政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/110644

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/110644

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/110644

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题名:	最佳風險分散投資組合在台灣股票市場之應用—以元大台灣卓越50基金為例 Application of most diversified portfolio in Taiwan stock market- Yuanta/P-shares Taiwan Top 50 ETF
作者:	陳慶安 Chen, Ching An
贡献者:	郭維裕 Kuo, Wei Yu 陳慶安 Chen, Ching An
关键词:	最佳風險分散投資組合分散性比率風險基礎指數聰明貝他 Most diversified portfolio Diversification ratio Risk-based indexation Smart Beta
日期:	2017
上传时间:	2017-07-03 14:33:54 (UTC+8)
摘要:	本研究利用元大台灣50 ETF作為樣本資料，檢測2006年至2016年實證期間風險基礎指數和市值加權指數所分別建構的投資組合，其績效表現、風險表現、分散性表現的優劣性；其中Choueifaty, Froidure, and Reynier (2011) 所建構的最佳風險分散投資組合 (most diversified portfolio) 為近年來新起的風險基礎指數投資組合，我們將證實在獲得良好的投資組合分散性同時，如同其他的風險基礎指數投資組合的目標，同時也能獲得超越以追蹤市值加權指數為標的的投資組合績效。本研究以夏普比率、信息比率、阿爾法作為衡量績效的指標；以標準差、貝他作為風險衡量的指摽；另以Choueifaty and Coignard (2008) 提出的分散性比率作為分散性衡量的指標。實證結果顯示，在整體實證期間，最佳風險分散投資組合在績效、風險、分散性的指標上皆有超越市值加權指數投資組合的能力，再以年為單位的個別期間，其績效衡量上大致優於市值加權指數投資組合，風險和分散性衡量上則優於市值加權指數投資組合的表現，但論以其整體表現，並非為本研究所提出的風險基礎指數投資組合中最佳者，因此投資人在選擇該類投資組合策略時，建議從該投資組合過去表現中判斷，選擇符合自己投資習慣者為之。 This article examines the performance, risks and diversification of different types of portfolio strategies such as risk-based indexes and cap-weighted index during 2006- 2016. We introduce the recent most diversified portfolio (MDP), which was proposed by Choueifaty, Froidure, and Reynier (2011) and find the result that like the goal of other risk-based portfolios, which is to improve the risk-return profile of cap-weighted portfolio, MDP surpasses overall performance, risks and diversification compared to cap-weighted portfolio while achieving diversification. We use Sharpe ratio, information ratio and alpha as the performance indicators, use standard deviation, beta as the risk indicators, and adopt diversification ratio (DR), which was proposed by Choueifaty and Coignard (2008), as the diversification indicator in our analysis. The results of this study show that MDP surpasses overall performance, risks and diversification compared to cap-weighted portfolio in the full empirical period. In addition, MDP is generally superior to cap-weighted portfolios in terms of performance in many single years of the whole period, and completely beat cap-weighted portfolios in terms of risks and diversification in every single year of the whole period. Although the ability of exceeding cap-weighted portfolio, MDP do not win first place of mentioned risk-based portfolios in our research. As a result, we suggest investors choose their portfolio strategies refer to its past performance, risks and diversification, and select the best according to their investment preference.
參考文獻:	郭維裕、徐政義. (2016). 淺談股價指數之編制理論與績效評估. 證券服務( 647), 54-65 盧敬植. (2007). 台灣股票市場及個別產業風險貼水之初步研究. Retrieved from http://nccur.lib.nccu.edu.tw/handle/140.119/47752 Arnott, R., Hsu, J., & Moore, P. (2005). Fundamental Indexation. SSRN Electronic Journal, 61(2). Back, K. (2010). Asset Pricing and Portfolio Choice Theory. New York: Oxford University Press. Bodie, Z., Kane, A., & Marcus, A. J. (2011). Investment. New York: McGraw-Hill/Irwin. Cheema, S. (2015). Smart Beta: An introduction to smart beta and its uses. Russell Investment. Choueifaty, Y., & Coignard, Y. (2008). Toward Maximum Diversification. The Journal of Portfolio Management, 35(1), 40-51. Choueifaty, Y., Froidure, T., & Reynier, J. (2011). Properties of the Most Diversified Portfolio. Demey, P., Maillard, S. b., & Roncalli, T. (2010). Risk-Based Indexation. Engels, M. (2014). Portfolio Optimization: Beyond Markowitz. Ferrarese, C., Khan, P., & Buckle, D. (2015). Applying a risk-based smart beta approach to fixed income investing: A theoretical and empirical case for a smart beta approach to investing in fixed income. Haugen, R. A., & Baker, N. L. (1991). The efficient market inefficiency of capitalization-weighted stock portfolios. The Journal of Portfolio Management, 35-40. Holst, T. (2013). Maximizing the Diversification Ratio in the Norwegian stock market: A portfolio approach in the period 2000-2012. University of Agder. Hsu, J. C. (2004). Cap-Weighted Portfolios Are Sub-optimal Portfolios. Lee, W. (2011). Risk-Based Asset Allocation: A New Answer to an Old Question? Lintner, J. (1965a). Security prices, risk, and maximal gains from diversification. The journal of finance, 20(4), 587-615. Lintner, J. (1965b). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The review of economics and statistics, 13-37. Maillard, S., Roncalli, T., & Teïletche, J. (2010). The Properties of Equally Weighted Risk Contribution Portfolios. The Journal of Portfolio Management, 36(4), 60-70. Markowitz, H. (1952). Portfolio Selection. The journal of finance, 7(1), 77-91. Morningstar. (2014). Strategic Beta Guide. Mossin, J. (1966). Equilibrium in a Capital Asset Market. Journal of the econometric society, 768-783. Schoen, R. J. (2013). Parity Strategies and Maximum Diversification. White Paper. Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 425-442. Treynor, J. L. (1962). Toward a Theory of Market Value of Risky Assets. Unpublished manuscript, 6.
描述:	碩士國立政治大學國際經營與貿易學系 104351033
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0104351033
数据类型:	thesis
显示于类别:	[國際經營與貿易學系 ] 學位論文

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