政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/32556
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113451/144438 (79%)
造访人次 : 51312327      在线人数 : 925
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 理學院 > 應用數學系 > 學位論文 >  Item 140.119/32556


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/32556


    题名: 大中取小法建立最佳投資組合
    Portfolio Optimization Using Minimax Selection Rule
    作者: 楊芯純
    Shin-Chuen Yang
    贡献者: 劉明郎
    楊芯純
    Shin-Chuen Yang
    关键词: 大中取小原則
    投資組合優化
    混合整數線性規劃
    mini-max principle
    portfolio optimization
    mixed integer linear program
    日期: 2002
    上传时间: 2009-09-17 13:44:38 (UTC+8)
    摘要: 本文提出一個新的混合整數線性規劃模型建立投資組合。這個模型所採用的風險函數為最大損失的絕對值，而不是一般常用的損失變異數。在給定的報酬水準下，模型尋找在觀測期間中最小的最大損失的投資組合，即為大中取小的原則。模型也同時考慮實務上常遇見之情況，如：交易成本、最小交易單位、固定交易費用比率、資產總類數等限制。因此，模型內需使用整數變數及二元變數，導致模型的計算求解過程變得比不含整數變數及二元變數的模型困難許多。我們以固定整數變數的啟發式演算法增進求解的效率，並以台灣股票市場的資料做為實證計算的對象。
    A new mixed integer linear program (MILP) for selecting portfolio based on historical return is proposed. This model uses the downside risk rather than the variance as a risk measure. The portfolio is chosen that minimizes the maximum downside risk over all past observation periods to reach a given return level. That is a mini-max principle. The model incorporates the practical characteristics such as transaction costs, minimum transaction units, fixed proportional transaction rates, and cardinality constraint. For this reason a set of integer variables and binary variables are introduced. The introduction, however, increases the computational complexity in model solution. Due to the difficulty of the MILP problem, a heuristic algorithm has been developed for the solution. The computational results are presented by applying the model to the Taiwan stock market.
    參考文獻: Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA (1988).
    Cai, X., K. L. Teo, X. Yang and X. Y. Zhou, Portfolio optimization under a minimax rule, Management Science 46, 957-972 (2000).
    Feinstein, C. D. and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39, 1552-1553 (1993).
    Ghezzi, L. L., A maxmin policy for bond management, European Journal of Operational Research 114, 389-394 (1999).
    IBM, Optimization Subroutine Library Guide and Reference Relese 2, Kingston, NY, Third Edition, (1991).
    Konno, H. and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37, 519-531 (1991).
    Konno, H. and A. Wijayanayake, Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints, Mathematical Programming, Series B 89, 233-250 (2001).
    Lee, S. M. and D. L. Chesser, Goal programming for portfolio selection, The Journal of Portfolio Management Spring, 22-26 (1980).
    Mansini, R. and M. G. Speranza, Heuristic algorithms for the portfolio selection problem with minimum transaction lots, European Journal of Operational Research 114, 219-233 (1999).
    Markowitz, H., Portfolio selection, Journal of Finance 7, 77-91 (1952).
    Markowitz, H., Portfolio selection (2nd ed.), Blackwell, Cambridge, MA(1991).
    Meade, N. and G. R. Salkin, Index funds-construction and performance measurement, Journal of the Operational Research Society 40, 871-879 (1989).
    Sharpe, W. F., A linear programming algorithm for mutual fund portfolio selection, Management Science 13, 499-510 (1967).
    Sharpe, W. F., A linear programming approximation for the general portfolio analysis problem, Journal of Financial and Quantitative Analysis December, 1263-1275 (1971).
    Speranza, M. G., Linear programming models for portfolio optimization, Finance 14, 107-123 (1993).
    Speranza, M. G., A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Computers & Operations Research 5, 433-441 (1996).
    Xia, Y., B. Liu, S. Wang and K. K. Lai, A model for portfolio selection with order of expected returns, Computers & Operations Research 27, 409-422 (2000).
    Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683 (1998).
    Yu, G., Min-max optimization of several classical discrete optimization problems, Journal of Optimization Theory and Applications 98, 221-242 (1998).
    呂建鴻，考量下層風險的最佳投資組合，國立政治大學應用數學研究所碩士論文 （民91）。
    描述: 碩士
    國立政治大學
    應用數學研究所
    89751003
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0089751003
    数据类型: thesis
    显示于类别:[應用數學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    75100301.pdf929KbAdobe PDF2886检视/开启
    75100302.pdf933KbAdobe PDF21101检视/开启
    75100303.pdf934KbAdobe PDF2875检视/开启
    75100304.pdf935KbAdobe PDF21818检视/开启
    75100305.pdf946KbAdobe PDF21666检视/开启
    75100306.pdf967KbAdobe PDF2990检视/开启
    75100307.pdf959KbAdobe PDF21119检视/开启
    75100308.pdf987KbAdobe PDF21684检视/开启
    75100309.pdf932KbAdobe PDF2856检视/开启
    75100310.pdf937KbAdobe PDF21038检视/开启
    75100311.pdf958KbAdobe PDF2839检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈