Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/32579
題名: 成長基金的最佳化模型
Optimization Models for the Growth Portfolio
作者: 王靜亮
Wang,Ching Liang
貢獻者: 劉明郎
Liu,Ming Long
王靜亮
Wang,Ching Liang
關鍵詞: 目標規劃
大中取小原則
goal programming
mini-max principle
日期: 2006
上傳時間: 17-九月-2009
摘要: 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.
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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)。
描述: 碩士
國立政治大學
應用數學研究所
93751013
95
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093751013
資料類型: thesis
Appears in Collections:學位論文

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