Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/54647
|
| Title: | 追蹤穩定成長目標線的投資組合隨機最佳化模型
Stochastic portfolio optimization models for the stable growth benchmark tracking |
| Authors: | 林澤佑
Lin, Tse Yu |
| Contributors: | 劉明郎
Liu, Ming Long
林澤佑
Lin, Tse Yu |
| Keywords: | 目標線追蹤問題
期貨避險
投資組合調整
混合整數非線性規劃
二階段隨機規劃
情境樹
benchmark tracking problem
futures hedging
portfolio rebalance
mixed-integer nonlinear programming
two-stage stochastic programming
scenario tree |
| Date: | 2011 |
| Issue Date: | 2012-10-30 11:28:00 (UTC+8) |
| Abstract: | 本論文提出追蹤特定目標線的二階段混合整數非線性隨機規劃模型，以建立追蹤目標線的投資組合。藉由引進情境樹(scenario tree)，我們將此類二階段隨機規劃問題，轉換成為等價的非隨機規劃模型。在金融商品的價格波動及交互作用下，所建立的投資組合在經過一段時間後，其追蹤目標線的能力可能會日趨降低，所以本論文亦提出調整投資組合的規劃模型。為符合實務考量，本論文同時考慮交易成本、股票放空的限制，並且加入期貨進行避險。為了反應投資者的預期心理，也引進了選擇權及情境樹。最後，我們使用台灣股票市場、期貨交易市場及台指選擇權市場的資料進行實證研究，亦探討不同成長率設定之目標線與投資比例對於投資組合的影響。
To construct a portfolio tracking specific target line, this thesis studies how to do it via two-stage stochastic mixed-integer nonlinear model. We introduce scenario tree to convert this stochastic model into an deterministic equivalent model. Under the volatility of price and the interaction of each financial derivatives, the performance of the tracking portfolio may get worse when time elapses, this thesis proposes another mathematical model to rebalance the tracking portfolio. These models consider the transactions cost and the limitation of shorting a stock, and the tracking portfolio will include a futures as a hedge position. To reflect the expectation of investors, we introduce scenario tree and also include a options as a hedge position. Finally, an empirical study will be performed by the data from Taiwan stock market, the futures market and the options market to explore the performance of the proposed models. We will analyze how the different benchmarks settings and invest ratio will affect the
value of the tracking portfolio. |
| Reference: | Andrews, C., D. Ford, and K. Mallinson, The design of index funds and alternative methods of replication, The Investment Analyst 82 (October), 16-23 (1986).
Benders, J. F., Partitioning procedures for solving mixed-variable programming problems, Numerische Mathematic 4, 238-252 (1962).
Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA, (1988).
Canakgoz N. A., and J. E. Beasley, Mixed-integer programming approaches for index tracking and enhanced indexation, European Journal of Operational Research
196, 384-399 (2008).
Feinstein, C. D., and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39 (12), 1552-1553 (1993).
Frauendorfer, K., The stochastic programming extension of the Markowitz approach Journal on Neural and Mass-Parallel Computing and Information Systems 5, 449-460 (1995).
Gülpınar, N., B. Rustem, and R. Settergren, Multistage stochastic mean-variance portfolio analysis with transaction costs, Innovations in Financial and Economics Networks 3 , 46-63 (2003).
Kalvelagen, E., Two stage stochastic linear programming with GAMS, http://amsterdamoptimization.com/pdf/twostage.pdf, 2003
Konno, H., and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37 (5), 519-531 (1991).
Markowitz, H., Portfolio selection, Journal of Finance 7 (1), 77-91 (1952).
Markowitz, H., Portfolio selection: Efficient diversification of investmenst, John Wiley & Sons, New York (1959).
Meade, N., and G. R. Salkin, Index funds-construction and performance measurement, Journal of the Operational Research Society 40 (10), 871-879 (1989).
Speranza, M. G., Linear programming models for portfolio optimization, Finance 14(1), 107-123 (1993).
Steinbach, M., Recursive direct optimization and successive renement in multistage stochastic programs, Preprint SC 98-27, Konrad-Zuse Centrum für Informationstechnik Berlin, 1998.
Yao, D. D., S. Zhang, and X. Y. Zhou, Tracking a financial benchmark using a few assets, Operations Research 54 (2), 232-246 (2006).
Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44 (5), 673-683 (1998).
莊智祥，使用目標規劃建立指數基金，國立政治大學應用數學系碩士論文（民
87）。
楊靜宜，選擇權交易策略的整數線性規劃模型，國立政治大學應用數學系碩士論文（民93）。
陳明瑩，考慮交易成本的選擇權交易策略，國立政治大學應用數學系碩士論文（民96）。
謝承哲，追蹤穩定成長目標線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99）。 |
| Description: | 碩士
國立政治大學
應用數學研究所
99751016
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0997510162 |
| Data Type: | thesis |
| Appears in Collections: | [應用數學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 016201.pdf | 2021Kb | Adobe PDF2 | 1104 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
