.
[25]Ryoo, H. S. & Sahinidis, N. V. (1995). Global optimization of nonconvex NLPs and MINLPs with applications in process design, Computers and Chemical Engineering, 19 (5), 551-566.
[26]Samuelson, P.A.(1970), The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments. Review of Economic Studies, 37(4), 537–542.
[27]Schwert ,G.W. (1990) “Indexes of U.S. Stock Prices from 1802-1897,” Journal of
[28]Sortino, F. A., and Forsey, H. J. (1996), “On the Use and Misuse of Downside Risk,” Journal of Portfolio Management, 22, 35–42.
[29]Sortino, F. A., and Price, L. N. (1994), “Performance Measurement in a Downside Risk Framework,”Journal of Investing, Vol. 3, No. 3, 50–58.
[30]Tsai, J. F., & Lin, M. H. (2008). Global optimization of signomial mixed-integer nonlinear programming problems with free variables. Journal of Global Optimization,42(1), 39–49.
[31]Tsai, Jung-Fa & Lin, M. H. (2013) “An improved framework for solving NLIPs with signomial terms in the objective or constraints to global optimality”, Computers & chemical engineering, 53, 44-54
[32]Vielma, J. P., & Nemhauser, G. L. (2011). Modeling disjunctive constraints with a logarithmic number of binary variables and constraints. Mathematical Programming, 128, 49–72.
[33]Wang, S., Xia, Y. (2002) Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs. Portfolio Selection and Asset Pricing, Lecture Notes in Economics and Mathematical Systems 514, 129-144.
[34]Weingartner, H. M. (1966). Criteria for programming investment project selection, Journal of Industrial Economics, 15 (1), 65-76.
書本部分
[1]Keynes, J. M. (1921). A Treatise on Probability, 1st ed. MacMillan, London.
[2]Keynes, J. M. (1983). Keynes as an investor. E. Johnson, D. Moggridge, eds. The Collected Writings of John Maynard Keynes. Volume XII. Economic Articles and Correspondence; Investment and Editorial, Chap. I. Cambridge University Press, New York.
中文部分
[1]許晉雄、鄒慶士、葉柏緯(2010)、「不同風險衡量下效率投資組合之比較分析」、東吳經濟商學學報、第70期、頁29-56。
[2]張志福(2011), 「求解投資組合問題之全域最佳化方法」。台北科技大學經營管理系碩士班碩士論文,1-7。

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