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政大機構典藏 > 理學院 > 應用數學系 > 學位論文 > Item 140.119/95622

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95622

Title:	考量下層風險的最佳投資組合
Authors:	呂建鴻
Contributors:	劉明郎呂建鴻
Date:	2002
Issue Date:	2016-05-09 16:39:24 (UTC+8)
Abstract:	本論文提出數個線性規劃模型建立投資組合。這些模型所採用的風險函數為報酬率之絕對值，而不是一般常用的報酬變異數，並且只針對下層風險的部分加以考量。在給定的報酬水準以及考量投資標的的表現之下，此模型尋找在觀察期間內風險最小的投資組合。同時我們考慮追蹤標的指數及資料時間遠近對投資組合的影響，並以臺灣發行量加權股價做為實證的對象。實證數據顯示，依照我們提出的模型所建立的投資組合，其表現均較標的指數為佳。　　Several linear programs for selecting portfolio based on historical return are proposed. These models use the downside risk rather than the variance as a risk measure. The portfolio is chosen based on miniming the downside risk over all past observation periods to reach a given return level. The models involve the tracking index or the history effect of return data in the construction of portfolio are also presented. The computational results are illustrated with the real data from the Taiwan stock market. The performance of the resulting portfolios is better than the index of Taiwan stock market. 摘要-----iii ABSTRACT-----iv 目次-----v 表目次-----vi 圖目次-----vii 第一章緒論-----1 　　1.1 研究動機-----1 　　1.2 研究的目的與架構-----2 第二章文獻回顧-----3 第三章相關模型探討-----5 　　3.1 Markowitz的模型-----5 　　3.2 Konno與Yamazaki的模型-----6 　　3.2 Konno與Yamazaki的模型-----6 　　3.3 精簡的Konno與Yamazaki模型-----10 第四章最佳化模型-----13 　　4.1 下層風險的規畫模型-----13 　　4.2 追蹤標的指數的模型-----15 　　4.3 考量時間因素的投資組合模型-----17 第五章實證研究-----19 第六章結論-----27 附錄附表-----28 參考文獻-----39 表目次附表一　各模型在D1期間的投資組合-----29 附表二　各模型在D2期間的投資組合-----30 附表三　各模型在D3期間的投資組合-----31 附表四　各模型在D1期間的報酬率-----32 附表五　各模型在D2期間的報酬率-----33 附表六　各模型在D3期間的報酬率-----34 附表七　模型C在各時段的投資組合(ρ=0.3)-----35 附表八　模型C在各時段的投資組合(ρ=0.4)-----36 附表九　模型C在各時段的投資組合(θ=0.75)-----37 附表十　模型C在各時段的投資組合(θ=0.6)-----38 圖目次圖一　各模型在時段一的市值變化表較圖-----21 圖二　各模型在時段二的市值變化表較圖-----21 圖三　各模型在時段三的市值變化表較圖-----22 圖四　不同報酬率下模型C在時段一的市值變化表較圖-----23 圖五　不同報酬率下模型C在時段二的市值變化表較圖-----23 圖六　不同報酬率下模型C在時段三的市值變化表較圖-----24 圖七　不同時間參數下模型C在時段一的市值變化表較圖-----25 圖八　不同時間參數下模型C在時段二的市值變化表較圖-----25 圖九　不同時間參數下模型C在時段三的市值變化表較圖-----26
Reference:	Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA (1988). Feinstein, C. D. and Thapa, M. N., A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39, 1552-1553 (1993). Harlow, W. V., Asset allocation in a downside-risk framework, Financial analysis journal September-October, 28-40 (1991). 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). Stone, B. K., A linear programming formulation of the general portfolio selection problem, Journal of Financial and Quantitative Analysis September, 621-636 (1973). Toung, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683 (1998).
Description:	碩士國立政治大學應用數學系 89751009
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2010000310
Data Type:	thesis
Appears in Collections:	[應用數學系] 學位論文

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