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    題名: 資產模型建構與其資產配置之應用
    Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation
    作者: 陳炫羽
    Chen, Hsuan Yu
    貢獻者: 黃泓智
    Huang, Hong Chih
    陳炫羽
    Chen, Hsuan Yu
    關鍵詞: 厚尾
    偏態
    峰態
    多元仿射JD
    多元仿射VG
    多元仿射NIG
    資產配置
    heavy-tailness
    skewness
    kurtosis
    multivariate affine JD
    multivariate affine variance gamma
    multivariate affine normal inverse Gaussian
    asset allocation
    日期: 2012
    上傳時間: 2013-07-22 11:19:02 (UTC+8)
    摘要: 因為股票市場常具有厚尾、偏態和峰態的特性且在國際的股票市場之間，股票報酬長存在有尾端相依的情況，所以我們的資產模型不能選用Gaussian分配。
    近幾年來，常用GH 分配建構單維度的股票報酬。這篇文章將利用多元仿射JD、多元仿射VG 和多元仿射NIG分配去建構風險性資產的報酬並請應用到資產配置。

    建構風險性資產的報酬後，我們提供兩種不同形式的投資組合並且可以導出投資組合的期望值、變異數、偏態和峰態。我們嘗試以投資組合的期望值、變異數、偏態和峰態當成我們的目標函數，然後得出未來最佳的投資組合的權重。為了讓我們的資產配置更加動態和有效率，我們重新估計模型的參數、選擇最佳的投資組合權重，然後重新評估最佳的資產配置在每個決策日期。實證結果發現當股票市場的表現好的時候，我們建議資產配置應使用偏態當成我們的目標函數，但是當股票市場的表現太好的時候，我們建議資產配置應使用變異數當成我們的目標函數。
    Since the stock markets always have the characteristics of heavy-tailness, skewness and kurtosis and there exists tail dependence among the international stock markets, we can’t use the Gaussian distribution as our model. Recently, the generalized hyperbolic (GH) distribution has been suggested to fit the single stock returns. This article will use the multivariate affine JD (MAJD), multivariate affine variance gamma (MAVG) and multivariate affine normal inverse Gaussian (MANIG) distributions to construct the risky asset returns, and apply them to asset allocation.

    After constructing the risky asset returns, we provide two different forms of portfolio and obtain the mean, variance, skewness, kurtosis of portfolio. We can try to select the optimal weights of portfolio by using the mean, variance, skewness, kurtosis of portfolios as our objective functions. To make our asset allocation more dynamic and efficient, we re-estimate all parameters for our models, select the optimal weights of portfolio, and re-assess the optimal asset allocation at each decision date. Empirically, when the performances of stock markets are good, we suggest that our asset allocation uses the skewness as the objective function. When the performances of stock markets are not good, we suggest that our asset allocation uses the variance as the objective function.
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    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    100358023
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1003580231
    資料類型: thesis
    顯示於類別:[風險管理與保險學系] 學位論文

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