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政大機構典藏 > 理學院 > 應用數學系 > 學位論文 > Item 140.119/67310

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67310

Title:	控制最差風險值的投資組合最佳化模型 Portfolio Optimization Models under WCVaR Control
Authors:	楊子漪
Contributors:	劉明郎楊子漪
Keywords:	指數追蹤下方偏差最差風險值雙目標線性規劃
Date:	2013
Issue Date:	2014-07-07 11:09:29 (UTC+8)
Abstract:	本論文提出控制最差風險值與超越指數的雙目標投資組合最佳化模型，我們同時考慮兩種風險—指數追蹤的下方偏差(downside absolute deviation) 與最差風險值(worst-case value-at-risk, WCVaR)。並提出兩種不同模型，模型A針對兩者間的規避程度分別分配其權重，結合成單一目標函數的線性規劃模型。而模型B先計算出歷史資料中的WCVaR值，再以此風險值為限制式，使建立的投資組合與被追蹤指數報酬率的下方偏差降至最低的兩階段單目標線性規劃模型。我們使用台灣股票市場的資料進行實證，用以驗證兩模型之可行性與效能差異。實證結果顯示，不論是股市處於上漲、下跌或盤整階段，本模型所建立之投資組合的表現均能有效超越被追蹤指數。摘要 iv Abstract v 目錄 vi 表目錄 vii 圖目錄 viii 第一章　緒論 1 1.1　前言 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　風險值與條件風險值 7 2.3　指數追蹤 10 第三章　風險函數理論探討 12 3.1　資產配置的風險函數 12 3.2　追蹤模型的風險函數 22 第四章　建立考量追蹤誤差與WCVAR的資產配置模型 25 4.1　最小化追蹤誤差的資產配置模型 25 4.2　最小化WCVAR值的資產配置模型 28 4.3　同步考量追蹤誤差與WCVAR值的資產配置模型 30 第五章　實證研究 34 5.1　模型在各種不同的實驗情境下規避風險的成效 37 5.2　模型在各種不同的實驗情境下的報酬率表現 42 第六章　結論與建議 52 參考文獻 53 附錄　附表 56
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Description:	碩士國立政治大學應用數學研究所 100751017 102
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0100751017
Data Type:	thesis
Appears in Collections:	[應用數學系] 學位論文

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