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Title: 以技術指標建構市場指標投資台灣股票市場
The Optimal Asset Allocation in Taiwan Stock Market: Using Technical Analysis as Market Indicator
Authors: 賴欣沅
Lai, Hsin Yuan
Contributors: 黃泓智
Lai, Hsin Yuan
Keywords: 技術指標
Regular Vine Copula
Technical Indicator
Combined Signal Approach
Asset Allocation
Regular Vine Copula
Date: 2015
Issue Date: 2015-07-13 11:09:49 (UTC+8)
Abstract: 許多新興風險隨著金融市場的變化而產生,以致於發生許多大型金融災害造成許多金融產業蒙受鉅額損失。而於金融市場尋求利潤已是金融產業重要的一環,有鑑於此,本論文提出ㄧ套完整的資產配置流程,利用技術指標建構綜合信號指標作為市場指標再選擇投資資產並估計、模擬、最適化投資權重並投資,以達到規避大型金融事件風險並獲取超額利潤。本論文亦嘗試不同股票評分指標、股票資產模型、結構模型、投資組合大小等組合,以找出最適合台灣股票支股票評分指標、資產模型以及投資組合大小。
本論文發現綜合信號指標作為市場指標可有效判讀金融事件的發生與結束時間,經由此指標判斷可獲得相當的超額利潤。本論文亦發現當投資組合為5支股票、資產模型為GJR GARCH(1,1)模型、相關結構型態為多元高斯Copula時可獲得超額利潤。
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Description: 碩士
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Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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