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| Title: | 更多限制或更佳估計？投資組合理論在台灣股票市場之應用
More Restrictions or Better Estimates? Application of Portfolio Theory in the Taiwan Stock Market |
| Authors: | 鄭緒紳
Cheng, Hsu-Shen |
| Contributors: | 鍾令德
鄭緒紳
Cheng, Hsu-Shen |
| Keywords: | 投資組合最佳化
權重約束
估計誤差
協方差估計
低波動異象
Portfolio optimization
Weight constraints
Estimation error
Covariance estimation
Low-volatility anomaly |
| Date: | 2025 |
| Issue Date: | 2025-09-01 14:55:20 (UTC+8) |
| Abstract: | 投資組合最佳化在實務中面臨估計誤差放大問題，導致極端的資產權重配 置與樣本外投資績效不佳。在台灣市場已有學術研究分別探討懲罰函數、收縮 估計、多因子模型等解決方法，然而尚無將權重約束與上述方法進行整合比較 來評估修正措施的相對效果。本文以台灣證券交易所 2000 年至 2025 年之掛牌 普通股為樣本，運用重複抽樣設計並結合雙重統計檢定，從中比較三種權重約 束條件與七種協方差估計方法組成不同全域最小變異數與最小追蹤誤差投資組 合的樣本外表現。實證結果顯示，採用樣本協方差並施行禁止放空約束能將全 域最小變異投資組合年化標準差從 17.57% 降至 13.23%，將最小追蹤誤差投資 組合追蹤誤差從 13.24% 降至 8.06%，單純禁止放空在風險控制效果上與收縮估 計及多因子模型等複雜方法達到統計等效水準。再進一步運用六因子模型迴歸 分析後，我們發現台灣市場存在低波動異象，全域最小變異投資組合呈現正向 超額報酬與低於一的市場風險曝險特徵，與風險最小化策略的優異表現一致。 本研究證實權重約束在台灣市場具備協方差估計修正功能，為投資組合風險管 理提供簡約且有效的實務方案。
Portfolio optimization is prone to estimation errors in practice, leading to extreme weight allocations and suboptimal out-of-sample performance. While existing studies in Taiwan have already considered penalty functions, shrinkage estimation, and factor models as potential solutions, it remains unclear how well these alternative approaches perform when incorporating practical weight constraints. This study utilizes data from the Taiwan Stock Exchange, which includes listed stocks spanning the period from 2000 to 2025. By utilizing a repeated random sampling design combined with dual statistical testing frameworks, we systematically compare three weight constraint specifications against seven covariance estimation methodologies. Our analysis examines the out-of- sample performance of global minimum variance and minimum tracking error portfolios across sample covariance, Ledoit-Wolf shrinkage estimation, and five different factor model specifications. Our empirical findings demonstrate that implementing no-short- selling constraints with sample covariance estimation reduces the annualized standard deviation of the global minimum variance portfolios from 17.57% to 13.23%, while simultaneously decreasing the minimum tracking error portfolios’ tracking error from 13.24% to 8.06%. This parsimonious constraint achieves risk control effectiveness com- parable to that of more sophisticated shrinkage and factor model approaches. Our six- factor model regression analysis confirms the presence of the low-volatility anomaly in Taiwan, with global minimum variance portfolios exhibiting positive abnormal returns and market beta coefficients significantly that are below one. This study indicates that weight constraints serve as effective covariance matrix correction mechanisms in Tai- wan, offering a practical yet simple solution to managing portfolio risk. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
112351037 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112351037 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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