政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/32579
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113873/144892 (79%)
造访人次 : 51909859      在线人数 : 584
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻
    政大機構典藏 > 理學院 > 應用數學系 > 學位論文 >  Item 140.119/32579


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/32579


    题名: 成長基金的最佳化模型
    Optimization Models for the Growth Portfolio
    作者: 王靜亮
    Wang,Ching Liang
    贡献者: 劉明郎
    Liu,Ming Long
    王靜亮
    Wang,Ching Liang
    关键词: 目標規劃
    大中取小原則
    goal programming
    mini-max principle
    日期: 2006
    上传时间: 2009-09-17 13:47:15 (UTC+8)
    摘要: 本論文提出數個線性規劃模型建立成長基金的投資組合。目標函數皆以目標規劃方式呈現。第一個模型採用追蹤與成長差距最小的原則。第二個模型改採用大中取小原則。第三個模型則考慮時間因素對於投資組合的影響,修正第一個模型加入時間參數。最後以台灣上市股票市場作為實證分析對象,探討三組模型之表現。
    This thesis presents three linear programming models for selection of the growth portfolio based on historical data. The objective functions of these models are described by goal programming. The first model employs the principle of minimizing the deviation of the value-increasing index. The second model employs the mini-max principle. The third model is derived from the first model and includes the timing effect of historical data during construction of portfolio. The computational results and performance are illustrated by modeling with realistic data from the Taiwan stock market.
    參考文獻: Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA (1988).
    IBM, Optimization Subroutine Library Guide and Reference Relese 2, Kingston, NY, Third Edition, (1991).
    Konno, H. and H. Yamazaki, Mean absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37, 519-531 (1991).
    Markowitz, H., Portfolio selection, Journal of Finance 7, 77-91 (1952).
    Meade, N. and G. R. Salkin, Index funds-Construction and performance measurement, Journal of the operational research society 40, 871-879 (1989).
    Sang M. Lee and Delton L. Chesser, Goal programming for portfolio selection, The journal of portfolio management Spring, 22-26 (1980).
    Sharpe, W. F., A linear programming algorithm for mutual fund portfolio selection, Management Science 13, 499-510 (1967).
    Sharpe, W. F., A linear programming approximation for the general portfolio analysis problem, Journal of financial and quantitative analysis December, 1263-1275 (1971).
    Speranza, M. G., Linear programming model for portfolio optimization, Finance 14, 107-123 (1993).
    Speranza, M. G., A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Computers and Operations research 23, 433-441 (1996).
    Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683(1998).
    Xia, Y., B. Liu, S. Wang, and K.K. Lai, A model for portfolio selection with order of expected returns, Computers and Operations research 27, 409-422 (2000).
    呂建鴻,考量下層風險的最佳投資組合,國立政治大學應用數學研究所碩士論文(民91)。
    羅際夫,買共同基金學習地圖,早安財經文化有限公司(民91)。
    描述: 碩士
    國立政治大學
    應用數學研究所
    93751013
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093751013
    数据类型: thesis
    显示于类别:[應用數學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    75101301.pdf61KbAdobe PDF2758检视/开启
    75101302.pdf78KbAdobe PDF2715检视/开启
    75101303.pdf75KbAdobe PDF2727检视/开启
    75101304.pdf91KbAdobe PDF2841检视/开启
    75101305.pdf104KbAdobe PDF21587检视/开启
    75101306.pdf154KbAdobe PDF2874检视/开启
    75101307.pdf125KbAdobe PDF2778检视/开启
    75101308.pdf228KbAdobe PDF2827检视/开启
    75101309.pdf85KbAdobe PDF2782检视/开启
    75101310.pdf52KbAdobe PDF2789检视/开启
    75101311.pdf358KbAdobe PDF2741检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈