| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo, Wei Yu | en_US |
| dc.contributor.author (Authors) | 陳慶安 | zh_TW |
| dc.contributor.author (Authors) | Chen, Ching An | en_US |
| dc.creator (作者) | 陳慶安 | zh_TW |
| dc.creator (作者) | Chen, Ching An | en_US |
| dc.date (日期) | 2017 | en_US |
| dc.date.accessioned | 3-Jul-2017 14:33:54 (UTC+8) | - |
| dc.date.available | 3-Jul-2017 14:33:54 (UTC+8) | - |
| dc.date.issued (上傳時間) | 3-Jul-2017 14:33:54 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0104351033 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/110644 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易學系 | zh_TW |
| dc.description (描述) | 104351033 | zh_TW |
| dc.description.abstract (摘要) | 本研究利用元大台灣50 ETF作為樣本資料，檢測2006年至2016年實證期間風險基礎指數和市值加權指數所分別建構的投資組合，其績效表現、風險表現、分散性表現的優劣性；其中Choueifaty, Froidure, and Reynier (2011) 所建構的最佳風險分散投資組合 (most diversified portfolio) 為近年來新起的風險基礎指數投資組合，我們將證實在獲得良好的投資組合分散性同時，如同其他的風險基礎指數投資組合的目標，同時也能獲得超越以追蹤市值加權指數為標的的投資組合績效。 本研究以夏普比率、信息比率、阿爾法作為衡量績效的指標；以標準差、貝他作為風險衡量的指摽；另以Choueifaty and Coignard (2008) 提出的分散性比率作為分散性衡量的指標。實證結果顯示，在整體實證期間，最佳風險分散投資組合在績效、風險、分散性的指標上皆有超越市值加權指數投資組合的能力，再以年為單位的個別期間，其績效衡量上大致優於市值加權指數投資組合，風險和分散性衡量上則優於市值加權指數投資組合的表現，但論以其整體表現，並非為本研究所提出的風險基礎指數投資組合中最佳者，因此投資人在選擇該類投資組合策略時，建議從該投資組合過去表現中判斷，選擇符合自己投資習慣者為之。 | zh_TW |
| dc.description.abstract (摘要) | This article examines the performance, risks and diversification of different types of portfolio strategies such as risk-based indexes and cap-weighted index during 2006- 2016. We introduce the recent most diversified portfolio (MDP), which was proposed by Choueifaty, Froidure, and Reynier (2011) and find the result that like the goal of other risk-based portfolios, which is to improve the risk-return profile of cap-weighted portfolio, MDP surpasses overall performance, risks and diversification compared to cap-weighted portfolio while achieving diversification. We use Sharpe ratio, information ratio and alpha as the performance indicators, use standard deviation, beta as the risk indicators, and adopt diversification ratio (DR), which was proposed by Choueifaty and Coignard (2008), as the diversification indicator in our analysis. The results of this study show that MDP surpasses overall performance, risks and diversification compared to cap-weighted portfolio in the full empirical period. In addition, MDP is generally superior to cap-weighted portfolios in terms of performance in many single years of the whole period, and completely beat cap-weighted portfolios in terms of risks and diversification in every single year of the whole period. Although the ability of exceeding cap-weighted portfolio, MDP do not win first place of mentioned risk-based portfolios in our research. As a result, we suggest investors choose their portfolio strategies refer to its past performance, risks and diversification, and select the best according to their investment preference. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究背景與動機 1第二節 研究架構 2第二章 文獻探討 3第一節 投資組合模型回顧 3第二節 聰明貝他文獻回顧 4第三節 替代性指數文獻回顧 5第四節 風險基礎指數 9一、 最小變異數投資組合 (minimum variance portfolio, MVP) 9二、 等權重投資組合 (equally-weighted portfolio, EWP) 10三、 最佳風險分散投資組合 (most diversified portfolio, MDP) 11第三章 研究方法 12第一節 名詞定義 12一、 基本變數 12二、 投資組合相關變數 13三、 其他基本變數 14第二節 投資組合績效衡量指標介紹 15一、 績效衡量指標 15二、 風險衡量指標 16三、 分散性比率 (Diversification Ratio, ) 17第三節 最佳風險分散投資組合之個股權重分配說明 19第四章 實證研究 21第一節 資料描述 21一、 樣本資料與來源 21二、 樣本資料修正 21三、 換股日說明 22四、 市值股價加權投資組合調整說明 23五、 期間年化資料說明 23六、 無風險利率說明 24第二節 實證結果分析 25第五章 結論 39參考文獻 41附錄 44 | zh_TW |
| dc.format.extent | 3578821 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0104351033 | en_US |
| dc.subject (關鍵詞) | 最佳風險分散投資組合 | zh_TW |
| dc.subject (關鍵詞) | 分散性比率 | zh_TW |
| dc.subject (關鍵詞) | 風險基礎指數 | zh_TW |
| dc.subject (關鍵詞) | 聰明貝他 | zh_TW |
| dc.subject (關鍵詞) | Most diversified portfolio | en_US |
| dc.subject (關鍵詞) | Diversification ratio | en_US |
| dc.subject (關鍵詞) | Risk-based indexation | en_US |
| dc.subject (關鍵詞) | Smart Beta | en_US |
| dc.title (題名) | 最佳風險分散投資組合在台灣股票市場之應用—以元大台灣卓越50基金為例 | zh_TW |
| dc.title (題名) | Application of most diversified portfolio in Taiwan stock market- Yuanta/P-shares Taiwan Top 50 ETF | en_US |
| dc.type (資料類型) | thesis | en_US |
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