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| Title: | 以加權範數懲罰函數建構之投資組合實證研究：以2008金融海嘯與新冠肺炎時間區間為例
An Empirical Study on Portfolio Construction Using Weighted Norm Penalty Functions: Evidence from the 2008 Financial Crisis and the COVID-19 Pandemic Periods |
| Authors: | 戴晨宇
Tai, Chen-Yu |
| Contributors: | 顏佑銘
Yen, Yu-Min
戴晨宇
Tai, Chen-Yu |
| Keywords: | 加權範數懲罰函數
最小變異數投資組合
2008年金融海嘯
新冠肺炎疫情
Weighted-norm penalty function
Minimum-variance portfolio
2008 financial crisis
COVID-19 pandemic |
| Date: | 2025 |
| Issue Date: | 2025-07-01 14:37:01 (UTC+8) |
| Abstract: | 本研究旨在探討加權範數懲罰函數於最小變異數投資組合建構中的應用與實證成效，並檢視其於市場動盪期間的穩健性與報酬潛力。傳統最小變異數法於高維度資產結構中易受估計誤差影響，導致樣本外表現不穩與權重極端化現象。為克服此問題，本文採用加權範數最小變異數投資組合，透過同時引入l_1與l_2^2，達成投資組合權重的稀疏化與穩定性。
本研究以四十三間台灣市值排名前段之上市公司為樣本，分析期間涵蓋2004年至2024年，並特別納入2008年金融海嘯與2020年新冠肺炎疫情等重大市場事件進行分段分析，使用十項績效指標評估加權範數最小變異數投資組合與1/N、NSMVP、GMVP的樣本外表現，並擴充分析設定目標報酬限制與替代範數懲罰之應用成效。
實證結果顯示，加權範數最小變異數投資組合於市場正常時在風險調整後報酬表現優異，市場波動時則有助於降低投組風險，此外，設定目標報酬條件反而導致報酬下降與波動上升，而三種替代範數懲罰整體表現與加權範數最小變異數投組接近。
This study investigates the application and empirical performance of the weighted-norm penalty function in constructing minimum-variance portfolios (MVP), with particular focus on its robustness and return potential during periods of market turbulence. Traditional MVPs are prone to estimation errors, especially in high-dimensional asset spaces, which often results in unstable out-of-sample performance and extreme portfolio weights. To address these issues, this research adopts the Weighted-Norm Minimum-Variance Portfolio (WNMVP), which incorporates both l_1 and l_2^2 norm penalties to simultaneously achieve sparsity and stability in portfolio weights.
The empirical analysis is based on 43 publicly listed Taiwanese large-cap companies, covering the period from 2004 to 2024. The study includes sub-period analyses of major market disruptions, such as the 2008 Global Financial Crisis and the 2020 COVID-19 pandemic. Out-of-sample performance is evaluated across ten performance metrics, comparing WNMVP with the 1/N strategy, the No-Short-Sale Minimum-Variance Portfolio (NSMVP), and the Global Minimum-Variance Portfolio (GMVP). In addition, the effectiveness of target return constraints and alternative norm penalty functions is also examined.
The results indicate that WNMVP outperforms other strategies in terms of risk-adjusted returns under normal market conditions and contributes to risk reduction during turbulent periods. However, imposing a target return constraint tends to reduce returns and increase volatility. Furthermore, the three alternative norm penalty strategies exhibit overall performance comparable to that of WNMVP. |
| Reference: | 1.王依婷（2007），投資人之交易偏好分析，國立中正大學會計與資訊科技研究所出版碩士論文。
2.Clarke, R., de Silva, H., and Thorley, S. （2013）. Risk parity, maximum diversification, and minimum variance: An analytic perspective. The Journal of Portfolio Management, 39（3）, 39–53.
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9.Sharpe, W. F. （1964）. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19（3）, 425–442.
10.Yen, Y. M. （2015）. Sparse Weighted-Norm Minimum Variance Portfolios. Review of Finance, 20, 1259-1287. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
112351010 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112351010 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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