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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/49640
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49640


    Title: 極端市場狀況下原物料商品加入投資組合的表現
    Portfolio performance with commodity investments: an extreme market case
    Authors: 林文凱
    Lin, Wen Kai
    Contributors: 盧敬植
    Lu, Ching Chih
    林文凱
    Lin, Wen Kai
    Keywords: 原物料投資
    投資組合
    極端市場
    Commodity Investment
    Portfolio Allocation
    Date: 2008
    Issue Date: 2010-12-08 15:38:05 (UTC+8)
    Abstract: In this thesis, we discuss the possible diversification benefits offered by commodity futures, especially in the extreme equity market conditions. We see that adding commodity investments into portfolios could improve their performance with better diversification efficiency. However, with correlation estimation by methods developed by Longin and Solnik(2001) and Ang and Chen(2002), we see correlations between equity and commodity investments increase while they are on downside moves . The results suggest that the diversification benefits offered by commodity investment may change in different market conditions. For further examination, we divide our sample in groups ranked by the home market (U.S. equity investments) returns to see if the commodity-equity portfolio could still perform better over all-equity portfolio in different times. The statistical test shows that the commodity-equity portfolios still perform better than all-equity portfolios. We conclude that commodity investments could make portfolios better-diversified, no matter how the market conditions are.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    94357029
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094357029
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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