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論文名稱 Title |
投資組合建構方法論配合等風險貢獻策略以台灣加權指數為例 Portfolio Construction Methodology with the Equally-Weighted Risk Contribution Strategy─Evidence from Taiwan Weighted Index |
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系所名稱 Department |
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畢業學年期 Year, semester |
語文別 Language |
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學位類別 Degree |
頁數 Number of pages |
108 |
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研究生 Author |
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指導教授 Advisor |
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召集委員 Convenor |
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口試委員 Advisory Committee |
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口試日期 Date of Exam |
2012-06-23 |
繳交日期 Date of Submission |
2012-07-20 |
關鍵字 Keywords |
風險貢獻、套利投資組合、最小追蹤誤差投資組合、全集合標竿、部分集合標竿 risk contribution, arbitrage portfolio, minimum tracking error portfolio, partial sample, full sample |
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統計 Statistics |
本論文已被瀏覽 5830 次,被下載 192 次 The thesis/dissertation has been browsed 5830 times, has been downloaded 192 times. |
中文摘要 |
市場上,馬可維茲(Markowitz)的平均數-變異數分析架構廣受投資人的青睞,,但它在實際操作上仍遇到了嚴重的問題。更穩定且不依賴預期報酬的投資方式顯然更會被一些投資人所喜愛。因此,本研究選用近幾年提出不需仰賴預期報酬假說的等風險貢獻投資組合 (ERC)建構方式,觀察其風險和報酬特性,及適合的使用時機,並選擇台灣五十和台灣加權指數為標竿。為了有比較上的基礎,我們選用常見的另外兩種投資組合建構方法:最小變異數(MVP)和等權重(EW)投資組合。 ERC風險和報酬特點表現出折衷於MVP和EW特性之間。ERC不會有MVP權重集中於某幾項資產上的問題,同時考慮資產之間邊際風險的關係並以此為基準,調整各資產的最適權重,使投資組合中任何單一資產的風險貢獻都不會超越其他資產,且對總風險不會有太大的影響。 除此之外,為在風險控制和獲取更多超額報酬之間取得平衡並達到投資組合增值的目的,我們加入套利投資組合的概念,調整最適化過程中得到的ERC權重;為滿足被動式基金的要求和降低追蹤誤差的目的,我們納入最小追蹤誤差投資組合,與ERC以適當的權重做線性組合。 從台灣五十和台灣加權指數的例子中,我們推測影響ERC績效表現的兩個關鍵因素是:(1)標竿指數是全集合或是部分集合 (2)標竿指數可否完全複製。如果我們的標竿指數是像台灣五十一樣的部分集合,可以從各方面指標看出ERC投資組合超越標竿指數表現的情形發生,甚至當市場趨勢向下時還能提供某種程度上的抗跌能力;反之,全集合則沒有上述情形。 |
Abstract |
Even though the framework of mean-variance analysis is convincing, in practice, investors encounter serious drawbacks. Understandably, a more stable and rather simple method to make investment decisions without depending on the expected returns would obviously be preferred by some investors. In this study, we adopt a newly proposed equally-weighted risk contribution portfolio (ERC), without the assumption of expected returns, in order to observe its risk and return, as well as the timing of use compared to different benchmarks, the Taiwan 50 index (TWN50) and Taiwan weighted index (Y9997). For comparison, we adopt the other two commonly used methods, the minimum variance portfolio (MVP) and the equal weight portfolio (EW). It is interesting to observe the ERC’s risk and return profile because, similar to the EW, it invests in every asset in a portfolio while adjusting weights to consider the marginal risk between each component. Therefore, no individual asset’s risk contribution is dominated by an other and they all have the same risk contribution. In addition, to strike a balance between risk control and pursuing excess return, we incorporate arbitrage portfolios into the standard ERC portfolio; to satisfy the standard of the passive funds, we combine the minimum tracking error portfolio with the standard ERC portfolio by a specific ratio. From the TWN50 and the Y9997 cases, we presume that the problem relating to whether or not the benchmark is a full sample or a partial sample and whether it’s replicable, affects the performance of the ERC. If our benchmark is a partial sample like the TWN50, the ERC strategy can outperform the benchmark and even provides some degree of defensive ability when the market trend is down. |
目次 Table of Contents |
I. INTRODUCTION 1 1.1 RESEARCH BACKGROUND 1 1.2 RESEARCH PURPOSE AND RESEARCH TOPICS 3 II. LITERATURE REVIEW 6 2.1 MODERN PORTFOLIO THEORY 6 2.2 OPTIMAL ALPHA MODEL 10 2.3 PORTFOLIO CONSTRUCTION METHOD 11 III. RESEARCH METHODOLOGY 14 3.1 ALPHA MODEL 14 3.2 MFRM MODEL 17 3.3 EQUALLY-WEIGHTED RISK CONTRIBUTION STRATEGY 20 3.4 DETERMINING THE STOCK POOL 23 3.5 MINIMUM TRACKING ERROR PORTFOLIO 26 3.6 ARBITRAGE PORTFOLIO 29 3.7 TURNOVER RATE AND PORTFOLIO PERFORMANCE EVALUATION 31 3.8 THE FLOW CHART OF THE STUDY 32 IV. EMPRICAL STUDY 33 4.1 DATA 33 4.2 SAMPLE 34 4.3 EMPIRICAL RESULTS 35 V. CONCLUSION AND SUGGESTIONS 92 5.1 CONCLUSION 92 5.2 SUGGESTIONS FOR FURTHER RESEARCH 95 REFERENCES 97 |
參考文獻 References |
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