Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/111463


Title: 以基本面與投資組合理論建構台灣股票市場最適資產配置
Using fundamental analysis with portfolio theory to construct the optimal asset allocation in Taiwan stock market
Authors: 于孟玉
Yu, Meng Yu
Contributors: 黃泓智
于孟玉
Yu, Meng Yu
Keywords: 投資組合理論
MV模型
MCVaR模型
共變異數估計
Portfolio theory
MV model
MCVaR model
Covariance estimator
Date: 2017
Issue Date: 2017-07-31 11:01:26 (UTC+8)
Abstract:   台灣現在已進入高齡化社會,該怎麼在退休前為自己累積一份財富為一重要議題,而以往許多研究都只針對不同類型資產進行資產配置分析,因此本研究便對於其中的股票進行投資組合的配置。首先透過個股篩選,利用基本面財報單因子以及財務特徵指標找出具有潛力的個股,再根據馬可維茲投資組合理論,找出在平均數-變異數投資組合模型(Mean-Variance Portfolio Model;MV模型)與平均數-條件風險值(Mean-Conditional Value at Risk Portfolio Model;MCVaR模型)下的最適投資組合與最小風險投資組合,並透過不同穩健共變異數估計方法來改善樣本變異數估計的偏誤,希望能藉由此資產配置策略達到良好的投資績效。
  研究結果發現透過基本面選股後,不論是MV模型或MCVaR模型在資產配置上都有良好的效果,與等權重投資組合相比甚至可以達到兩倍的績效,而穩健共變異數估計中以Shrink估計表現最為優異,且發現MCD與MVE估計並不是一個能夠改善樣本估計的良好方法,最後提出最適投資組合在獲利性財務指標篩股下有最好的績效,夏普比率為1.4544,而最小風險投資組合在品質性財務指標篩股下有最好的績效,夏普比率為1.7933。
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盧泰源,2016。最適化Smart Beta 策略組合型基金之應用—以台灣股票市場之交易策略研究。碩士論文。
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Description: 碩士
國立政治大學
風險管理與保險學系
104358017
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104358017
Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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