政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/56885

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/56885

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政大典藏 > College of Science > Department of Mathematical Sciences > Theses > Item 140.119/56885

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/56885

Title:	追蹤不同成長目標線投資組合的分析與比較 Analysis and Comparison of Tracking Difference Growth Benchmark Portfolio
Authors:	周靜慧
Contributors:	劉明郎周靜慧
Keywords:	目標線追蹤問題混合整數非線性規劃追蹤誤差
Date:	2012
Issue Date:	2013-02-01 16:53:23 (UTC+8)
Abstract:	建立追蹤成長目標線的投資組合可以建構成混合整數非線性數學規劃模型，本論文針對數學規劃模型內幾個影響追蹤目標線效果的因素加以研究，透過調整目標線成長率、內樣本觀測長度及時間參數來進行探討。考慮實務上的限制，在建立追蹤成長目標線的投資組合模型中加入交易成本及放空股票限制。最後，以台灣股票市場作為實證研究對象加以分析。實證結果顯示報酬率在20%以下、內樣本長度在30週左右追蹤誤差達到最小，此外，沒有明顯的證據顯示加入時間參數能使建立的投資組合有較小的追蹤誤差。 "摘要 iv Abstract v 目錄 vi 表目錄 vii 圖目錄 viii 第一章　緒論-----------------------1 1.1　研究動機----------------------1 1.2　研究目的與架構-----------------2 第二章　文獻回顧--------------------3 2.1　資產配置-------------------- --3 2.2　指數追蹤----------------------5 第三章　數學模型探討-------------------------------8 3.1　資產配置的數學模型----------------------------8 3.2　指數追蹤的數學模型----------------------------19 第四章　建立與調整追蹤目標線投資組合的數學模型--------24 4.1　建立投資組合的數學模型------------------------24 4.2　考慮時間因素所建立投資組合的數學模型------------27 第五章　實證研究----------------------------------29 5.1　不同報酬率對投資組合的績效---------------------30 5.2　內樣本長度不同對投資組合的績效分析--------------35 5.3　不同時間參數下投資組合表現的差異性--------------39 第六章　結論與建議 -------42 參考文獻----------------43 附錄　附表--------------45
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). 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). 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 investments, 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). 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). 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91）。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）。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) 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93）。
Description:	碩士國立政治大學應用數學系數學教學碩士在職專班 99972011 101
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0099972011
Data Type:	thesis
Appears in Collections:	[Department of Mathematical Sciences] Theses

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