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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99343


    Title: 以基本面分析建構最適資產配置流程
    Using Fundamental Analysis To Construct The Optimal Asset Allocation Process
    Authors: 蕭鈞銓
    Contributors: 黃泓智
    蕭鈞銓
    Keywords: 基本面分析
    比例交集法
    資產配置
    夏普指標
    時間序列
    GARCH
    Date: 2016
    Issue Date: 2016-07-20 17:17:32 (UTC+8)
    Abstract: 於現今經濟情勢混沌不明，令人想起價值投資的投資策略方法，期望
    在任何環境下，只要篩選出的股票是具有獲益潛力，則可趁勢進場，獲取
    超額收益。本論文嘗試以基本面分析為主體建構三步驟的資產配置流程。
    第一步驟使用比例交集法進行資產選擇，而多因子方法通常比單因子所篩
    選的報酬率更優異，且加上月營收成長率作為篩選條件其報酬率更是亮眼。
    再者，第二步驟透過風控管指標選股發現，當採用 GSR 做為資產選擇的條件時，可達到最佳的表現。最後於最適權重的配置之中，資產模型及目標函數會因為不同的資產組合而有不同的效果，其中，當 FCFY(0.1) &
    ROA(0.2)加上月營收成長率20%做為篩選條件並使用GSR進行二次篩選後，使用 ARMA(1,1)-GARCH(1,1)且目標函數為最大化夏普指標時可達最大報酬。
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    3. Banz, R. W, 1981.The Relationship between Return and Market Value of Common Stocks.Journal of Financial Economics,9.
    4. Brock, William, JosefLakonishok, and Blake LeBaron, 1992. Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance47 (5):1731-1764.
    5. Brown, P.,Keim, D. B.,Kleidon, A. W.,Marsh, Terry A, 1983.Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of Argument and Australian Evidence.Journal of Financial Economics,12.
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    14. Loughran, T, 1997.Book-to-Market across Firm Size, Exchange, and Seasonality: Is there an Effect?Journal of Financial and Quantitative Analysis,32.
    15. Loughran, T.,Ritter, J. R, 1996.Long-Term Market Overreaction: The Effect of Low-Priced Stocks.Journal of Finance,51.
    16. Rozeff, M. S.,William, Jr. R. K, 1976.Capital Market Seasonality: The Case of Stock Return.Journal of Financial Economics,3.
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    20. 李顯儀，2012。各類基本面分析指標與基金從眾行為之關聯性。
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    22. 黃勝邦，2010。技術分析在台灣股市之實證研究-均值交易策略之績效分析。碩士論文。
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    103358001
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103358001
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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