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題名 亞太市場與加密貨幣的多元化投資組合
Diversified Portfolio in Asia-Pacific Market and Cryptocurrencies
作者 許漢斌
Hsu, Han-Pin
貢獻者 郭維裕
Kuo, Wei-yu
許漢斌
Hsu, Han-Pin
關鍵詞 加密貨幣
亞太市場
投資組合多元化
等權重投資組合（equally-weighted portfolio, EW）
最小變異數投資組合（minimum variance portfolio, MVP）
最佳風險分散投資組合（most diversified portfolio, MDP）
最大夏普比率投資組合（maximum Sharpe ratio portfolio, MSRP）
Cryptocurrency
Asia-Pacific Market
Portfolio Diversification
Equally-Weighted Portfolio (EW)
Minimum Variance Portfolio (MVP)
Most Diversified Portfolio (MDP)
Maximum Sharpe Ratio Portfolio (MSRP)
日期 2023
上傳時間 6-Jul-2023 16:32:04 (UTC+8)
摘要 自從2009年比特幣（BTC）正式上線以後，加密貨幣在全球的風潮只增不減，儼然已經成為了投資組合中一種重要的資產，但加密貨幣在2022年發生許多大事，像是LUNA幣崩潰、FTX交易所倒閉等，深深影響到亞太地區的加密貨幣投資人，因此本研究想透過加密貨幣及亞太地區的股價指數，進行投資組合分析，觀察在不同投資組合下，其績效表現及風險情形，提供亞太地區投資人未來在加密貨幣與傳統資產配置上有所依據，以避免當這兩種市場其一崩潰時，造成巨大的投資損失。而本研究選取市值前幾大的加密貨幣，包含比特幣（BTC）、以太幣（ETH）、瑞波幣（XRP）及萊特幣（LTC），實證期間為2017年到2023年間，分別運用最小變異數投資組合、最佳風險分散投資組合、最大夏普比率投資組合及等權重投資組合。最終研究發現，在夏普比率方面，最大夏普比率投資組合的表現最好，其次是最佳風險分散投資組合，但在報酬率的表現上，等權重投資組合提供最好的績效表現，甚至超越其他投組合數倍，最後在風險層面上，最小變異數投資組合有最低風險的表現，但其報酬卻也相當不理想。加密貨幣的加入確實可以提高投資組合的報酬，尤其像是2021年加密貨幣市場相當熱烈時，但同時風險控管上也需要多加注意，透過動態調整投資組合資產配置，才能符合個人對於風險及報酬的需求。
Since the official launch of Bitcoin（BTC）in 2009, the trend of cryptocurrencies has only grown, becoming an essential asset in portfolios. However, the collapse of LUNA and the closure of the FTX exchange in 2022 have profoundly affected cryptocurrency investors in the Asia-Pacific region. Consequently, we aim to conduct a portfolio analysis using cryptocurrencies and stock price indices in the Asia-Pacific region, observing the performance and risk under different portfolios. We select the top few cryptocurrencies by market capitalization, including Bitcoin（BTC）, Ethereum（ETH）, Ripple（XRP）, and Litecoin（LTC）, with an empirical period from 2017 to 2023. Various portfolios are applied, including the minimum variance portfolio（MVP）, the most diversified portfolio（MDP）, the maximum Sharpe ratio portfolio（MSRP）, and the equally-weighted portfolio（EW）. We find that, in terms of the Sharpe ratio, the MSRP performs the best. However, in terms of returns, the EW provides the best performance, surpassing the other portfolios by several times. Lastly, in terms of risk, the MVP shows the lowest risk, but its returns are relatively unsatisfactory. The inclusion of cryptocurrencies can indeed enhance the return of the portfolios, especially during a heated cryptocurrency market like in 2021. However, risk control needs to be taken into account. Only through dynamic adjustment of portfolio asset allocation can the individual`s need for risk and return be met.
參考文獻 李振婷，2015，最小變異數投資組合在台灣股市之運用。
     陳慶安，2017，最佳風險分散投資組合在台灣股票市場之應用—以元大台灣卓越50基金為例。
     Bedi, Prateek, and Tripti Nashier, 2020, On the investment credentials of Bitcoin: A cross-currency perspective, Research in International Business and Finance 51.
     Bitget, Inc, 2023, Bitget Study Reveals 46% of Millennials Across Major Countries own Cryptocurrencies, Retrieved May 15, 2023, from https://www.bitget.com/en/blog/articles/bitget-study-reveals-forty-six-percent-of-millennials-across-major-countries-own-cryptocurrencies
     Bouri, Elie, Peter Molnár, Georges Azzi, David Roubaud, and Lars Ivar Hagfors, 2017, On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters 20, 192-198.
     Brandt, Michael W., and Pedro Santa-Clara, 2006, Dynamic Portfolio Selection by Augmenting the Asset Space, Journal of Finance 61, 2187-2217.
     Chen, Conghui, and Lanlan Liu, 2022, How effective is China`s cryptocurrency trading ban? Finance Research Letters 46.
     Cheng, Hui-Pei, and Kuang-Chieh Yen, 2020, The relationship between the economic policy uncertainty and the cryptocurrency market, Finance Research Letters 35.
     Choueifaty, Yves, and Yves Coignard, 2008, Toward Maximum Diversification, Journal of Portfolio Management 35, 40-51.
     Choueifaty, Yves, Tristan Froidure, and Julien Reynier, 2011, Properties of the Most Diversified Portfolio, Journal of Investment Strategies 2, 49-70.
     Clarke, Roger G, Harindra de Silva, and Steven Thorley, 2013, Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective, Journal of Portfolio Management 39, 39-53.
     Corbet, Shaen, Greg Hou, Yang Hu, Charles James Larkin, Brian M. Lucey, and Les Oxley, 2022, Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic, Finance Research Letters 45.
     DeMiguel, Victor, Lorenzo Garlappi, and Raman Uppal, 2009, Optimal versus Naive Diversification: How Efficient is the 1/N Portfolio Strategy, Review of Financial Studies 22, 1915–1953.
     Driessen, Joost, and Laeven Luc, 2007, International portfolio diversification benefits: Cross-country evidence from a local perspective, Journal of Banking & Finance 31,  1693-1712.
     Dunis, Christian L, and Gary Shannon, 2005, Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit? Journal of Asset Management 6, 168-190.
     Dyhrberg, Anne Haubo, 2016, Bitcoin, gold and the dollar – A GARCH volatility analysis, Finance Research Letters 16, 85-92.
     Elton, Edwin J., and Martin J. Gruber, 1977, Risk Reduction and Portfolio Size: An Analytical Solution, Journal of Business 50, 415-37.
     Fama, Eugene F., and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465.
     Fan, Qingliang, Ruike Wu, Yanrong Yang, and Wei Zhong, 2022, Time-varying minimum variance portfolio, Journal of Econometrics.
     Fang, Fan, Carmine Ventre, Michail Basios, Leslie Kanthan, K., David Martinez-Rego, Fan Wu, and Lingbo Li, 2022, Cryptocurrency trading: a comprehensive survey, Financial Innovation 8.
     Grinold, Richard C., 1989, The Fundamental Law of Active Management, Journal of Portfolio Management 15, 30-37.
     Hsu, Jason C., 2004, Cap-Weighted Portfolios Are Sub-optimal Portfolios.
     Jagannathan, Ravi, and Tongshu Ma, 2003, Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps, Journal of Finance 58, 1651-1683.
     Khaki, Audil Rashid, Somar Al-Mohamad, Ammar Jreisat, Fadia Al-Hajj, Mustafa Raza Rabbani, 2022, Portfolio diversification of MENA markets with cryptocurrencies: Mean-variance vs higher-order moments approach, Scientific African 17.
     Khaki, Audil, Mason Prasad, Somar Al-Mohamad, Walid Bakry, and Xuan Vinh Vo, 2023, Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough? Research in International Business and Finance 64.
     Kircher, Felix, and Daniel Rösch, 2021, A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks, Journal of Banking & Finance 133.
     Liu, Weiyi, 2019, Portfolio diversification across cryptocurrencies, Finance Research Letters 29, 200-205.
     Liu, Yukun, Aleh Tsyvinski, and Xi Wu, 2022, Common Risk Factors in Cryptocurrency,  Journal of Finance 77, 1133-1177.
     Liu, Yukun, and Aleh Tsyvinski, 2018, Risks and Returns of Cryptocurrency, Technical Report, National Bureau of Economic Research, Cambridge.
     Lo, Andrew W., 2002, The Statistics of Sharpe Ratios, Financial Analysts Journal 58, 36–52.
     Markowitz, Harry, 1952, Portfolio Selection, Journal of Finance 7, 77-91.
     Michaud, Richard O., 1989, The Markowitz Optimization Enigma: Is `Optimized` Optimal? Financial Analysts Journal 45, 31-42.
     Nakamoto, Satoshi, 2008, Bitcoin: A Peer-to-Peer Electronic Cash System, Retrieved May 15, 2023, from https://bitcoin.org/bitcoin.pdf
     Perold, André F., 2007, Fundamentally Flawed Indexing, Financial Analysts Journal 63, 31-37.
     Qiu, Tianyi, Ruidong Zhang, and Yuan Gao, 2019, Ripple vs. SWIFT: Transforming Cross Border Remittance Using Blockchain Technology, Procedia Computer Science 147, 428-434.
     Shahzad, Syed Jawad Hussain, Elie Bouri, David Roubaud, Ladislav Kristoufek, and Brian Lucey, 2019, Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis 63, 322-330.
     Sharpe, William F., 1966, Mutual fund performance, Journal of Business, 39, 119-138.
     Swade, Alexander, Sandra Nolte (Lechner), Mark B. Shackleton, and Harald Lohre, 2022, Why Do Equally Weighted Portfolios Beat Value-Weighted Ones? Journal of Portfolio Management 49, 167–187.
     Trimborn, Simon, and Wolfgang Karl Härdle, 2016, CRIX an Index for Blockchain Based Currencies, Journal of Empirical Finance 49, 107-122.
描述 碩士
國立政治大學
國際經營與貿易學系
110351037
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351037
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Wei-yuen_US
dc.contributor.author (Authors) 許漢斌zh_TW
dc.contributor.author (Authors) Hsu, Han-Pinen_US
dc.creator (作者) 許漢斌zh_TW
dc.creator (作者) Hsu, Han-Pinen_US
dc.date (日期) 2023en_US
dc.date.accessioned 6-Jul-2023 16:32:04 (UTC+8)-
dc.date.available 6-Jul-2023 16:32:04 (UTC+8)-
dc.date.issued (上傳時間) 6-Jul-2023 16:32:04 (UTC+8)-
dc.identifier (Other Identifiers) G0110351037en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145788-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 110351037zh_TW
dc.description.abstract (摘要) 自從2009年比特幣（BTC）正式上線以後，加密貨幣在全球的風潮只增不減，儼然已經成為了投資組合中一種重要的資產，但加密貨幣在2022年發生許多大事，像是LUNA幣崩潰、FTX交易所倒閉等，深深影響到亞太地區的加密貨幣投資人，因此本研究想透過加密貨幣及亞太地區的股價指數，進行投資組合分析，觀察在不同投資組合下，其績效表現及風險情形，提供亞太地區投資人未來在加密貨幣與傳統資產配置上有所依據，以避免當這兩種市場其一崩潰時，造成巨大的投資損失。而本研究選取市值前幾大的加密貨幣，包含比特幣（BTC）、以太幣（ETH）、瑞波幣（XRP）及萊特幣（LTC），實證期間為2017年到2023年間，分別運用最小變異數投資組合、最佳風險分散投資組合、最大夏普比率投資組合及等權重投資組合。最終研究發現，在夏普比率方面，最大夏普比率投資組合的表現最好，其次是最佳風險分散投資組合，但在報酬率的表現上，等權重投資組合提供最好的績效表現，甚至超越其他投組合數倍，最後在風險層面上，最小變異數投資組合有最低風險的表現，但其報酬卻也相當不理想。加密貨幣的加入確實可以提高投資組合的報酬，尤其像是2021年加密貨幣市場相當熱烈時，但同時風險控管上也需要多加注意，透過動態調整投資組合資產配置，才能符合個人對於風險及報酬的需求。zh_TW
dc.description.abstract (摘要) Since the official launch of Bitcoin（BTC）in 2009, the trend of cryptocurrencies has only grown, becoming an essential asset in portfolios. However, the collapse of LUNA and the closure of the FTX exchange in 2022 have profoundly affected cryptocurrency investors in the Asia-Pacific region. Consequently, we aim to conduct a portfolio analysis using cryptocurrencies and stock price indices in the Asia-Pacific region, observing the performance and risk under different portfolios. We select the top few cryptocurrencies by market capitalization, including Bitcoin（BTC）, Ethereum（ETH）, Ripple（XRP）, and Litecoin（LTC）, with an empirical period from 2017 to 2023. Various portfolios are applied, including the minimum variance portfolio（MVP）, the most diversified portfolio（MDP）, the maximum Sharpe ratio portfolio（MSRP）, and the equally-weighted portfolio（EW）. We find that, in terms of the Sharpe ratio, the MSRP performs the best. However, in terms of returns, the EW provides the best performance, surpassing the other portfolios by several times. Lastly, in terms of risk, the MVP shows the lowest risk, but its returns are relatively unsatisfactory. The inclusion of cryptocurrencies can indeed enhance the return of the portfolios, especially during a heated cryptocurrency market like in 2021. However, risk control needs to be taken into account. Only through dynamic adjustment of portfolio asset allocation can the individual`s need for risk and return be met.en_US
dc.description.tableofcontents 第一章 緒論 1
     第一節 研究背景與動機 1
     第二節 研究架構 2
     第二章 文獻探討 4
     第一節 加密貨幣的發展與各國研究方向之探討 4
     第二節 亞太市場與加密貨幣的關係 7
     第三節 多元化投資組合的理論探討 9
     第三章 研究方法 11
     第一節 風險基礎指數 11
     一、 等權重投資組合（Equally-Weighted Portfolio, EW） 11
     二、 最小變異數投資組合（Minimum Variance Portfolio, MVP） 12
     三、 最佳風險分散投資組合（Most Diversified Portfolio, MDP） 14
     四、 最大夏普比率投資組合（Maximum Sharpe Ratio Portfolio, MSRP） 15
     第二節 投資組合績效衡量指標介紹 17
     一、 夏普比率（Sharpe Ratio） 17
     二、 資訊比率（Information Ratio, IR） 18
     第四章 實證研究 19
     第一節 資料描述 19
     一、 樣本資料、來源及修正 19
     二、 權重轉換日說明 21
     第二節 實證結果分析 22
     一、 資產報酬相關性分析 22
     二、 一元成長情形與市場分析 29
     三、 四種投資組合的報酬、風險與夏普值 37
     四、 資產權重分析 42
     五、 四種投資組合的資訊比率 47
     第五章 結論 48
     參考文獻 51
     附錄 55		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351037en_US
dc.subject (關鍵詞) 加密貨幣zh_TW
dc.subject (關鍵詞) 亞太市場zh_TW
dc.subject (關鍵詞) 投資組合多元化zh_TW
dc.subject (關鍵詞) 等權重投資組合（equally-weighted portfolio, EW）zh_TW
dc.subject (關鍵詞) 最小變異數投資組合（minimum variance portfolio, MVP）zh_TW
dc.subject (關鍵詞) 最佳風險分散投資組合（most diversified portfolio, MDP）zh_TW
dc.subject (關鍵詞) 最大夏普比率投資組合（maximum Sharpe ratio portfolio, MSRP）zh_TW
dc.subject (關鍵詞) Cryptocurrencyen_US
dc.subject (關鍵詞) Asia-Pacific Marketen_US
dc.subject (關鍵詞) Portfolio Diversificationen_US
dc.subject (關鍵詞) Equally-Weighted Portfolio (EW)en_US
dc.subject (關鍵詞) Minimum Variance Portfolio (MVP)en_US
dc.subject (關鍵詞) Most Diversified Portfolio (MDP)en_US
dc.subject (關鍵詞) Maximum Sharpe Ratio Portfolio (MSRP)en_US
dc.title (題名) 亞太市場與加密貨幣的多元化投資組合zh_TW
dc.title (題名) Diversified Portfolio in Asia-Pacific Market and Cryptocurrenciesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 李振婷，2015，最小變異數投資組合在台灣股市之運用。
     陳慶安，2017，最佳風險分散投資組合在台灣股票市場之應用—以元大台灣卓越50基金為例。
     Bedi, Prateek, and Tripti Nashier, 2020, On the investment credentials of Bitcoin: A cross-currency perspective, Research in International Business and Finance 51.
     Bitget, Inc, 2023, Bitget Study Reveals 46% of Millennials Across Major Countries own Cryptocurrencies, Retrieved May 15, 2023, from https://www.bitget.com/en/blog/articles/bitget-study-reveals-forty-six-percent-of-millennials-across-major-countries-own-cryptocurrencies
     Bouri, Elie, Peter Molnár, Georges Azzi, David Roubaud, and Lars Ivar Hagfors, 2017, On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters 20, 192-198.
     Brandt, Michael W., and Pedro Santa-Clara, 2006, Dynamic Portfolio Selection by Augmenting the Asset Space, Journal of Finance 61, 2187-2217.
     Chen, Conghui, and Lanlan Liu, 2022, How effective is China`s cryptocurrency trading ban? Finance Research Letters 46.
     Cheng, Hui-Pei, and Kuang-Chieh Yen, 2020, The relationship between the economic policy uncertainty and the cryptocurrency market, Finance Research Letters 35.
     Choueifaty, Yves, and Yves Coignard, 2008, Toward Maximum Diversification, Journal of Portfolio Management 35, 40-51.
     Choueifaty, Yves, Tristan Froidure, and Julien Reynier, 2011, Properties of the Most Diversified Portfolio, Journal of Investment Strategies 2, 49-70.
     Clarke, Roger G, Harindra de Silva, and Steven Thorley, 2013, Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective, Journal of Portfolio Management 39, 39-53.
     Corbet, Shaen, Greg Hou, Yang Hu, Charles James Larkin, Brian M. Lucey, and Les Oxley, 2022, Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic, Finance Research Letters 45.
     DeMiguel, Victor, Lorenzo Garlappi, and Raman Uppal, 2009, Optimal versus Naive Diversification: How Efficient is the 1/N Portfolio Strategy, Review of Financial Studies 22, 1915–1953.
     Driessen, Joost, and Laeven Luc, 2007, International portfolio diversification benefits: Cross-country evidence from a local perspective, Journal of Banking & Finance 31,  1693-1712.
     Dunis, Christian L, and Gary Shannon, 2005, Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit? Journal of Asset Management 6, 168-190.
     Dyhrberg, Anne Haubo, 2016, Bitcoin, gold and the dollar – A GARCH volatility analysis, Finance Research Letters 16, 85-92.
     Elton, Edwin J., and Martin J. Gruber, 1977, Risk Reduction and Portfolio Size: An Analytical Solution, Journal of Business 50, 415-37.
     Fama, Eugene F., and Kenneth R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465.
     Fan, Qingliang, Ruike Wu, Yanrong Yang, and Wei Zhong, 2022, Time-varying minimum variance portfolio, Journal of Econometrics.
     Fang, Fan, Carmine Ventre, Michail Basios, Leslie Kanthan, K., David Martinez-Rego, Fan Wu, and Lingbo Li, 2022, Cryptocurrency trading: a comprehensive survey, Financial Innovation 8.
     Grinold, Richard C., 1989, The Fundamental Law of Active Management, Journal of Portfolio Management 15, 30-37.
     Hsu, Jason C., 2004, Cap-Weighted Portfolios Are Sub-optimal Portfolios.
     Jagannathan, Ravi, and Tongshu Ma, 2003, Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps, Journal of Finance 58, 1651-1683.
     Khaki, Audil Rashid, Somar Al-Mohamad, Ammar Jreisat, Fadia Al-Hajj, Mustafa Raza Rabbani, 2022, Portfolio diversification of MENA markets with cryptocurrencies: Mean-variance vs higher-order moments approach, Scientific African 17.
     Khaki, Audil, Mason Prasad, Somar Al-Mohamad, Walid Bakry, and Xuan Vinh Vo, 2023, Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough? Research in International Business and Finance 64.
     Kircher, Felix, and Daniel Rösch, 2021, A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks, Journal of Banking & Finance 133.
     Liu, Weiyi, 2019, Portfolio diversification across cryptocurrencies, Finance Research Letters 29, 200-205.
     Liu, Yukun, Aleh Tsyvinski, and Xi Wu, 2022, Common Risk Factors in Cryptocurrency,  Journal of Finance 77, 1133-1177.
     Liu, Yukun, and Aleh Tsyvinski, 2018, Risks and Returns of Cryptocurrency, Technical Report, National Bureau of Economic Research, Cambridge.
     Lo, Andrew W., 2002, The Statistics of Sharpe Ratios, Financial Analysts Journal 58, 36–52.
     Markowitz, Harry, 1952, Portfolio Selection, Journal of Finance 7, 77-91.
     Michaud, Richard O., 1989, The Markowitz Optimization Enigma: Is `Optimized` Optimal? Financial Analysts Journal 45, 31-42.
     Nakamoto, Satoshi, 2008, Bitcoin: A Peer-to-Peer Electronic Cash System, Retrieved May 15, 2023, from https://bitcoin.org/bitcoin.pdf
     Perold, André F., 2007, Fundamentally Flawed Indexing, Financial Analysts Journal 63, 31-37.
     Qiu, Tianyi, Ruidong Zhang, and Yuan Gao, 2019, Ripple vs. SWIFT: Transforming Cross Border Remittance Using Blockchain Technology, Procedia Computer Science 147, 428-434.
     Shahzad, Syed Jawad Hussain, Elie Bouri, David Roubaud, Ladislav Kristoufek, and Brian Lucey, 2019, Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis 63, 322-330.
     Sharpe, William F., 1966, Mutual fund performance, Journal of Business, 39, 119-138.
     Swade, Alexander, Sandra Nolte (Lechner), Mark B. Shackleton, and Harald Lohre, 2022, Why Do Equally Weighted Portfolios Beat Value-Weighted Ones? Journal of Portfolio Management 49, 167–187.
     Trimborn, Simon, and Wolfgang Karl Härdle, 2016, CRIX an Index for Blockchain Based Currencies, Journal of Empirical Finance 49, 107-122.		zh_TW