政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67309

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67309

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政大典藏 > College of Science > Department of Mathematical Sciences > Theses > Item 140.119/67309

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67309

Title:	含有貝他值限制式之投資組合最佳化選擇模型 Portfolio Selection Models with the Beta Value Constraint
Authors:	林佳緯 Lin, Jia Wei
Contributors:	劉明郎林佳緯 Lin, Jia Wei
Keywords:	beta值指數追蹤下方追蹤風險指數基金 beta value index tracking down-side tracking error index fund
Date:	2013
Issue Date:	2014-07-07 11:09:27 (UTC+8)
Abstract:	投資者面對龐大的股票市場，希望選取少量的股票使如指數基金般達到追蹤市場的效果，傳統的作法是使用指數追蹤的技術，建立一組投資組合使得報酬率與市場報酬率的績效相同。本論文除了最小化指數追蹤的下方追蹤誤差，還加入beta值的限制式，利用不同的beta值建立一組與市場成長趨勢相當或可能超越市場績效的投資組合。論文中使用提出之模型針對不同範圍的beta值進行研究，分析比較標的指數與建立的投資組合之績效表現。最後以台灣股票市場作為實證研究對象，實證結果顯示本論文模型所建立之投資組合在三個月內與標的指數表現相當，並在三個月後超越標的指數。關鍵字：beta值、指數追蹤、下方追蹤風險、指數基金摘要 I Abstract II 目錄 III 圖目錄 IV 表目錄 V 附表目錄 VI 第一章緒論 1 1.1 前言 1 1.2 研究目的與架構 3 第二章文獻回顧 4 2.1 資產配置之文獻回顧 5 2.2 追蹤目標投資組合之文獻回顧 9 第三章數學模型探討 11 3.1. MV 模型 11 3.2. MAD 模型 12 3.3. 大中取小模型 21 第四章建立投資組合數學模型 23 4.1 建立投資組合的數學模型 23 第五章實證研究 27 5.1 檢驗值限制式的影響 28 5.2 檢驗市場在特殊時段的投資組合 35 第六章結論 40 參考文獻 42 附錄附表 44
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Description:	碩士國立政治大學應用數學研究所 98751006 102
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0098751006
Data Type:	thesis
Appears in Collections:	[Department of Mathematical Sciences] Theses

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