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| Title: | 波動擇時策略投資組合於台灣市場之因子投資組合之應用
Volatility Timing Strategies in Risk Factors of Taiwan Stock Market |
| Authors: | 郭亭儀
Kuo, Ting-Yi |
| Contributors: | 郭維裕
Kuo, Wei-Yu
郭亭儀
Kuo, Ting-Yi |
| Keywords: | 波動
因子
擇時策略
槓桿
Volatility
Factor
Timing Strategy
Leverage |
| Date: | 2020 |
| Issue Date: | 2020-07-01 13:31:51 (UTC+8) |
| Abstract: | 全球化之盛行使各國市場連動性增強，而金融危機之發生使資產的報酬分配異常，促使投資人更謹慎管理投資組合之風險，而本研究將Liu, Tang and Zhou (2019)收錄的四個波動擇時策略，應用於台灣市場的七個因子風險溢酬之投資組合，發現考量條件資訊下之策略整體表現最好，而多數策略出現槓桿使用過大的問題，但使用槓桿限制後卻會對績效有負面影響；此外，針對極端經濟情況下，以虛擬變數觀察經濟衰退對於策略權重調整的影響，並以Garch(1,1)模擬資產報酬率，避免其波動率過大等分布異常問題。
The prosperity of globalization has strengthened the market linkages of various countries, and the occurrence of the financial crisis has caused the abnormal distribution of asset returns, prompting investors to manage the risk of investment portfolios more carefully.
This study implement the four volatility timing strategies of Liu, Tang and Zhou (2019) in seven factor portfolios of the Taiwan market. It’s found that the overall performance of the strategy under the conditional information is the best, and most strategies have the problem of excessive use of leverage, but the use of leverage limits has a negative impact on performance.
In addition, for extreme economic conditions, observe the impact of economic recession on the adjustment of optimal weight of risky asset by using dummy variables. Then, use Garch(1,1) to simulate the assets return to avoid abnormal distribution problems such as excessive volatility. |
| Reference: | Barroso, P., and P. Santa-Clara. (2015) “Momentum Has Its Moments.” Journal of Financial Economics, 116 (1): 111–120.
Basak, Gopal K. and Ma, Tongshu and Jagannathan, Ravi. (2004) “ A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs“. NBER Working Paper, No. w10447.
Ferson, W. E., and A. F. Siegel. (2001) “The Efficient Use of Conditioning Information in Portfolios.” Journal of Finance, 56 (3): 967–982.
Han, Y., D. Huang, and G. Zhou. (2019) “Anomalies Enhanced: A Portfolio Re-Balancing Approach.” SSRN working paper.
Hocquard, A., S. Ng, and N. Papageorgiou. (2013) “A Constant-Volatility Framework for Managing Tail Risk.” The Journal of Portfolio Management, Vol. 39, No. 2 , pp. 28-40.
Kan, R., and G. Zhou. (2007) “Optimal Portfolio Choice with Parameter Uncertainty.” Journal of Financial and Quantitative Analysis, 42 (3): 621–656.
F. Liu, X. Tang, G. Zhou. (2019) “Volatility-Managed Portfolio: Does It Really Work?”, The Journal of Portfolio Management, Vol. 46, (1) 38-51
Moreira, A., and T. Muir. (2017) “Volatility-Managed Portfolios.” Journal of Finance, 72 (4): 1611–1644. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
107351019 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107351019 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000654 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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