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https://ah.lib.nccu.edu.tw/handle/140.119/68534| 題名: | 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 |
作者: | 蘇嘉雄 Sou, Ka Hong |
貢獻者: | 黃泓智 蘇嘉雄 Sou, Ka Hong |
關鍵詞: | 財務報表 股票評分指標 資產模型 等權重投資策略 financial statement stock rank index asset model equally-weighted strategy |
日期: | 2013 | 上傳時間: | 12-Aug-2014 | 摘要: | 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。 | 參考文獻: | [1] 陳炫羽. “Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation. ” National Chengchi University, 2013\n\n[2] 孫博辰. “ Dynamic asset allocation with regime-switching Copula. ” National Chengchi University, 2012\n\n[3] A. Patton, 2006. Modelling asymmetric exchange rate dependence, international economic review 47, 527-556.\n\n[4] Andrew Ang & Geert Bekaert, 2002a, 2002b. International asset allocation with regime shiftes.\n\n[5] Ang. A., and J. 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資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0101358033 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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