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题名:	ETF投資組合之多元資產配置與權重最適化探討 A Study on Multi-Asset Allocation and Weight Optimization of ETF Portfolios
作者:	簡溢伶 Chien, Yi-Ling
贡献者:	羅秉政 Kendro Vincent 簡溢伶 Chien, Yi-Ling
关键词:	資產配置權重最適化現代投資理論橋水基金全天候投資組合最大化夏普比率最小化變異數風險平價再平衡 Asset allocation Weight optimization Modern Portfolio Theory Bridgewater Associates All-Weather Portfolio Maximize Sharpe Ratio Minimize Variance Risk Parity rebalancing
日期:	2024
上传时间:	2025-02-04 15:40:27 (UTC+8)
摘要:	本研究探討ETF投資組合之多元資產配置與權重最適化，並對跨資產、跨產業及跨資產與產業結合的三種類型投資組合進行深入分析。研究透過實證數據，以2018年至2024年間ETF月平均報酬為樣本資料，評估這些投資組合在均等權重、權重優化（包括最大化夏普比率、最小化變異數及風險平價方法下）以及在不同再平衡頻率下之績效表現。　　結果顯示，多元資產配置能有效降低投資風險，特別是在市場波動性較高的情境中，跨資產及產業的組合展現出更佳的防禦性與穩定性。同時，本研究發現權重最適化可進一步提升投資組合的風險調整後收益，而再平衡頻率的選擇亦會對長期績效產生顯著影響。此外，從不同回溯期間（12個月與36個月）的分析結果顯示，回溯期間對於投資策略設計的適用性亦造成影響。本研究透過多元化配置與權重最適化的方式，改善投資組合提高報酬亦維持穩定波動，可作為資產管理實務及未來學術研究參考。 This study investigates the diversified asset allocation and weight optimization of ETF portfolios, conducting an in-depth analysis of three types of portfolios: cross-asset, cross-sector, and a combination of cross-asset and cross-sector. Using empirical data from ETF monthly returns between 2018 and 2024, the study evaluates the performance of these portfolios under equal weighting, weight optimization (including maximum Sharpe ratio, minimum variance, and risk parity methods), and various rebalancing frequencies. 　　The results reveal that diversified asset allocation effectively reduces investment risk, particularly under high market volatility conditions, where cross-asset and sector combinations demonstrate superior defensiveness and stability. Furthermore, the study finds that weight optimization can enhance risk-adjusted returns, and the choice of rebalancing frequency significantly impacts long-term performance. Additionally, the analysis of different lookback periods (12 months and 36 months) highlights their influence on the applicability of investment strategy design.
參考文獻:	Braga, M. D., 2016. Risk-Based Approaches to Asset Allocation Concepts and Practical Applications, Springer International Publishing AG Switzerland (www.springer.com), ISBN 978-3-319-24382-5 (eBook), DOI 10.1007/978-3-319-24382-5 Bridgewater Associates, 2012. The All Weather Story: How Bridgewater Associates created the All Weather investment strategy, the foundation of the ‘risk parity’ movement, Bridgewater.com. https://www.bridgewater.com/_document/the-all-weather-story?id=00000171-8623-d7de-affd-feaf4ee20000 Brinson, G. P., Hood, L., Beebower, G. L., 1986. Determinants of Portfolio Performance. Financial Analysts Journal / Jan-Feb. ), 133-138. Fama, E. F., & French, K. R., 1992. The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465. Fernando, J., 2024. Compound Annual Growth Rate (CAGR) Formula and Calculation. Investopedia.com. https:// www.investopedia.com/ terms/c/cagr.asp Gelmini, M., & Uberti, P., 2024. The equally weighted portfolio still remains a challenging benchmark. International Economics, vol. 179, issue C GestaltU, 2014. The Evolution of Optimal Lookback Horizon. Resolve Asset Management, https://seekingalpha.com/article/2115393-the-evolution-of-optimal-lookback-horizon Harvey, C. R., & Siddique, A., 2002. Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263-1295. Maillard, S., T., Roncalli, Teiletche, J., 2010. The Properties of Equally Weighted Risk Contribution Portfolios. The Journal of Portfolio Management, 36(4):60-70, DOI:10.3905/jpm.2010.36.4.060 Malladi, R., & Fabozzi, F.J., 2017. Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence. Journal of Asset Management, 18(3):188-208. DOI: 10.1057/s41260-016-0033-4 Markowitz, H., 1952. Portfolio Selection. The Journal of Finance, Volume 7, No. 1, Pages 77-91. Meher, P., & Mishra, R. K., 2024. Risk-Adjusted Portfolio Optimization: Monte Carlo Simulation and Rebalancing. Australasian Accounting, Business and Finance Journal 18(3), 85-101. DOI:10.14453/aabfj.v18i3.06 Shiller, R. J., 2002. From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 17(1), 83-104. Williamson, J., 2024. Ray Dalio All Weather Portfolio Review, ETFs, & Leverage(2024), Optimized Portfolio.com. https://www.optimizedportfolio.com/all-weather-portfolio/ 市場先生，2022。橋水基金全天候投資策略-發展歷程與資產配置概念完整解析。Mr. Market市場先生。https://rich01.com/bridgewater-associates-all-weather-strategy-0/ 布萊茲，2024。深入理解：Alpha、Beta 及 Smart Beta 在投資中的應用。布萊茲的投資筆記。https://vocus.cc/article/6687dac5fd897800019f7760 林知樵，2012。動態投資組合之再平衡及三種權重估計法比較。高雄大學統計學研究所碩士論文，高雄市。胡惠菁，2023。全天候組合的績效評估。高雄科技大學財務管理研究所碩士論文，高雄市。蔡和錦，2020。校務基金資產配置之研究-以美國耶魯大學與哈佛大學為例。東海大學高階經營管理研究所碩士論文，台中市。顏榮威，2020。風險平價與其他傳統投資組合之績效分析。政治大學國際經營與貿易研究所碩士論文，台北市。
描述:	碩士國立政治大學國際金融碩士學位學程 112ZB1021
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0112ZB1021
数据类型:	thesis
显示于类别:	[國際金融碩士學位學程] 學位論文

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