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 Title: 以技術分析指標建構台灣股票市場最適資產配置The Optimal Asset Allocation According to Technical Indicators in Taiwan Stock Market Authors: 陳怡如Chen, I Ju Contributors: 黃泓智Huang, Hong Chih陳怡如Chen, I Ju Keywords: ASKSR技術指標多元Gaussian Copula效用函數資產配置 Date: 2015 Issue Date: 2015-07-13 11:09:34 (UTC+8) Abstract: 本研究以2006年至2015年4月30日台灣股票市場所有上市櫃股票為樣本，首先利用每季公布之財務報表，以市值、股票月週轉率、每股盈餘、股東權益報酬率、本益比等六項指標作為第一階段篩選股票之準則。接著進行第二階段之股票篩選，先透過ASKSR篩選出現最好之兩倍投資組合數的股票後，再透過計算其技術指標總分篩選出符合投資組合數的股票。選好股票後再由多元Gaussian Copula-GARCH(1,1)-t與元Gaussian Copula-GJR(1,1)-t模型進行估計並以蒙地卡羅法模擬，藉由CRRA效用函數、mean-variance效用函數、Sharpe ratio、CARA效用函數最適化權重來投資。樣本期間內採Rolling window方式不斷調整投資組合直到結束。 　　本論文欲探討結合財務資訊指標、股票評分指標與技術指標去選股，並嘗試比較以多元Gaussian-Copula-GARCH(1,1)-t資產模型與多元Gaussian-Copula-GJR(1,1)-t資產模型進行資產配置之效果，希望達到穩健獲利的效果。 Reference: Ait-Sahalia, Yacine, and Michael W Brandt. 2001. Variable selection for portfolio choice: National Bureau of Economic Research. Ang, Andrew, and Joseph Chen. 2002. Asymmetric correlations of equity portfolios. 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