| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo, Wei-Yu | en_US |
| dc.contributor.author (作者) | 張瑋珊 | zh_TW |
| dc.contributor.author (作者) | Chang, Wei-Shan | en_US |
| dc.creator (作者) | 張瑋珊 | zh_TW |
| dc.creator (作者) | Chang, Wei-Shan | en_US |
| dc.date (日期) | 2019 | en_US |
| dc.date.accessioned | 7-八月-2019 15:51:38 (UTC+8) | - |
| dc.date.available | 7-八月-2019 15:51:38 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-八月-2019 15:51:38 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G1063510231 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/124647 | - |
| 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) | 1063510231 | zh_TW |
| dc.description.abstract (摘要) | 2007、2008 年全球金融危機，金融市場大幅波動衝擊金融資產表現，市場 上逐漸將建構投資組合目標專注於如何有效控制投資組合風險下，獲得最佳收益。本研究以 Dachraoui (2018)提出之策略於台灣股票市場建立一般目標波動投 資策略並針對該策略影響因子進行調整，以觀察目標波動投資策略於台灣股票 市場之表現。 | zh_TW |
| dc.description.abstract (摘要) | After the financial crisis in 2007-2008, the component stocks of the portfoliobecome highly correlated instantly. The situation shocked the diversification effect of portfolio. Therefore, several research and investors focus on target volatilityinvestment strategies instead of pursuing expected return. In this paper, we follow the target volatility strategies of Dachraoui (2018) in Taiwan stock market. We examine its performance and compare the results of different rebalanced period. The last, we investigate the possible reasons to affect the performance of the TVS (Target Volatility Strategies) in Taiwan. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1第二章 波動型投資策略 4第一節 目標波動投資策略 4第二節 極端風險管理下的目標波動策略 6一、 模型簡介 6二、 模型應用 7第三節 波動管理投資策略 7一、 模型簡介 8第三章 實證研究分析 9第一節 資料來源 9第二節 實證結果與分析 9一、 波動持續性 9二、 報酬與波動的反向關係 10三、 目標波動投資策略 10四、 目標波動投資策略報酬分析 11五、 目標波動投資策略影響因子 12第四章 結論 18參考文獻 20 | zh_TW |
| dc.format.extent | 3137366 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G1063510231 | en_US |
| dc.subject (關鍵詞) | 波動 | zh_TW |
| dc.subject (關鍵詞) | 風險 | zh_TW |
| dc.subject (關鍵詞) | 投資組合 | zh_TW |
| dc.subject (關鍵詞) | 相關性 | zh_TW |
| dc.subject (關鍵詞) | Volatility | en_US |
| dc.subject (關鍵詞) | Risk | en_US |
| dc.subject (關鍵詞) | Correlation | en_US |
| dc.subject (關鍵詞) | Strategy | en_US |
| dc.title (題名) | 目標波動策略投資組合在台灣股票市場之表現 | zh_TW |
| dc.title (題名) | Target Volatility Strategies in Taiwan Stock Market | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | [1] Dachraoui, K. (2018). "On the Optimality of Target Volatility Strategies." Journal of Portfolio Management 44(5): 58-67.[2] Dopfel, F. E. and S. R. Ramkumar (2013). "Managed Volatility Strategies: Applications to Investment Policy." Journal of Portfolio Management 40(1): 27[3] Dybvig, P. H. (1988). "DISTRIBUTIONAL ANALYSIS OF PORTFOLIO CHOICE." Journal of Business 61(3): 369-393.[4] Hocquard, A., et al. (2013). "A Constant-Volatility Framework for Managing Tail Risk." Journal of Portfolio Management 39(2): 28-40.[5] Liu, F., et al. (2013). "Volatility-Managed Porfolio:Does It Really Work? " | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU201900190 | en_US |
