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政大機構典藏 > 理學院 > 應用數學系 > 學位論文 > Item 140.119/49160

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49160

Title:	追蹤穩定成長目標線的投資組合最佳化模型 Portfolio optimization models for the stable growth benchmark tracking
Authors:	謝承哲 Hsieh, Cheng Che
Contributors:	劉明郎 Liu, Ming Long 謝承哲 Hsieh, Cheng Che
Keywords:	追蹤穩定成長率目標線追蹤問題期貨避險投資組合調整混合整數非線性規劃 stable growth rate tracking benchmark tracking problem futures hedging portfolio rebalance mixed-integer nonlinear programming
Date:	2009
Issue Date:	2010-12-08 02:00:23 (UTC+8)
Abstract:	本論文研究如何建立一個投資組合用來追蹤穩定成長的目標線。我們將這個目標線追蹤問題建構成混合整數非線性數學規劃模型。由於用以追蹤目標線的投資組合，經過一段時間後其追蹤效能可能未如預期，本論文提出調整投資組合的數學規劃模型。這些模型中除了考量實務中的交易成本，亦考慮限制放空股票，所以將期貨加入投資組合中作為避險部位。最後，以台灣股票市場與期貨交易市場作為實證研究對象，探討投資組合建立與調整的表現，亦分析不同成長率設定之目標線與期貨投資比重上限對投資組合價值的影響。 This thesis studies how to construct a tracking portfolio for the benchmark of a stable growth rate. This tracking problem can be formulated as a mixed-integer nonlinear programming model. Since the performance of the tracking portfolio may get worse when time elapses, this thesis proposes another mathematical programming model to rebalance the tracking portfolio. These models not only consider the transaction cost but also take into account of the limitation of shorting a stock; thus the tracking portfolio will include a futures position as a hedging position. Finally, an empirical study will be performed by using the data from the Taiwan stock market and the futures market to explore the performance of the proposed models. We will analyze how the different benchmark settings and the futures position limits will affect the value of the tracking portfolio. 誌謝................................................. iv 摘要.................................................. v Abstract............................................ vi 目錄................................................ vii 表目錄............................................. viii 圖目錄............................................... ix 第一章　緒論........................................... 1 　　1.1　研究動機....................................... 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....................................... 4 　　2.2　指數追蹤....................................... 6 第三章　數學模型探討..................................... 8 　　3.1　資產配置的數學模型............................... 8 　　3.2　指數追蹤的數學模型.............................. 18 第四章　建立與調整追蹤目標線投資組合的數學模型............... 34 　　4.1　建立投資組合的數學模型........................... 34 　　4.2　調整投資組合的數學模型........................... 39 第五章　實證研究........................................ 43 　　5.1　不同時段投資組合的績效表現分析..................... 44 　　5.2　調整投資組合的績效表現分析........................ 51 　　5.3　不同目標報酬率與期貨比重上限對投資組合績效表現的影響... 55 第六章　結論與建議...................................... 62 參考文獻.............................................. 64 附錄　附表............................................. 66
Reference:	Andrews, C., D. Ford, and K. Mallinson, The design of index funds and alternative methods of replication, The Investment Analyst 82(October), 16-23 (1986). Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA, (1988). Canakgoz N. A., and J. E. Beasley, Mixed-integer programming approaches for index tracking and enhanced indexation, European Journal of Operational Research 196, 384-399 (2008). Cooper, W.W., V. Lelas, and T. Sueyoshi, Goal programming models and their duality relations for use in evaluating security portfolio and regression relations, European Journal of Operational Research 98, 431-443 (1997). Fang, Y., and S.-Y. Wang, A fuzzy index tracking portfolio selection model, Lecture Notes in Computer Science 3516, 554-561 (2005). Feinstein, C. D., and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39(12), 1552-1553 (1993). Konno, H., and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37(5), 519-531 (1991). Markowitz, H., Portfolio selection, Journal of Finance 7(1), 77-91 (1952). Markowitz, H., Portfolio selection: Efficient diversification of investments, John Wiley & Sons, New York (1959). Meade, N., and G. R. Salkin, Index funds-construction and performance measurement, Journal of the Operational Research Society 40(10), 871-879 (1989). Speranza, M. G., Linear programming models for portfolio optimization, Finance 14(1), 107-123 (1993). Yao, D. D., S. Zhang, and X. Y. Zhou, Tracking a financial benchmark using a few assets, Operations Research 54(2), 232-246 (2006). Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44(5), 673-683 (1998). 莊智祥，使用目標規劃建立指數基金，國立政治大學應用數學系碩士論文（民87）。白惠琦，指數基金追蹤模型的最佳化，國立政治大學應用數學系碩士論文（民91）。蘇代利，調整指數基金的最小成本模型，國立政治大學應用數學系碩士論文（民93）。
Description:	碩士國立政治大學應用數學研究所 96751011 98
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0096751011
Data Type:	thesis
Appears in Collections:	[應用數學系] 學位論文

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