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Title: 以財務報表資訊為台灣股票市場建構最適資產配置
The Optimal Asset Allocation According to Financial Statement Information in Taiwan Stock Market
Authors: 蘇嘉雄
Sou, Ka Hong
Contributors: 黃泓智
Sou, Ka Hong
Keywords: 財務報表
financial statement
stock rank index
asset model
equally-weighted strategy
Date: 2013
Issue Date: 2014-08-12 14:03:03 (UTC+8)
Abstract: 本論文以1998年1月至2014年2月台灣股票市場上市、櫃股票作為投資標的,首先利用每季公布之財務報表,以市值、股票月週轉率、負債比率、EPS、ROE及本益比等六項指標篩選股票,並根據ASKSR股票評分指標將股票排序,選出前n檔股票作為投資標的。研究使用樣本內資料估計出多元Gaussian-Copula-GJR(1,1)-t資產模型的參數、以它產生多組資產組合報酬的預測,藉由CRRA效用函數、Mean-Variance效用函數、Sharpe ratio效用函數及CARA效用函數最適化權重進行投資。研究發現使用GJR(1,1)-t模型、ASKSR股票評分指標、10天調整投資組合一次及CARA (λ=1) 效用函數下,投資組合不論在期末淨值或整段投資期間的績效上,都優於等權重投資策略。
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