| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo, Wei-Yu | en_US |
| dc.contributor.author (Authors) | 李書萱 | zh_TW |
| dc.contributor.author (Authors) | Lee, Shu-Hsuan | en_US |
| dc.creator (作者) | 李書萱 | zh_TW |
| dc.creator (作者) | Lee, Shu-Hsuan | en_US |
| dc.date (日期) | 2019 | en_US |
| dc.date.accessioned | 7-Aug-2019 15:52:01 (UTC+8) | - |
| dc.date.available | 7-Aug-2019 15:52:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Aug-2019 15:52:01 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G1073510101 | en_US |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=143111 | - |
| 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) | 1073510101 | zh_TW |
| dc.description.abstract (摘要) | This paper investigates into target volatility strategy applied to ishare MSCI World ETF by the method of Dachraoui (2018). We keep the volatility to a target volatility and use corresponding risk exposure to manage portfolio. When the volatility is high/low, the exposure is low/high. We find that the negative covariance of the realized volatility and the risk-adjusted excess returns is an important factor which may affect TVS is workable or not. Only under the condition of negative covariance, we can conclude an effective TVS. | en_US |
| dc.description.tableofcontents | Table of Contents\n1 Introduction 1\n2 Empirical Methodology 4\n2.1 The Method of Dachraoui (2018) 4\n2.2 The Method of Moreira and Muir (2017) 6\n2.3 The Method of Liu, Tang, and Zhou (2018) 8\n3 Data & Empirical Result 9\n3.1 About Data 9\n3.2 Empirical Result 11\n3.3 Robustness Checks 12\n3.4 Study Limitation 15\nConclusion 16\nReference 17 | zh_TW |
| dc.format.extent | 1132893 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G1073510101 | en_US |
| dc.subject (關鍵詞) | 目標波動 | zh_TW |
| dc.subject (關鍵詞) | 管理波動 | zh_TW |
| dc.subject (關鍵詞) | 波動策略 | zh_TW |
| dc.subject (關鍵詞) | TVS | en_US |
| dc.subject (關鍵詞) | Target volatility strategy | en_US |
| dc.subject (關鍵詞) | Volatility strategy | en_US |
| dc.subject (關鍵詞) | Volatility management | en_US |
| dc.title (題名) | 目標波動策略－以MSCI World ETF 為例 | zh_TW |
| dc.title (題名) | Target Volatility Strategies for MSCI World ETF | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | DeMiguel, V., Garlappi, L., & Uppal, R. 2007. Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?. The review of Financial studies, 22(5):\n1915-1953.\nChaves, D., Hsu, J., Li, F., & Shakernia, O. 2011. Risk parity portfolio vs. other asset allocation heuristic portfolios. Journal of Investing, 20(1): 108.\nDachraoui, K. 2018. On the optimality of target volatility strategies. The Journal of Portfolio Management, 44(5): 58-67.\nHocquard, A., Ng, S., & Papageorgiou, N. 2013. A constant-volatility framework for managing tail risk. The Journal of Portfolio Management, 39(2): 28-40.\nDopfel, F. E., & Ramkumar, S. R. 2013. Managed volatility strategies: applications to investment policy. Journal of Portfolio Management, 40(1): 27.\nLiu, F., Tang, X., & Zhou, G. 2018. Volatility-Managed Portfolio: Does It Really Work?. Available at SSRN 3283395.\nMoreira, A., & Muir, T. 2017. Volatility‐Managed Portfolios. The Journal of Finance, 72(4): 1611-1644. | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU201900187 | en_US |
