政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119158
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51574164      Online Users : 895
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/119158


    Title: 建立基金與ETF最適資產配置：基金績效指標與投資組合理論之應用
    Using Performance and Portfolio Theory to Construct The Optimal Asset Allocation In Mutual Fund and ETF
    Authors: 江宛庭
    Chiang, Wan-Ting
    Contributors: 黃泓智
    Huang, Hong-Chih
    江宛庭
    Chiang, Wan-Ting
    Keywords: 共同基金
    績效指標
    投資組合理論
    MV模型
    ETF
    Date: 2018
    Issue Date: 2018-08-02 16:20:58 (UTC+8)
    Abstract: 本論文第一階段透過 29 項績效指標，設立兩道關卡之因子比例交集法，篩出資產，第二階段排序近一個月累積報酬率，依據投資人之基金規模需求，選出 5、10 或 30 檔基金進入投資組合，最後利用 Harry Markowitz 提出之 MV 模型進行資產配置，根據不同投資標的(基金或 ETF)、不同投資組合更換頻率(一個月、半年或一年)、不同基金規模(5 檔、10 檔或 30 檔)，提供各 10 組資產配置策略，及其績效表現，並且與等權重投資組合進行比較。
    由實證結果可以發現，在相同篩選條件下，即相同因子及相同比例，利用MV 模型配置之投資組合，相較於等權重投資組合都有明顯之績效成長。由此證明了，Harry Markowitz 投資組合理論為有效之模型，能準確配置資產，且達到風險分散與績效提升之效果。
    另外，從基金之實證結果可看出，Martin ratio 為重要之績效指標，而從ETF 之實證結果可看出 CAPM beta 為重要之績效指標。
    Reference: 中文文獻：
    1.邱顯比、林清珮，1999。共同基金分類與基金績效持續性之研究。
    2.王佳真、徐辜元宏，2003。風險值的應用與台灣共同基金績效指標之持續性。
    3.徐清俊、姜志堅，2003。基金績效持續性與基金類型之相關性研究。
    4.傅澤偉、江俊忠，2009。運用風險值於不同類型基金績效與持續性之評估。
    5.劉永欽、陳香如、李翊萱，2012。國內共同基金淨值與未來績效及其持續性之關係。
    6.林明德，2012。以投資績效評估指標探討基金的篩選方式與策略。
    7.賴柏成，2013。以財務報表資訊與 Copula-GARCH 模型建構投資組合－應用在台灣股票市場。
    8.袁淑芳、曾琪雯，2014。國內指數型股票基金的淨值與操作績效、績效持續性之關係分析。
    9.邱宇惠，2016。台灣股票型基金績效評估排名相關性與持續性之研究。
    10.蕭鈞銓，2016。以基本面分析建構最適資產配置流程。
    11.于孟玉，2017。以基本面與投資組合理論建構台灣股票市場最適資產配置。
    英文文獻：
    1.Acar, E. & James, S. (1997). Maximum loss and maximum drawdown in financial market. Proceedings of International Conference on Forecasting Financial Markets, London, UK.
    2.Brown, S. J. & Goetzmann, W. N. (1995). Performance persistence. Journal of finance, 679-698.
    3.Brianton, G. (1998). Portfolio optimization. Risk Management and Financial Derivatives: A Guide to the Mathematics, 1st edition, Palgrave (trade), 4, 39-44.
    4.Carison, R. S. (1970). Aggregate Performance of Mutual Funds. Journal of Financial and Quantitative Analysis, 5, 1-32.
    5.Clark, R. G., and Harindra de S. (1998). State-Dependent Asset Allocation. Journal of Portfolio Management, Winter.
    6.Chekhlov, A., Uryasev, S. & Zabarankin, M. (2005). Drawdown measure in portfolio optimization. International Journal of Theoretical and Applied Finance, 8(1), 13-58.
    7.Dowd, K. (2000). Adjusting for risk: An improved Sharpe ratio. International review of economics & finance, 9(3), 209-222.
    8.Eun C., Kolodny R. and Resnick B. (1991). U.S-based International Mutual Funds: A Performance Evaluation. Journal of Portfolio Management, 88-94.
    9.Eling, M. & Schuhmacher, F. (2007). Does the choice of performance measure influence the evaluation of hedge funds?. Journal of Banking and Finance, 31(9), 2632-2647.
    10.Eling, M. (2008). Does the measure matter in the mutual fund industry?. Financial Analysts Journal, 64(3), 54-66.
    11.Fabozzi, F. J. & Francis, J. C. (1977). Stability tests for alphas and betas over bull and bear market conditions. The Journal of Finance, 32(4), 1093-1099.
    12.Favre, L. & Galeano, J. A. (2002). Mean-modified value-at-risk optimization with hedge funds. The Journal of Alternative Investments, 5(2), 21-25.
    13.Grubel, H. G. (1968). Internationally diversified portfolios: welfare gains and capital flows. The American Economic Review, 58(5), 1299-1314
    14.Grinblatt, M. & Titman, S. (1992). The persistence of mutual fund performance. The Journal of Finance, 47(5), 1977-1984.
    15.Gregoriou, G. N. & Gueyie, J. P. (2003). Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio. The Journal of wealth management, 6(3), 77-83.
    16.Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91.
    17.Jensen, M. J. (1968). The performance of mutual fund in the period 1945-1964. Journal of Finance, 23, 389-416.
    18.Kahneman, D.,Tversky, A.(1979).Prospect theory: An analysis of decision under risk.Econometrica,47,263-291.
    19.Levy, H. and M. Sarnat (1970),“International diversification of investment portfolios,” American Economic Review, 60,4, 668-675.
    20.Li, D., & Ng, W. L. (2000). Optimal dynamic portfolio selection: Multiperiod mean-variance formulation. Mathematical Finance, 10(3), 387-406.
    21.Levy, H. and Lerman, Z. (1988). The Benefits of International Diversification in Bonds. Financial Analysis Journal, Vol. 44(5), 56-64.
    22.Pflug, G. C. (2000). Some remarks on the value-at-risk and the conditional value-at-risk. Probabilistic constrained optimization, 272-281.
    23.Siegel, J. (1991). Does it pay stock investors to forecast the business cycle. Journal of Portfolio Management, Vol. 18, 27-31.
    24.Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39, 119- 138.
    25.Shadwick, W. F. & Keating, C. (2002). A universal performance measure. Journal of Performance Measuremen, 6(3), 59–84.
    26.Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review, 43(1), 63–75.
    27.Zakamouline, V. (2009). The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds.
    Description: 碩士
    國立政治大學
    風險管理與保險學系
    105358009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105358009
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.RMI.006.2018.F08
    Appears in Collections:[Department of Risk Management and Insurance] Theses

    Files in This Item:

    File SizeFormat
    800901.pdf5038KbAdobe PDF219View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback