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    題名: 運用因子投資與懲罰範數建構投資組合 : 以美國股票市場為例
    Constructing portfolios with factor investment using Norm Penalty Functions: a case study of US stock markets
    作者: 侯至玹
    Hou, Jhih-Syuan
    貢獻者: 顏佑銘
    Yen, Yu-Min
    侯至玹
    Hou, Jhih-Syuan
    關鍵詞: 因子投資
    最小變異數投資組合
    加權懲罰範數
    Factor Investment
    Minimum Variance Portfolio
    Weighted-Norm Penalty
    日期: 2021
    上傳時間: 2022-03-01 16:37:52 (UTC+8)
    摘要: 根據 Singer and Beebower (1991)的研究，資產配置策略對於投資組合的報酬 績效貢獻高達 90%，因此藉由不同之建構投資組合的方法尋找資產的最適權重 分配一直是投資人所關心之重要課題。在過往的資產配置中，股票和債券等資 產一直是多元化投資組合的主要基石，然而自從 2008 年美國次貸危機爆發後， 許多金融資產遭到投資者嚴重的拋售壓力，導致各類資產普遍下跌的現象，金 融資產之間的相關係數上升，學界開始研究是否可以使用因子類比金融資產作 為投資組合的建構，降低投資組合內標的間的相關性。
    本文研究亦從此出發，從權威性金融期刊中挑選出因子，使用懲罰函數結合 平均數-變異數投資組合法，形成加權範數最小變異數投資組合;並運用十個績效指標來衡量加權範數最小變異數投資組合與其他三種標竿投資組合的表現
    According to the research of Singer and Beebower (1991), asset allocation strategy contributes about 90% to the return performance of the investment portfolio. Therefore, finding the optimal weight distribution of assets through different methods of constructing investment portfolios has always been an important issue for investors. In the past asset allocation, stocks and bonds have always been the main points of diversified investment portfolios. However, since the outbreak of the U.S. subprime mortgage crisis in 2008, many financial assets have been under severe selling pressure from investors. With the phenomenon that assets are generally falling, and the correlation between financial assets has risen, researching whether factors can be used as financial assets as the construction of investment portfolios to reduce the correlation between investment portfolio internal assets.
    The essay selected factors from authoritative financial journals, using norm penalty function combined with mean-variance portfolio method to form the Weighted-Norm Minimum Variance Portfolio (WNMVP) portfolio, then using ten performance indicators to measure the performance of Weighted-Norm Minimum Variance Portfolio and the other three benchmark portfolios.
    參考文獻: 1. 李振婷(2015)。最小變異數投資組合在台灣股市之運用。未出版之碩士 論文， 國立政治大學，國際經營與貿易學系，碩士論文。
    2. 吳孟臻(2009)。投資人情緒、動能與公司治理對股價的影響。國立政治 大學，財務管理學系，碩士論文。
    3. 洪茂蔚、林宜勉、劉志諒(2007)。「動能投資策略之獲利性與影響因 素」，中山管理評論，第 15 卷第 3 期，第 515-546 頁。
    4. 劉修銘(2018)。因子投資在資產配置上的應用。國立交通大學，資訊管 理與財務金融學系，碩士論文，第 3-15 頁。
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    12. Chen, A. Y., & Zimmermann, T. (2020). Publication bias and the cross-section of stock returns. The Review of Asset Pricing Studies, 10(2), 249-289.
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    14. Clarke, R. G., de Silva, H., & Murdock, R. (2005). A factor approach to asset allocation. The Journal of Portfolio Management, 32(1), 10-21.
    15. De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.
    16. De Bondt, W. F., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. The Journal of finance, 42(3), 557- 581.
    17. DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?. The review of Financial studies, 22(5), 1915-1953.
    18. Fama, E.F. and K.R. French(1993),Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics 33,3-56.
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    20. Kenneth French data library. Retrieved March 13 2020, from:
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    21. Markowitz, H. (1952) Portfolio Selection, The Journal of Finance, 7, 77–91.
    22. Merton, R. C. (1980). On estimating the expected return on the market: An exploratory investigation. Journal of financial economics, 8(4), 323-361.
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    24. Page, S., & Taborsky, M. A. (2011). Invited Editorial Comment: The Myth of Diversification: Risk Factors versus Asset Classes.
    25. Tobin, J. (1958). Liquidity preference as behavior towards risk. The review of economic studies, 25(2), 65-86.
    26. Windcliff, H., & Boyle, P. P. (2004). The 1/n pension investment puzzle. North American Actuarial Journal, 8(3), 32-45.
    27. Yen, Y. M., & Yen, T. J. (2014). Solving norm constrained portfolio optimization via coordinate-wise descent algorithms. Computational Statistics & Data Analysis, 76, 737-759.
    28. Yen, Y. M. (2015). Sparse weighted-norm minimum variance portfolios. Review of Finance, 20(3), 1259-1287.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    108351040
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0108351040
    資料類型: thesis
    DOI: 10.6814/NCCU202200219
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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