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政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/135936

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135936

Title:	資產配置策略研究—以新興市場為例 Asset Allocation Strategies Analysis — Evidence from 26 countries in the emerging markets
Authors:	王靖怡 Wang, Jing-Yi
Contributors:	林靖庭王靖怡 Wang, Jing-Yi
Keywords:	風險平價資產配置投資組合策略風險基礎投資組合最大風險分散投資組合等量風險貢獻度投資組合 Risk Parity Asset Allocation Portfolio Strategies Variance Models Risk-based Strategies Most Diversified Portfolios Equally Weighted Risk Contribution Portfolios
Date:	2021
Issue Date:	2021-07-01 17:49:34 (UTC+8)
Abstract:	新興市場提供投資人一個具有潛力的投資機會，但是其自身的因素卻嚴重地影響投資新興市場的投資報酬，如其政治因素、經濟條件、產業發展、政策導向等，都會深深地影響當地股市表現，因此，本研究針對新興市場的資產配置方法進行探討，目的是尋找出適合應用在新興市場的資產配置策略。樣本分為三組資料，分別為主要新興國家的股價指數、資訊科技產業、金融產業，運用14種的資產配置方法來建構投資組合，計算投資組合的超額報酬與夏普比率來衡量績效，並且以1/N方法作為基準，透過個別檢定來判斷投資組合策略的績效優劣。結果指出，僅有利用變異數建構投資組合的模型( Variance Models )表現優於基準策略( the 1/N rule )，此類型的模型包含最大風險分散投資組合( The Most Diversified portfolio )、等量風險貢獻度投資組合( Equally Weighted Risk Contribution Portfolio )等。顯示出在面對波動相對較大的新興國家股市，應採用控制風險的模型，以達到投資組合最佳的效果。 Emerging markets have provided a great investment opportunity for investors in recent years, but their own factors seriously affect the performance of investing in their capital markets. Therefore, this study discusses the asset allocation strategies in emerging markets and aims to find out the most appropriate strategy for investors. The data includes three groups, namely the stock indexes in emerging countries, the information technology industry, and the financial industry, and 14 asset allocation methods are used to construct investment portfolios. Alpha of the investment portfolios and Sharpe ratio are calculated to measure performance. Then, we perceive the 1/N rule as a benchmark strategy to compare the effectiveness of the portfolio strategies through individual tests. The results point out that variance models outperform the benchmark strategy (the 1/N rule). Variance models include the most diversified portfolio and equally weighted risk contribution portfolio, etc. It shows that in the face of relatively volatile stock markets, a risk-based model should be adopted to manage the stocks in emerging markets.
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Description:	碩士國立政治大學金融學系 108352002
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0108352002
Data Type:	thesis
DOI:	10.6814/NCCU202100559
Appears in Collections:	[金融學系] 學位論文

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