Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/32579


Title: 成長基金的最佳化模型
Optimization Models for the Growth Portfolio
Authors: 王靜亮
Wang,Ching Liang
Contributors: 劉明郎
Liu,Ming Long
王靜亮
Wang,Ching Liang
Keywords: 目標規劃
大中取小原則
goal programming
mini-max principle
Date: 2006
Issue Date: 2009-09-17 13:47:15 (UTC+8)
Abstract: 本論文提出數個線性規劃模型建立成長基金的投資組合。目標函數皆以目標規劃方式呈現。第一個模型採用追蹤與成長差距最小的原則。第二個模型改採用大中取小原則。第三個模型則考慮時間因素對於投資組合的影響,修正第一個模型加入時間參數。最後以台灣上市股票市場作為實證分析對象,探討三組模型之表現。
This thesis presents three linear programming models for selection of the growth portfolio based on historical data. The objective functions of these models are described by goal programming. The first model employs the principle of minimizing the deviation of the value-increasing index. The second model employs the mini-max principle. The third model is derived from the first model and includes the timing effect of historical data during construction of portfolio. The computational results and performance are illustrated by modeling with realistic data from the Taiwan stock market.
Reference: Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA (1988).
IBM, Optimization Subroutine Library Guide and Reference Relese 2, Kingston, NY, Third Edition, (1991).
Konno, H. and H. Yamazaki, Mean absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37, 519-531 (1991).
Markowitz, H., Portfolio selection, Journal of Finance 7, 77-91 (1952).
Meade, N. and G. R. Salkin, Index funds-Construction and performance measurement, Journal of the operational research society 40, 871-879 (1989).
Sang M. Lee and Delton L. Chesser, Goal programming for portfolio selection, The journal of portfolio management Spring, 22-26 (1980).
Sharpe, W. F., A linear programming algorithm for mutual fund portfolio selection, Management Science 13, 499-510 (1967).
Sharpe, W. F., A linear programming approximation for the general portfolio analysis problem, Journal of financial and quantitative analysis December, 1263-1275 (1971).
Speranza, M. G., Linear programming model for portfolio optimization, Finance 14, 107-123 (1993).
Speranza, M. G., A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Computers and Operations research 23, 433-441 (1996).
Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683(1998).
Xia, Y., B. Liu, S. Wang, and K.K. Lai, A model for portfolio selection with order of expected returns, Computers and Operations research 27, 409-422 (2000).
呂建鴻,考量下層風險的最佳投資組合,國立政治大學應用數學研究所碩士論文(民91)。
羅際夫,買共同基金學習地圖,早安財經文化有限公司(民91)。
Description: 碩士
國立政治大學
應用數學研究所
93751013
95
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093751013
Data Type: thesis
Appears in Collections:[應用數學系] 學位論文

Files in This Item:

File Description SizeFormat
75101301.pdf61KbAdobe PDF723View/Open
75101302.pdf78KbAdobe PDF692View/Open
75101303.pdf75KbAdobe PDF664View/Open
75101304.pdf91KbAdobe PDF788View/Open
75101305.pdf104KbAdobe PDF1504View/Open
75101306.pdf154KbAdobe PDF821View/Open
75101307.pdf125KbAdobe PDF741View/Open
75101308.pdf228KbAdobe PDF801View/Open
75101309.pdf85KbAdobe PDF756View/Open
75101310.pdf52KbAdobe PDF748View/Open
75101311.pdf358KbAdobe PDF714View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing