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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/83336
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83336


    Title: 應用風險值評估共同基金之績效
    Authors: 張雅惠
    Contributors: 陳威光
    朱浩民

    張雅惠
    Keywords: 風險值
    基金績效
    Value at Risk
    mutual fund performance
    Date: 2000
    Issue Date: 2016-03-31 16:36:23 (UTC+8)
    Abstract: 共同基金績效評量以夏普比率(Sharpe Ratio)最常被使用,但是由於夏普比率建構於常態分配的假設上,當基金報酬率不為常態時就可能產生偏誤。本文針對國內共同基金進行常態性檢定,發現基金報酬率分配呈現左偏、高狹峰的特質,並非常態分配,因此本文擷取風險值(VaR)衡量下方風險、又不需假設報酬率為常態分配的特長,將風險值應用在共同基金績效衡量上,以改善夏普比率在報酬率非常態分配下的偏誤,作為基金績效評估時輔助參考之用,並以國內共同資料進行實證研究,結論歸納如下:
    Reference: 中文文獻:
    1.廖益誠,「Value at Risk -Orthogonal Garch的應用」,國立台灣大學財務金融學研究所未出版碩士論文,民國八十七年
    2.陳炳宏,「共同基金投資組合績效之研究」,國立政治大學企業管理研究所未出版碩士論文,民國八十七年
    3.陳松男、詹硯彰,「證券投資組合風險值(VAR)之簡介與衡量」,YUANTA FUTURES,民國八十七年十一月
    4.黃鴻文,「共同基金績效評估方法-文獻探討與實證主題研究」,國立政治大學國際貿易研究所未出版碩士論文,民國八十八年
    5.陳若鈺,「風險值的衡量與驗證:台灣股匯市之實證」,國立台灣大學財務金融研究所未出版碩士論文,民國八十八年
    6.邱顯比&李存修,「中華民國證券暨投資信託顧問商業同業公會:共同基金評比」,民國八十九年二月
    英文文獻:
    1.Alexander,C.O. and C.T. Leigh ,” On the Covariance Metrices Used in Value at Risk Models ” , The Journal of Derivatives , Spring 1997 , pp.50-62
    2.Blanco,C. and I. Goeffrey , “ How Good is Your VaR? Using Backtesting to Assess System Performance “ , Financial Engineering News , August 1999 , Issue 11 , pp.1-4 http://fenews.com/1999/Issue11/089903.html
    3.Culp, C.L,” Value at Risk : Uses and Abuses “ , Journal of Applied Corporate Finance , Winter 1998 , Volume 10 , pp.26-38
    4.Dowd, K. , “ Beyond Value at Risk : The New Science of Risk Management “ , 1998
    5.Dowd, K., ” A Value at Risk Approach to Risk-Return Analysis “ , The Journal of Portfolio Management , Summer 1999 , pp.60-67
    6.El-Jahel Lina , W. Perraudin ,and P. Sellin , “ Value at Risk for Derivatives “ ,The Journal of Derivatives , Spring 1999 , pp.6-26
    7.Jorion, P.,” Value at Risk : The New Benchmark for Controlling Market Risk “ ,1997
    8.J.P. Morgan , “ RiskMetrics ” , 1998
    9.Murray, S., “ Benchmark-Relative Value at Risk “ , Derivative Quarterly , Summer 1999 , pp.37-45
    10.Nawrocki, D. N. , “A Brief History of Downside Risk Measures “ , The Journal of Investing , Fall 1999 , pp.9-25
    11.Schwager, J. , “ Alternative to Sharpe Ratio Better Measure of Performance “ , Futures : The Magazine of Commodities & Options , v14n3 , March 1985 , pp.56-58
    12.Sharpe, W.F. , “ The Sharpe Ratio “ , Journal of Portfolio Management , Fall 1994 , v21n1 , pp.49-58
    13.Sharpe ,W.F. , “Moringstar’s Risk-Adjusted Ratings “ , Funancial Analysts Journal “ , Jul/Aug 1998 , v54n4 , pp.21-33
    14.Treynor, J.L. ,” How to Rate ManagementInvestment Fund “ , Havard Business Review,Jan/Feb 1965 Vol. 43
    15.Venkataraman, S. , “ Value at Risk for a Mixture of Normal Distribution “ , Economics Perspectives , Feb 1997 Vol. 21
    Description: 碩士
    國立政治大學
    金融研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002178
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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