Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/68534| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.author | 蘇嘉雄 | zh_TW |
| dc.contributor.author | Sou, Ka Hong | en_US |
| dc.creator | 蘇嘉雄 | zh_TW |
| dc.creator | Sou, Ka Hong | en_US |
| dc.date | 2013 | en_US |
| dc.date.accessioned | 2014-08-12T06:03:03Z | - |
| dc.date.available | 2014-08-12T06:03:03Z | - |
| dc.date.issued | 2014-08-12T06:03:03Z | - |
| dc.identifier | G0101358033 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/68534 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 風險管理與保險研究所 | zh_TW |
| dc.description | 101358033 | zh_TW |
| dc.description | 102 | zh_TW |
| dc.description.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。 | zh_TW |
| dc.description.tableofcontents | 口試委員會審定書------------------------------------------------------------- (i)\n致謝------------------------------------------------------------------------------ (ii)\n摘要----------------------------------------------------------------------------- (iii)\n第一章 緒論\n1.1研究動機與目的---------------------------------------------------- (1)\n1.2研究方法及成果---------------------------------------------------- (2)\n1.3章節概要------------------------------------------------------------- (3)\n第二章 文獻回顧\n2.1股價報酬決定因素------------------------------------------------ (5)\n2.2 GARCH 文獻探討------------------------------------------------ (5)\n2.3 Copula 文獻探討-------------------------------------------------- (7)\n2.4本章小結------------------------------------------------------------ (9)\n第三章 股票型基金資產配置\n3.1證券投資基金簡介------------------------------------------------ (10)\n3.2股票型基金資產配置思考--------------------------------------- (10)\n3.3本章小結---------------------------------------------------------- (12)\n第四章 研究方法\n4.1資產選擇---------------------------------------------------------- (13)\n4.1.1第一階段資產選擇--------------------------------------- (14)\n4.1.2第二階段資產選擇--------------------------------------- (14)\n4.2 資產模型---------------------------------------------------------- (18)\n4.2.1多元Gaussian-Copula-GARCH(1,1)-t資產模型--- (19)\n4.2.2 GARCH(1,1)-t模型參數估計------------------------- (21)\n4.3蒙地卡羅方法--------------------------------------------------- (22)\n4.4市場風險中立的避險策略------------------------------------ (24)\n4.5本章小結--------------------------------------------------------- (24)\n第五章 實驗結果\n5.1資料說明--------------------------------------------------------- (25)\n5.1.1以台灣股票為投資標的-------------------------------- (25)\n5.1.2台灣股票市場買賣股票的交易成本----------------- (25)\n5.2穩健性測試------------------------------------------------------- (26)\n5.2.1 評估投資組合期末績效------------------------------- (27)\n5.2.2 評量投資組合績效------------------------------------- (39)\n5.2.3 四種評量指標的結果---------------------------------- (42)\n5.3本章小結------------------------------------------------------- (45)\n第六章 結論與展望\n6.1結論------------------------------------------------------------- (46)\n6.2展望------------------------------------------------------------- (46)\n參考文獻----------------------------------------------------------------- (48)\n附錄A--------------------------------------------------------------------- (53) | zh_TW |
| dc.format.extent | 1491503 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0101358033 | en_US |
| dc.subject | 財務報表 | zh_TW |
| dc.subject | 股票評分指標 | zh_TW |
| dc.subject | 資產模型 | zh_TW |
| dc.subject | 等權重投資策略 | zh_TW |
| dc.subject | financial statement | en_US |
| dc.subject | stock rank index | en_US |
| dc.subject | asset model | en_US |
| dc.subject | equally-weighted strategy | en_US |
| dc.title | 以財務報表資訊為台灣股票市場建構最適資產配置 | zh_TW |
| dc.title | The Optimal Asset Allocation According to Financial Statement Information in Taiwan Stock Market | en_US |
| dc.type | thesis | en |
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New evidence of asymmetric dependence structures in international equity markets, Journal of financial and quantitative analysis 43, 787-816.\n\n[41] Tim Bollerslev. “General AutoRegressive Conditional Heteroskedasticity.” Journal of Econometrics 31 (1986) 307-327. North-Holland.\n\n[42] U. Cherubini & E. Luciano, 2010. Bivariate option pricing with copulas.\n\n[43] Valeri Zakamouline, Steen Koekebakker. “Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance.” Journal of Banking & Finance 33 (2009) 1242-1254.\n\n[44] Victor DeMiguel, Lorenzo Garlappi and Raman Uppal, “Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?” Rev. Financ. Stud. (2009) 22(5): 1915-1953.\n\n[45] 賴柏成. “Constructing Portfolios According to Financial Statement Information and Copula-Garch Model in Taiwan Stock Market. ” National Sun Yat-sen University, 2013 | zh_TW |
| item.fulltext | With Fulltext | - |
| item.grantfulltext | open | - |
| item.languageiso639-1 | en_US | - |
| item.openairetype | thesis | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.cerifentitytype | Publications | - |
| Appears in Collections: | 學位論文 | |
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| 803301.pdf | 1.46 MB | Adobe PDF2 | View/Open |
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