政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/83131
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83131


    Title: 資產配置之最適策略
    Authors: 張桂莉
    Ellen Chang, Kuei-Li
    Contributors: 林炯垚
    劉玉珍
    張愛華
    張桂莉
    Ellen Chang, Kuei-Li
    Keywords: 資產配置
    景氣循環
    投資組合
    配置策略
    權益型資產
    債券型資產
    效率前緣
    配置比例
    Date: 2000
    Issue Date: 2016-03-31 13:25:37 (UTC+8)
    Abstract: 本研究主要探討資產組合是否應隨著景氣循環進行調整的實證，並觀察在不同的景氣狀態下，各類資產的投資報酬率、投資風險、資產間相關係數與配置比例變化情形。實證結果發現：
    Reference: 中文部分
    1. 行政院經濟建設委員會經濟研究處，「台灣景氣指標」，行政院經濟建設委員會經濟研究處編印，民國八十四年二月至民國八十九年一月
    2. 陳玫纓，「台灣退休基金資產配置與投資組合保險策略之研究」，台大財研碩士論文，民國八十六年六月
    3. 陳隆麒，「現代財務管理：理論與應用」，華泰書局，民國八十二年一月
    4. 游欣慧，「多種情境模式資產配置之研究」，台大財研碩士論文，民國八十八年六月
    5. 閔志清，「台灣基金資產配置之研究」，台大財研碩士論文，民國八十七年六月
    英文部分
    1. Bierman, Harold Jr. "Portfolio Allocation and the Investment Horizon." Journal of Portfolio Management, Summer 1997, pp. 51-55.
    2. Bierman, Harold Jr. "A Utility Approach to the Portfolio Allocation Decision and the Investment Horizon." Journal of Portfolio Management, Fall 1998, pp. 81-87.
    3. Bitters, Warren E. "The New Science of Asset Allocation." Glenlake Publishing Co., Ltd., 1997.
    4. Bodie, Z. "On the Risk of Stocks in the Long Run." Financial Analysts Journal, May-June 1995, pp. 18-22.
    5. Brinson, G. P, L. R. Hood, and G. L. Beebower. "Determinants of Portfolio Performance." Financial Analyst Journal, July/August 1986, pp.39-44.
    6. Brinson, G.P., L.R. Hood, and G.L. Beebower. "Determinants of Portfolio Performance II: An Update." Financial Analyst Journal, May/June 1991, pp.40-48.
    7. Brocato, Joe, and Steed, Steve. "Optimal Asset allocation over the business cycle." Financial Review, August 1998, pp. 129-148.
    8. Chen, Nai-Fu, R. Roll, and S. Ross, "Economic Forces and the Stock Market." Journal of Business 59, 1986, pp.383-404.
    9. Cho, D., C.S. Eun, and L.W. Senbet, "International Arbitrage Pricing Theory: An Empirical Investigation." Journal of Finance 41, 1986, pp.313-333.
    10. Eichhorn, David, Gupta, Francis and Stubbs, Eric, "Using Constrains to Improve the Robustness of Asset Allocation." Journal of Portfolio Management, Spring 1998, pp.41-48.
    11. Erb, C.B., C.R. Harvey, and R.E. Viskanda, "Forecasting International Equity Correlations." Financial Analysts Journal 50, 1994, pp.32-45.
    12. Grubel, H.G. "International Diversified Portfolios: Welfare Gains and Capital Flows." American Economic Review 58, 1968, pp.1299-1314.
    13. Grubel, H.G., and K. Fadner, "The Independence of International Equity Markets." Journal of Finance 26, 1971, pp.89-94.
    14. Joehnk, M., and J.W. Petty, "The Interest Sensitivity of Common Stock Prices." Journal of Portfolio Management 6, 1980, pp.19-25.
    15. Kahneman, D., and A. Tversky. "Prospect Theory: An Analysis of Decision Under Risk." Econometrica 47, March 1979, pp. 263-291.
    16. Kahneman, D., and A. Tversky. "The Psychology of Preferences." Scientific American, January 1982, pp. 160-173.
    17. Ketchum, M.D. "Investment Management Through Formula Timing Plans." Journal of Business, July 1947, pp.156-169.
    18. Koskosidis, Yiannis A., and Duarte, Antonio M. "A Scenario-Based Approach to Active Asset Allocation." Journal of Portfolio Management, Winter 1997, pp. 74-85.
    19. Lessard, D. "World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification." Financial Analysts Journal 32, 1976, pp.32-38.
    20. Markowitz, Harry M. "Portfolio Selection." Journal of Finance, March 1982, pp. 77-91.
    21. Moore, G. "Business Cycles, Inflation, and Forecasting, 2nd ed." Ballinger Publishing Co., Cambridge, MA, 1983.
    22. Samuelson, P.A. "The Long-Term Case for Equities." Journal of Portfolio Management, Fall 1994, pp. 15-24.
    23. Schwert, W. "Indexes of United States Stock Prices from 1802 to 1987." Journal of Business 63, 1990, pp.399-426.
    24. Solnick, B.H. "Why Not Diversify Internationally?" Financial Analysts Journal 30, 1974, pp.48-54.
    25. Weston, J.F. "Some Theoretical Aspects of Formula Timing Plans." Journal of Business, October 1949, pp. 249-270.
    Description: 碩士
    國立政治大學
    企業管理學系
    87355061
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001980
    Data Type: thesis
    Appears in Collections:[Department of Business Administation] Theses

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