Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/99343


Title: 以基本面分析建構最適資產配置流程
Using Fundamental Analysis To Construct The Optimal Asset Allocation Process
Authors: 蕭鈞銓
Contributors: 黃泓智
蕭鈞銓
Keywords: 基本面分析
比例交集法
資產配置
夏普指標
時間序列
GARCH
Date: 2016
Issue Date: 2016-07-20 17:17:32 (UTC+8)
Abstract: 於現今經濟情勢混沌不明,令人想起價值投資的投資策略方法,期望
在任何環境下,只要篩選出的股票是具有獲益潛力,則可趁勢進場,獲取
超額收益。本論文嘗試以基本面分析為主體建構三步驟的資產配置流程。
第一步驟使用比例交集法進行資產選擇,而多因子方法通常比單因子所篩
選的報酬率更優異,且加上月營收成長率作為篩選條件其報酬率更是亮眼。
再者,第二步驟透過風控管指標選股發現,當採用 GSR 做為資產選擇的條件時,可達到最佳的表現。最後於最適權重的配置之中,資產模型及目標函數會因為不同的資產組合而有不同的效果,其中,當 FCFY(0.1) &
ROA(0.2)加上月營收成長率20%做為篩選條件並使用GSR進行二次篩選後,使用 ARMA(1,1)-GARCH(1,1)且目標函數為最大化夏普指標時可達最大報酬。
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Description: 碩士
國立政治大學
風險管理與保險研究所
103358001
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103358001
Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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