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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/76435
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dc.contributor.advisor黃泓智zh_TW
dc.contributor.advisorHuang, Hong Chihen_US
dc.contributor.author陳怡如zh_TW
dc.contributor.authorChen, I Juen_US
dc.creator陳怡如zh_TW
dc.creatorChen, I Juen_US
dc.date2015en_US
dc.date.accessioned2015-07-13T03:09:34Z-
dc.date.available2015-07-13T03:09:34Z-
dc.date.issued2015-07-13T03:09:34Z-
dc.identifierG0102358010en_US
dc.identifier.urihttp://nccur.lib.nccu.edu.tw/handle/140.119/76435-
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.description102358010zh_TW
dc.description102zh_TW
dc.description.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。\r\n　　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。zh_TW
dc.description.tableofcontents目 錄 I\r\n表目錄 II\r\n圖目錄 IV\r\n第壹章 緒論 1\r\n第一節 研究背景與動機 1\r\n第二節 研究目的 2\r\n第三節 研究流程 3\r\n第貳章 文獻探討 5\r\n第一節 股價報酬決定因素之文獻探討 5\r\n第二節 技術指標之文獻探討 6\r\n第三節 資產模型之文獻探討 7\r\n第四節 關聯結構之文獻探討 10\r\n第參章 理論基礎 12\r\n第一節 財務報表指標 12\r\n第二節 股票評分指標 14\r\n第三節 技術指標 15\r\n第四節 資產模型 19\r\n第五節 蒙地卡羅法 21\r\n第肆章 研究方法 23\r\n第一節 資產選擇 23\r\n第二節 資產模型 26\r\n第伍章 實證結果 30\r\n第一節 資料說明與處理 30\r\n第二節 技術指標之最適化權重 31\r\n第三節 投資組合績效分析 32\r\n第陸章 結論與未來研究 55\r\n第一節 結論 55\r\n第二節 未來研究 57\r\n參考文獻 58\r\n附錄 61zh_TW
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0102358010en_US
dc.subjectASKSRzh_TW
dc.subject技術指標zh_TW
dc.subject多元Gaussian Copulazh_TW
dc.subject效用函數zh_TW
dc.subject資產配置zh_TW
dc.title以技術分析指標建構台灣股票市場最適資產配置zh_TW
dc.titleThe Optimal Asset Allocation According to Technical Indicators in Taiwan Stock Marketen_US
dc.typethesisen
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