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https://ah.lib.nccu.edu.tw/handle/140.119/111463| 題名: | 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 |
作者: | 于孟玉 Yu, Meng Yu |
貢獻者: | 黃泓智 于孟玉 Yu, Meng Yu |
關鍵詞: | 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 |
日期: | 2017 | 上傳時間: | 31-Jul-2017 | 摘要: | 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。\n 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。 | 參考文獻: | 許偉倫，2011。穩健型投資組合建構與回溯測試之探討。碩士論文。\n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。\nAbarbanell, J. S., &Bushee, B. J. (1998). Abnormal returns to a fundamental analysis strategy. Accounting Review, 19-45.\nArtzner, P., F. Delbaen, J. Eber, and D. Health, (1999), Coherent measure of Risk. Mathematical Finance, Vol.2, pp.95-121.\nBrianton, G. (1998). Portfolio optimization. Risk Management and Financial Derivatives: A Guide to the Mathematics, 1st edition, Palgrave (trade), 4, 39-44.\nBrinson, G. P., Singer, B. D., &Beebower, G. L. (1991). Determinants of portfolio performance II: An update. Financial Analysts Journal, 40-48.\nDeMiguel, V., & Nogales, F. J. (2009). Portfolio selection with robust estimation. Operations Research, 57(3), 560-577.\nGraham, B., & Dodd, D. L. (1934). Security analysis: Principles and technique. McGraw-Hill.\nGrubel, H. G. (1968). Internationally diversified portfolios: welfare gains and capital flows. The American Economic Review, 58(5), 1299-1314.\nLedoit, O., & Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of empirical finance, 10(5), 603-621.\nLev, B., &Thiagarajan, S. R. (1993). Fundamental information analysis. Journal of Accounting research, 190-215.\nLi, D., & Ng, W. L. (2000). Optimal dynamic portfolio selection: Multiperiod mean‐variance formulation. Mathematical Finance, 10(3), 387-406.\nMarkowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.\nOu, J. A., & Penman, S. H. (1989). Financial statement analysis and the prediction of stock returns. Journal of accounting and economics, 11(4), 295-329.\nPflug, G. C. (2000). Some remarks on the value-at-risk and the conditional value-at-risk. In Probabilistic constrained optimization (pp. 272-281). Springer US.\nRockafellar, R. &Uryasev, S. (2000). Optimization of conditional value-at-risk. The Journal of Risk, 2(3), 21–41.\nRousseeuw, P. J. (1985). Multivariate estimation with high breakdown point. Mathematical statistics and applications, 8, 283-297.\nRousseeuw, P. & Van Driessen, K. (1999). A fast algorithm for the minimumcovariance determinant estimator. Technometrics, 41, 212–223.\nRousseeuw, P., Croux, C., Todorov, V., Ruckstuhl, A., Salibian-Barrera, M., Verbeke, T., & Maechler, M. (2008). The robustbase package: Basic Robust Statistics. cran.r-project.org. \nSchaefer, J., Opgen-Rhein, R., & Strimmer, K. (2008). The corpcor package:Efficient Estimation of Covariance and (Partial) Correlation. cran.r-project.org.\nSloan, R. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting review, 71(3), 289-315.\nVenables, W. N. & Ripley, B. D. (2008). The MASS Package. cran.r-project.org. | 描述: | 碩士 國立政治大學 風險管理與保險學系 104358017 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0104358017 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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