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博碩士論文 etd-0524113-044902 詳細資訊
Title page for etd-0524113-044902
Copula-GARCH於資產配置之運用: 以黃金、原油、棉花、股票及債券為例
An Application of Copula-GARCH on Asset Allocation: A Case for Gold, Oil, Cotton, Stock, and Bond
Year, semester
Number of pages
Chun-Hua Tang
Advisory Committee
Wei-Che Tsai
Date of Exam
Date of Submission
Dependence Structure, Investment Portfolio, Copula-GARCH
本論文已被瀏覽 5734 次,被下載 619
The thesis/dissertation has been browsed 5734 times, has been downloaded 619 times.
This paper applied Copula-GARCH methodology for asset allocation of a portfolio with commodities, including, gold, oil, cotton, stock, and bond. We used GARCH(1,1)-student- t to fit the marginal distribution. Instead of correlation, we applied Copula to capture the dependence structure between assets, and solved the optimal weight by minimizing CVaR, standard deviation, or maxing Mean-Variance, or CRRA utility function.
In this study, we found that it is optimal to invest in future 10 days based on the historical data of the past 126 days. We constructed portfolios for investors with different degree of risk aversion. The empirical results showed that the less risk aversive, the higher both portfolio performance and volatility is. Finally, we observed the change of weights between assets. The stock primarily constituted the portfolio before 2008. During the period of financial tsunami, the proportion of bond and gold grew up significantly. After 2009, commodities played an important role in portfolio.
目次 Table of Contents
第一章、緒論 1
第一節、研究背景及動機 1
第二節、研究目的 3
第二章、文獻回顧 4
第一節、投資組合理論 4
第二節、Copula之相關運用 4
第三節、原物料商品之相關研究 5
第三章、研究方法 8
第一節、Copula理論 8
第二節、多變量Copula模型 10
第三節、Copula-GARCH 11
第四節、決策準則 12
第五節、資產選取 13
第四章、實證分析 17
第一節、資料描述 17
第二節、投資組合效益分析-樣本期間選取 19
第五節、投資組合效益分析-t Copula 26
參考文獻 32
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