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題名 資產配置策略研究—以新興市場為例
Asset Allocation Strategies Analysis — Evidence from 26 countries in the emerging markets作者 王靖怡
Wang, Jing-Yi貢獻者 林靖庭
王靖怡
Wang, Jing-Yi關鍵詞 風險平價
資產配置
投資組合策略
風險基礎投資組合
最大風險分散投資組合
等量風險貢獻度投資組合
Risk Parity
Asset Allocation
Portfolio Strategies
Variance Models
Risk-based Strategies
Most Diversified Portfolios
Equally Weighted Risk Contribution Portfolios日期 2021 上傳時間 1-Jul-2021 17:49:34 (UTC+8) 摘要 新興市場提供投資人一個具有潛力的投資機會，但是其自身的因素卻嚴重地影響投資新興市場的投資報酬，如其政治因素、經濟條件、產業發展、政策導向等，都會深深地影響當地股市表現，因此，本研究針對新興市場的資產配置方法進行探討，目的是尋找出適合應用在新興市場的資產配置策略。樣本分為三組資料，分別為主要新興國家的股價指數、資訊科技產業、金融產業，運用14種的資產配置方法來建構投資組合，計算投資組合的超額報酬與夏普比率來衡量績效，並且以1/N方法作為基準，透過個別檢定來判斷投資組合策略的績效優劣。結果指出，僅有利用變異數建構投資組合的模型( Variance Models )表現優於基準策略( the 1/N rule )，此類型的模型包含最大風險分散投資組合( The Most Diversified portfolio )、等量風險貢獻度投資組合( Equally Weighted Risk Contribution Portfolio )等。顯示出在面對波動相對較大的新興國家股市，應採用控制風險的模型，以達到投資組合最佳的效果。
Emerging markets have provided a great investment opportunity for investors in recent years, but their own factors seriously affect the performance of investing in their capital markets. Therefore, this study discusses the asset allocation strategies in emerging markets and aims to find out the most appropriate strategy for investors.The data includes three groups, namely the stock indexes in emerging countries, the information technology industry, and the financial industry, and 14 asset allocation methods are used to construct investment portfolios. Alpha of the investment portfolios and Sharpe ratio are calculated to measure performance. Then, we perceive the 1/N rule as a benchmark strategy to compare the effectiveness of the portfolio strategies through individual tests.The results point out that variance models outperform the benchmark strategy (the 1/N rule). Variance models include the most diversified portfolio and equally weighted risk contribution portfolio, etc. It shows that in the face of relatively volatile stock markets, a risk-based model should be adopted to manage the stocks in emerging markets.參考文獻 Best, M.J., Grauer, R.R., 1991. On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results. The Review of Financial Studies, 4, 315–342.Carhart, M., 1997. On persistence in mutual fund performance. The Journal of Finance, 52, 57–82.Choueifaty, Y., Coignard, Y., 2008. Toward maximum diversification. The Journal of Portfolio Management, 35 (1), 40–51.Clarke R.G., de Silva H. and Thorley S., 2013. Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective. The Journal of Portfolio Management, 39, 39–53.DeMiguel, V., Garlappi, L., Nogales, F.J., Uppal, R., 2009a. A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Management Science, 55 (5), 798–812.DeMiguel, V., Garlappi, L., Uppal, R., 2009b. Optimal versus naive diversification: How inefficient is the portfolio strategy. The Review of Financial Studies, 12, 937–974.DeMiguel, V., Nogales, F.J., Uppal, R., 2014. Stock return serial dependence and out- -of-sample portfolio performance. The Review of Financial Studies, 27, 1031–1073.Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stock and bonds. Journal of Financial Economics, 33, 3–56.Foster, Dean P., and Dan B. Nelson, 1996. Continuous record asymptotics for rolling sample variance estimators. Econometrica, 64, 139–174.James, W., Stein, C., 1961. Estimation with quadratic loss. In: Proceedings of the 4th Berkeley Symposium on Probability and Statistics, 1, 361–379.Jobson, J.D., Korkie, B., 1980. Estimation for Markowitz efficient portfolios. The Journal of the American Statistical Association, 75, 544–554.Jobson, J.D., Korkie, B., 1981. Putting Markowitz theory to work. The Journal of Portfolio Management, 8, 70–74.Jorion, P., 1985. International portfolio diversification with estimation risk. The Journal of Business58, 259–278.Jorion, P., 1986. Bayes-Stein estimation for portfolio analysis. Journal of Financial and Quantitative Analysis, 21, 279–292.Fleming, J, Kirby, C., Ostdiek, B., 2001a. The economic value of volatility timing. The Journal of Finance, 56, 329–352.Fleming, J, Kirby, C., Ostdiek, B., 2001b. The economic value of volatility timing using “realized” volatility. Journal of Financial Economics, 67, 473–509.Hansen, P.R., 2005. A test for superior predictive ability. Journal of Business and Economic Statistics, 23, 365–380.Hsu, P.H., Kuan, C.M, 2005. Reexamining the profitability of technical analysis with data snooping checks. Journal of Financial Econometrics, 3, 606–628.Markowitz, H.M., 1952. Portfolio selection. The Journal of Finance, 7, 77–91.Michaud, R.O., 1989. The Markowitz optimization enigma: Is the optimized optimal? Financial Analysts Journal, 45, 31–42.MacKinlay, A.C., Pastor, L., 2000. Asset pricing models: Implications for expected returns and portfolio selection. The Review of Financial Studies, 13, 883-916.Maillard, S., Roncalli, T., Teiletche, J., 2010. On the properties of equally-weighted risk contributions portfolios. The Journal of Portfolio Management, 36 (4), 60–70.Hsu, P.-H., Han, Q., Wu, W., Cao, Z., 2018, Asset allocation strategies, data snooping, and the 1 / N rule. Journal of Banking and Finance, 97, 257–269Politis, D.N., Romano, J.P., 1994. The stationary bootstrap. Journal of the American Statistical Association, 89, 1303–1313.Roberto Violi and Enrico Camerini, 2016. Emerging Market Portfolio Strategies, Investment Performance, Transaction Cost and Liquidity Risk. Bank of Italy Occasional Paper.Stein, C., 1955. Inadmissibility of the usual estimator for the mean of a multivariate normal distribution. In: 3rd Berkeley Symposium on Probability and Statistics, 1, 197–206.Kirby, C., Ostdiek, B., 2012. It’s all in the timing: simple active portfolio strategies that outperform naive diversification. Journal of Financial and Quantitative Analysis, 47 (2), 437–467.Qian, E., 2006. On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up. Journal of Investment Management, Vol. 4, No. 4, 41–51.Wei, L., James, W.K., Huang, J.H., 2012. A new asset pricing model based on the zero-beta: Theory and evidence. SSRN No. 2022351. 描述 碩士
國立政治大學
金融學系
108352002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108352002 資料類型 thesis dc.contributor.advisor 林靖庭 zh_TW dc.contributor.author (Authors) 王靖怡 zh_TW dc.contributor.author (Authors) Wang, Jing-Yi en_US dc.creator (作者) 王靖怡 zh_TW dc.creator (作者) Wang, Jing-Yi en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-Jul-2021 17:49:34 (UTC+8) - dc.date.available 1-Jul-2021 17:49:34 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2021 17:49:34 (UTC+8) - dc.identifier (Other Identifiers) G0108352002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135936 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 108352002 zh_TW dc.description.abstract (摘要) 新興市場提供投資人一個具有潛力的投資機會，但是其自身的因素卻嚴重地影響投資新興市場的投資報酬，如其政治因素、經濟條件、產業發展、政策導向等，都會深深地影響當地股市表現，因此，本研究針對新興市場的資產配置方法進行探討，目的是尋找出適合應用在新興市場的資產配置策略。樣本分為三組資料，分別為主要新興國家的股價指數、資訊科技產業、金融產業，運用14種的資產配置方法來建構投資組合，計算投資組合的超額報酬與夏普比率來衡量績效，並且以1/N方法作為基準，透過個別檢定來判斷投資組合策略的績效優劣。結果指出，僅有利用變異數建構投資組合的模型( Variance Models )表現優於基準策略( the 1/N rule )，此類型的模型包含最大風險分散投資組合( The Most Diversified portfolio )、等量風險貢獻度投資組合( Equally Weighted Risk Contribution Portfolio )等。顯示出在面對波動相對較大的新興國家股市，應採用控制風險的模型，以達到投資組合最佳的效果。 zh_TW dc.description.abstract (摘要) Emerging markets have provided a great investment opportunity for investors in recent years, but their own factors seriously affect the performance of investing in their capital markets. Therefore, this study discusses the asset allocation strategies in emerging markets and aims to find out the most appropriate strategy for investors.The data includes three groups, namely the stock indexes in emerging countries, the information technology industry, and the financial industry, and 14 asset allocation methods are used to construct investment portfolios. Alpha of the investment portfolios and Sharpe ratio are calculated to measure performance. Then, we perceive the 1/N rule as a benchmark strategy to compare the effectiveness of the portfolio strategies through individual tests.The results point out that variance models outperform the benchmark strategy (the 1/N rule). Variance models include the most diversified portfolio and equally weighted risk contribution portfolio, etc. It shows that in the face of relatively volatile stock markets, a risk-based model should be adopted to manage the stocks in emerging markets. en_US dc.description.tableofcontents 1. Introduction 12. Literature Review 62.1 Risk-based Portfolio Theory 62.2 Strategies of portfolio construction 72.3 Empirical Analysis 83. Data and Sample 93.1 Data 94. Methodology 164.1 Basic Assumption 164.2 Constructing Process 174.2.1 Benchmark Strategy 194.2.2 Variance Models 194.2.3 Reward-to-Risk Timing Strategies 224.2.4 Traditional strategies 234.2.5 Bayes-Stein Shrinkage Strategy 244.2.6 Asset Pricing Models 254.3 Test methodology 274.3.1 Transaction Costs 284.3.2 Performance Evaluation 294.3.3 Individual Tests 304.3.4 Tests for data-snooping bias 305. Empirical Analysis 335.1 Descriptive Statistics of Portfolio Return 335.1.1 26MSCI 335.1.2 10IT 355.1.3 20FIN 365.2 Performance of Strategies and Individual Tests 385.2.1 Performance of Strategies 385.2.2 Individual Tests 425.3 Performance of portfolio strategies controlling for data-snooping bias 446. Discussion 447. Conclusion 49Reference 51 zh_TW dc.format.extent 1100142 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108352002 en_US dc.subject (關鍵詞) 風險平價 zh_TW dc.subject (關鍵詞) 資產配置 zh_TW dc.subject (關鍵詞) 投資組合策略 zh_TW dc.subject (關鍵詞) 風險基礎投資組合 zh_TW dc.subject (關鍵詞) 最大風險分散投資組合 zh_TW dc.subject (關鍵詞) 等量風險貢獻度投資組合 zh_TW dc.subject (關鍵詞) Risk Parity en_US dc.subject (關鍵詞) Asset Allocation en_US dc.subject (關鍵詞) Portfolio Strategies en_US dc.subject (關鍵詞) Variance Models en_US dc.subject (關鍵詞) Risk-based Strategies en_US dc.subject (關鍵詞) Most Diversified Portfolios en_US dc.subject (關鍵詞) Equally Weighted Risk Contribution Portfolios en_US dc.title (題名) 資產配置策略研究—以新興市場為例 zh_TW dc.title (題名) Asset Allocation Strategies Analysis — Evidence from 26 countries in the emerging markets en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Best, M.J., Grauer, R.R., 1991. On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results. The Review of Financial Studies, 4, 315–342.Carhart, M., 1997. On persistence in mutual fund performance. The Journal of Finance, 52, 57–82.Choueifaty, Y., Coignard, Y., 2008. Toward maximum diversification. The Journal of Portfolio Management, 35 (1), 40–51.Clarke R.G., de Silva H. and Thorley S., 2013. Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective. The Journal of Portfolio Management, 39, 39–53.DeMiguel, V., Garlappi, L., Nogales, F.J., Uppal, R., 2009a. A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms. Management Science, 55 (5), 798–812.DeMiguel, V., Garlappi, L., Uppal, R., 2009b. Optimal versus naive diversification: How inefficient is the portfolio strategy. The Review of Financial Studies, 12, 937–974.DeMiguel, V., Nogales, F.J., Uppal, R., 2014. Stock return serial dependence and out- -of-sample portfolio performance. The Review of Financial Studies, 27, 1031–1073.Fama, E.F., French, K.R., 1993. Common risk factors in the returns on stock and bonds. Journal of Financial Economics, 33, 3–56.Foster, Dean P., and Dan B. Nelson, 1996. Continuous record asymptotics for rolling sample variance estimators. Econometrica, 64, 139–174.James, W., Stein, C., 1961. Estimation with quadratic loss. In: Proceedings of the 4th Berkeley Symposium on Probability and Statistics, 1, 361–379.Jobson, J.D., Korkie, B., 1980. Estimation for Markowitz efficient portfolios. The Journal of the American Statistical Association, 75, 544–554.Jobson, J.D., Korkie, B., 1981. Putting Markowitz theory to work. The Journal of Portfolio Management, 8, 70–74.Jorion, P., 1985. International portfolio diversification with estimation risk. The Journal of Business58, 259–278.Jorion, P., 1986. Bayes-Stein estimation for portfolio analysis. Journal of Financial and Quantitative Analysis, 21, 279–292.Fleming, J, Kirby, C., Ostdiek, B., 2001a. The economic value of volatility timing. The Journal of Finance, 56, 329–352.Fleming, J, Kirby, C., Ostdiek, B., 2001b. The economic value of volatility timing using “realized” volatility. Journal of Financial Economics, 67, 473–509.Hansen, P.R., 2005. A test for superior predictive ability. Journal of Business and Economic Statistics, 23, 365–380.Hsu, P.H., Kuan, C.M, 2005. Reexamining the profitability of technical analysis with data snooping checks. Journal of Financial Econometrics, 3, 606–628.Markowitz, H.M., 1952. Portfolio selection. The Journal of Finance, 7, 77–91.Michaud, R.O., 1989. The Markowitz optimization enigma: Is the optimized optimal? Financial Analysts Journal, 45, 31–42.MacKinlay, A.C., Pastor, L., 2000. Asset pricing models: Implications for expected returns and portfolio selection. The Review of Financial Studies, 13, 883-916.Maillard, S., Roncalli, T., Teiletche, J., 2010. On the properties of equally-weighted risk contributions portfolios. The Journal of Portfolio Management, 36 (4), 60–70.Hsu, P.-H., Han, Q., Wu, W., Cao, Z., 2018, Asset allocation strategies, data snooping, and the 1 / N rule. Journal of Banking and Finance, 97, 257–269Politis, D.N., Romano, J.P., 1994. The stationary bootstrap. Journal of the American Statistical Association, 89, 1303–1313.Roberto Violi and Enrico Camerini, 2016. Emerging Market Portfolio Strategies, Investment Performance, Transaction Cost and Liquidity Risk. Bank of Italy Occasional Paper.Stein, C., 1955. Inadmissibility of the usual estimator for the mean of a multivariate normal distribution. In: 3rd Berkeley Symposium on Probability and Statistics, 1, 197–206.Kirby, C., Ostdiek, B., 2012. It’s all in the timing: simple active portfolio strategies that outperform naive diversification. Journal of Financial and Quantitative Analysis, 47 (2), 437–467.Qian, E., 2006. On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up. Journal of Investment Management, Vol. 4, No. 4, 41–51.Wei, L., James, W.K., Huang, J.H., 2012. A new asset pricing model based on the zero-beta: Theory and evidence. SSRN No. 2022351. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100559 en_US
