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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/51310


    Title: 最小化風險值之投資組合選擇模型
    Portfolio selection model based on minimizing Value-at-Risk
    Authors: 張殷華
    Contributors: 劉明郎
    張殷華
    Keywords: 風險值
    Date: 2010
    Issue Date: 2011-10-05 14:39:38 (UTC+8)
    Abstract: 被動式管理是指共同基金採用追蹤市場指數或特定標的指數的投資策略，這類型的共同基金近年來廣受投資人的歡迎。其建構方式係從股票市場內選定少數代表性股票種類，希望利用少數股票種類即可代表被追蹤指數的整體績效，使其與被追蹤指數的報酬率的追蹤誤差(tracking error)降至最低。風險值(Value-at-Risk, VaR)是近年來風險控管的新趨勢，是一種衡量與預測風險的指標，用來預測潛在可能的損失預估值。本論文結合指數追蹤與VaR之概念，將指數報酬率與投資組合報酬率的偏差視為損益，目標函數為最小化偏差之VaR，建立一兼具指數追蹤與控管VaR的投資組合選擇模型。最後使用台灣股票市場的歷史資料做為實證的資料，用以驗證模型之可行性與效能。實證結果顯示當被追蹤指數呈現盤整震盪與持續下跌趨勢時，本模型所建立之投資組合的表現能有效超越被追蹤指數。
    Reference: Benati, S. and R. Rizzi, A mixed integer programming formulation of the optimal mean/Value-at-Risk portfolio problem, European Journal of Operational Research 176, 423-434 (2007).
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    莊智祥，使用目標規畫建立指數基金，國立政治大學應用數學系碩士論文（民國87年）。
    白惠琦，指數基金追蹤模型的最佳化，國立政治大學應用數學系碩士論文（民國91年）。
    蘇代利，調整指數基金的最小成本模型，國立政治大學應用數學系碩士論文（民國93年）。
    朱志達，超越指數績效的投資組合最佳化模型，國立政治大學應用數學系碩士
    論文（民國99年）。
    Description: 碩士
    國立政治大學
    應用數學研究所
    97751015
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097751015
    Data Type: thesis
    Appears in Collections:[Department of Mathematical Sciences] Theses

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