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    题名: 模擬最適化運用於資產配置之驗證
    The Effectiveness of the Asset Allocation Using the Technique of Simulation Optimization
    作者: 劉婉玉
    贡献者: 蔡政憲
    劉婉玉
    关键词: 模擬最適化
    資產配置
    演化策略
    投資組合保險策略
    Simulation Optimization
    Asset Allocation
    Evolutionary Strategies
    Portfolio Insurance Strategies
    日期: 2005
    上传时间: 2009-09-18
    摘要: 本文利用模擬最適化（Simulation Optimization）的技術，來找出適合投資人之最佳資產配置。模擬最適化係為一種將決策變數輸入而使其反應變數得到最佳化結果之技術，在本篇中，決策變數為各種投資標的之資產配置，而反應變數則為投資結果之預期報酬與標準差，模擬最適化可視為一種在可行範圍內尋求最佳解之過程。本篇中模擬最適化之方法係採演化策略法，最適化問題則為具放空限制之多期架構。我們亦進一步與各種傳統的投資保險策略比較，包括買入持有策略（Buy-and-Hold）、固定比例策略（Constant Mix）、固定比例投資保險策略（Constant Proportion Portfolio Insurance）及時間不變性投資組合保險策略（Time-Invariant Portfolio Protection），以驗證模擬最適化的有效性，並以多種評估指標來衡量各種策略績效之優劣。
    由實證結果發現，利用模擬最適化求解出每月的最適資產配置，雖然造成每期因資金配置比例變動而提高波動性，另一方面卻能大幅的增加報酬率。整體而言，模擬最適化技術的確能夠有效提升投資績效，使得最終財富增加，並且得到較大的夏普指數及每單位風險下較高的報酬。
    This paper applied simulation optimization technique to search for the optimal asset allocation. Simulation optimization is the process of determining the values of the decision variables that optimize the values of the stochastic response variable generated from a simulation model. The decision variables in our case are the allocations of many kinds of assets. The response variable is a function of the expected wealth and the associated risk. The simulation optimization problem can be characterized as a stochastic search over a feasible exploration region. The method we applied is the evolution strategies and the optimization problem is formulated as a multi-period one with short-sale constraints. In order to verify the effectiveness of simulation optimization, we compared the resulting asset allocation with allocations obtaining using traditional portfolio insurance strategies including Buy-and-Hold, Constant Mix, Constant Proportion Portfolio Insurance, and Time-Invariant Portfolio Protection. We also used many indexes to evaluate performance of all kinds of strategies in this paper.
    Our empirical results indicated that using simulation optimization to search for the best asset allocation resulted in large volatilities, however, it significantly enhanced rate of return. As a whole, applying simulation optimization indeed gets the better performance, increases the final wealth, makes Sharpe Index large, and obtains the higher return under per unit risk.
    參考文獻: REFERENCES
    Back, T. and H. P. Schwefel, 1993, An Overview of Evolutionary Algorithms for Parameter Optimization, Evolutionary Computation, 1: 1-23.
    Bertrand, P. and J. L. Prigent, 2002, Portfolio Insurance Strategies: OBPI versus CPPI, working paper.
    Black, F. and R. Jones, 1987, Simplifying Portfolio Insurance, The Journal of
    Portfolio Management, 48-51.
    Brennan, M. J. and E. S. Schwartz, 1988, Time Invariant Portfolio
    Insurance Strategies, The Journal of Finance, 283-299
    Choie, K. S. and E. J. Seff, 1989, TIPP: Insurance without Complexity :
    Comment, Journal of Portfolio Management, 107-108.
    Duan, J. C, 1994, Maximum Likelihood Estimation Using Price Data of The Derivative Contract, Mathematical Finance, Vol. 4, No.2, 155-167
    Estep, T. and M. Kritzman, 1988, TIPP: Insurance without Complexity, Journal
    of Portfolio Management, 38-42.
    Keys, A. C. and L. P. Rees, 2004, A Sequential-Design Metamodeling Strategy for Simulation Optimization, Computers and Operations Research, 31: 1911-1932.
    Markowitz, H. M., 1952, Portfolio Selection, Journal of Finance, 7: 77-91.
    Merton, R. C., 1971, Optimum Consumption and Portfolio Rules in a Continuous Time Model, Journal of Economic Theory, 3: 373-413
    Perold, A. F. and W. F. Sharpe, 1988, Dynamic Strategies for Asset Allocation, Financial Analyst Journal, January-February, 16-27.
    Sharpe, W. F., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19: 425-442.
    Tekin, E. and I. Sabuncuoglu, 2004, Simulation Optimization: A Comprehensive Review on Theory and Applications, IIE Transactions, 36: 1067-1081.
    Yu, T., C. Tsai, and C. Chen, 2006, Combing Dynamic Financial Analysis with Simulation Optimization to Solve the Asset Allocation Problem of the Property-Casualty Insurer, working paper.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    93358007
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093358007
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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