政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135936

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135936

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113451/144438 (79%)
造訪人次 : 51244452 線上人數 : 925

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜尋範圍

查詢小技巧：

您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果

若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料

進階搜尋

主頁 ‧ 登入 ‧ 上傳 ‧ 說明 ‧ 關於政大典藏 ‧ 管理

到手機版

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

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/135936

題名:	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
作者:	王靖怡 Wang, Jing-Yi
貢獻者:	林靖庭王靖怡 Wang, Jing-Yi
關鍵詞:	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
日期:	2021
上傳時間:	2021-07-01 17:49:34 (UTC+8)
摘要:	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.
參考文獻:	Best, M.J., Grauer, R.R., 1991. On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results. The Review of Financial Studies, 4, 315–342. Carhart, M., 1997. On persistence in mutual fund performance. The Journal of Finance, 52, 57–82. Choueifaty, Y., Coignard, Y., 2008. Toward maximum diversification. The Journal of Portfolio Management, 35 (1), 40–51. Clarke R.G., de Silva H. and Thorley S., 2013. Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective. The Journal of Portfolio Management, 39, 39–53. DeMiguel, V., Garlappi, L., Nogales, F.J., Uppal, R., 2009a. A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Management Science, 55 (5), 798–812. DeMiguel, V., Garlappi, L., Uppal, R., 2009b. Optimal versus naive diversification: How inefficient is the portfolio strategy. The Review of Financial Studies, 12, 937–974. DeMiguel, V., Nogales, F.J., Uppal, R., 2014. Stock return serial dependence and out- -of-sample portfolio performance. The Review of Financial Studies, 27, 1031–1073. Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stock and bonds. Journal of Financial Economics, 33, 3–56. Foster, Dean P., and Dan B. Nelson, 1996. Continuous record asymptotics for rolling sample variance estimators. Econometrica, 64, 139–174. James, W., Stein, C., 1961. Estimation with quadratic loss. In: Proceedings of the 4th Berkeley Symposium on Probability and Statistics, 1, 361–379. Jobson, J.D., Korkie, B., 1980. Estimation for Markowitz efficient portfolios. The Journal of the American Statistical Association, 75, 544–554. Jobson, J.D., Korkie, B., 1981. Putting Markowitz theory to work. The Journal of Portfolio Management, 8, 70–74. Jorion, P., 1985. International portfolio diversification with estimation risk. The Journal of Business58, 259–278. Jorion, P., 1986. Bayes-Stein estimation for portfolio analysis. Journal of Financial and Quantitative Analysis, 21, 279–292. Fleming, J, Kirby, C., Ostdiek, B., 2001a. The economic value of volatility timing. The Journal of Finance, 56, 329–352. Fleming, J, Kirby, C., Ostdiek, B., 2001b. The economic value of volatility timing using “realized” volatility. Journal of Financial Economics, 67, 473–509. Hansen, P.R., 2005. A test for superior predictive ability. Journal of Business and Economic Statistics, 23, 365–380. Hsu, P.H., Kuan, C.M, 2005. Reexamining the profitability of technical analysis with data snooping checks. Journal of Financial Econometrics, 3, 606–628. Markowitz, H.M., 1952. Portfolio selection. The Journal of Finance, 7, 77–91. Michaud, R.O., 1989. The Markowitz optimization enigma: Is the optimized optimal? Financial Analysts Journal, 45, 31–42. MacKinlay, A.C., Pastor, L., 2000. Asset pricing models: Implications for expected returns and portfolio selection. The Review of Financial Studies, 13, 883-916. Maillard, S., Roncalli, T., Teiletche, J., 2010. On the properties of equally-weighted risk contributions portfolios. The Journal of Portfolio Management, 36 (4), 60–70. Hsu, P.-H., Han, Q., Wu, W., Cao, Z., 2018, Asset allocation strategies, data snooping, and the 1 / N rule. Journal of Banking and Finance, 97, 257–269 Politis, D.N., Romano, J.P., 1994. The stationary bootstrap. Journal of the American Statistical Association, 89, 1303–1313. Roberto Violi and Enrico Camerini, 2016. Emerging Market Portfolio Strategies, Investment Performance, Transaction Cost and Liquidity Risk. Bank of Italy Occasional Paper. Stein, C., 1955. Inadmissibility of the usual estimator for the mean of a multivariate normal distribution. In: 3rd Berkeley Symposium on Probability and Statistics, 1, 197–206. Kirby, C., Ostdiek, B., 2012. It’s all in the timing: simple active portfolio strategies that outperform naive diversification. Journal of Financial and Quantitative Analysis, 47 (2), 437–467. Qian, E., 2006. On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up. Journal of Investment Management, Vol. 4, No. 4, 41–51. Wei, L., James, W.K., Huang, J.H., 2012. A new asset pricing model based on the zero-beta: Theory and evidence. SSRN No. 2022351.
描述:	碩士國立政治大學金融學系 108352002
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0108352002
資料類型:	thesis
DOI:	10.6814/NCCU202100559
顯示於類別:	[金融學系] 學位論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
200201.pdf		1074Kb	Adobe PDF2	0	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

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 © - 回饋