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題名 目標波動策略－以MSCI World ETF 為例
Target Volatility Strategies for MSCI World ETF作者 李書萱
Lee, Shu-Hsuan貢獻者 郭維裕
Kuo, Wei-Yu
李書萱
Lee, Shu-Hsuan關鍵詞 目標波動
管理波動
波動策略
TVS
Target volatility strategy
Volatility strategy
Volatility management日期 2019 上傳時間 7-八月-2019 15:52:01 (UTC+8) 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. 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. 描述 碩士
國立政治大學
國際經營與貿易學系
1073510101資料來源 http://thesis.lib.nccu.edu.tw/record/#G1073510101 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (作者) 李書萱 zh_TW dc.contributor.author (作者) 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 7-八月-2019 15:52:01 (UTC+8) - dc.date.available 7-八月-2019 15:52:01 (UTC+8) - dc.date.issued (上傳時間) 7-八月-2019 15:52:01 (UTC+8) - dc.identifier (其他 識別碼) 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
