Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/136284
題名: 以範數懲罰函數建構之投資組合實證研究:以新冠肺炎區間為例
Empirical study on portfolio which constructed by Norm Penalty Function: Taking the COVID-19 Interval as an Example
作者: 蔡宛廷
Tsai, Wan-Ting
貢獻者: 顏佑銘
Yen, Yu-Min
蔡宛廷
Tsai, Wan-Ting
關鍵詞: 加權懲罰範數
最小變異數投資組合
納斯達克100指數
新冠肺炎
Weighted-Norm Penalty
Minimum Variance Portfolio
NASDAQ 100 Index
COVID-19
日期: 2021
上傳時間: 4-Aug-2021
摘要: 在新冠肺炎疫情期間,因為投資人對未來預期恐慌,造成各國股市波動,其中以美國尤甚。同時,我們得知範數懲罰函數在控制投資組合權重的同時,可以增加投資組合權重的稀疏性並適當管理極端權重問題。因此本研究希望探討範數懲罰函數所建構的加權範數最小變異數投資組合,在新冠肺炎疫情期間是否也能透過管理權重,提高自身管理風險的能力並具有較穩定的表現。本研究亦將同時探討其他投資組合在不同期間之中,何者將會具備較平穩的表現。\n\n本研究使用美國納斯達克100指數作為實證研究的樣本資料,並比較加權範數最小變異數投資組合、1/N投資組合、限制賣空最小變異數投資組合與全域最小變異數投資組合分別在疫情期間與全樣本期間的表現差異。\n\n研究結果顯示,加權範數最小變異數投資組合,於全樣本期間會因為變動資產權重而導致績效表現減弱,但是其卻在新冠肺炎疫情期間裡,因為適當地控制風險、調整權重,故有更穩定的績效表現,並且在有設立目標報酬限制的條件下表現更是優異,設定的目標報酬與績效表現呈現正比關係。
Global stock market, especially America’s stock market, went vulnerable during COVID-19 period. Meanwhile, from previous research, we knew that Weighted-Norm Penalty can increase the sparsity in the portfolio weight. Therefore, this research discusses whether Weighted-Norm Minimum Variance Portfolio can control risk and have better performance in COVID-19 period. Moreover, this research also discusses several kinds of portfolio: How are their performance? How are their ability of controlling risk?\n\nThe research data is NASDAQ 100 Index. The research measures performance of Weighted-Norm Minimum Variance Portfolio, No-Shortsale Minimum Variance Portfolio, Equally-Weighted Portfolio and Global Minimum Variance Portfolio separately in COVID-19 period and in whole sample period.\n\nThe research comes out two principal results. First, Weighted-Norm Minimum Variance Portfolio doesn’t have better performance in whole sample period since higher frequency of adjusting assets’ weight in the portfolio. However, Weighted-Norm Minimum Variance Portfolio with target return constraint does have the best performance in COVID-19 period.
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描述: 碩士
國立政治大學
國際經營與貿易學系
109351010
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109351010
資料類型: thesis
Appears in Collections:學位論文

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