Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/57553
題名: CoVaR在資產配置下之應用
An Application of CoVaR on Asset Allocation
作者: 藍婉如
貢獻者: 陳威光<br>郭維裕
藍婉如
關鍵詞: CoVaR
資產配置
日期: 2011
上傳時間: 1-Apr-2013
摘要: 金融市場中個別資產的風險感染效果越趨嚴重,使得傳統資產配置理論下的投資組合面臨極大的虧損。有鑑於此,若能在投資組合模型中納入考量此種擴散效果,將可更加分散風險以增進投資組合的效率性,並進一步降低投資組合面臨極端虧損的可能性。因此,要如何納入此一風險擴散效果,以在良好的風險控管下進行資產配置,將可能遭受的損失降至最低,是本論文主要探討的問題。\n本研究延伸Adrian, Brunnermeierz (2009) CoVaR的概念,納入考量系統性風險因素,透過CoVaR模型衡量系統性風險擴散時,造成個別標的資產報酬率變動的程度,並將Markowitz的效率前緣加以改良,建構更具效率性的Mean-CoVaR資產配置模型,以計算新的最適配置權重與最適投資組合。此外,本研究也就Mean-CoVaR資產配置模型與傳統Markowitz(1952)所提出的Mean-Variance模型進行探討與比較。\n綜合本研究之實證結果,Mean-Variance模型雖然能使投資組合報酬率的波動度最小,但在面臨極端系統性風險下,其績效表現卻不如Mena-CoVaR模型所建構出的投資組合;因此,在傳統的Mean-Variance模型下,若能以CoVaR取代Variance所建構出新的Mean-CoVaR投資組合模型,納入大盤風險可能的擴散效果下,將可有效降低投資組合在大盤崩跌時的虧損程度,以維持較佳的投資績效。
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描述: 碩士
國立政治大學
金融研究所
99352016
100
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0099352016
資料類型: thesis
Appears in Collections:學位論文

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