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題名 以範數懲罰函數建構之投資組合實證研究：以新冠肺炎區間為例
Empirical study on portfolio which constructed by Norm Penalty Function: Taking the COVID-19 Interval as an Example作者 蔡宛廷
Tsai, Wan-Ting貢獻者 顏佑銘
Yen, Yu-Min
蔡宛廷
Tsai, Wan-Ting關鍵詞 加權懲罰範數
最小變異數投資組合
納斯達克100指數
新冠肺炎
Weighted-Norm Penalty
Minimum Variance Portfolio
NASDAQ 100 Index
COVID-19日期 2021 上傳時間 4-Aug-2021 14:28:11 (UTC+8) 摘要 在新冠肺炎疫情期間，因為投資人對未來預期恐慌，造成各國股市波動，其中以美國尤甚。同時，我們得知範數懲罰函數在控制投資組合權重的同時，可以增加投資組合權重的稀疏性並適當管理極端權重問題。因此本研究希望探討範數懲罰函數所建構的加權範數最小變異數投資組合，在新冠肺炎疫情期間是否也能透過管理權重，提高自身管理風險的能力並具有較穩定的表現。本研究亦將同時探討其他投資組合在不同期間之中，何者將會具備較平穩的表現。本研究使用美國納斯達克100指數作為實證研究的樣本資料，並比較加權範數最小變異數投資組合、1/N投資組合、限制賣空最小變異數投資組合與全域最小變異數投資組合分別在疫情期間與全樣本期間的表現差異。研究結果顯示，加權範數最小變異數投資組合，於全樣本期間會因為變動資產權重而導致績效表現減弱，但是其卻在新冠肺炎疫情期間裡，因為適當地控制風險、調整權重，故有更穩定的績效表現，並且在有設立目標報酬限制的條件下表現更是優異，設定的目標報酬與績效表現呈現正比關係。
Global stock market, especially America’s stock market, went vulnerable during COVID-19 period. Meanwhile, from previous research, we knew that Weighted-Norm Penalty can increase the sparsity in the portfolio weight. Therefore, this research discusses whether Weighted-Norm Minimum Variance Portfolio can control risk and have better performance in COVID-19 period. Moreover, this research also discusses several kinds of portfolio: How are their performance? How are their ability of controlling risk?The research data is NASDAQ 100 Index. The research measures performance of Weighted-Norm Minimum Variance Portfolio, No-Shortsale Minimum Variance Portfolio, Equally-Weighted Portfolio and Global Minimum Variance Portfolio separately in COVID-19 period and in whole sample period.The research comes out two principal results. First, Weighted-Norm Minimum Variance Portfolio doesn’t have better performance in whole sample period since higher frequency of adjusting assets’ weight in the portfolio. However, Weighted-Norm Minimum Variance Portfolio with target return constraint does have the best performance in COVID-19 period.參考文獻 林怡君 (2017)，運用泛數懲罰函數來建構投資組合：以國際股票市場為例，國立政治大學國際經營與貿易學系研究所未出版碩士論文。莊丹華 (2017) ，加權範數最小變異數投資組合之實證應用：以台灣股市為例，國立政治大學國際經營與貿易學系研究所未出版碩士論文。維基百科，正則化(數學)，https://zh.wikipedia.org/wiki/%E6%AD%A3%E5%88%99%E5%8C%96_(%E6%95%B0%E5%AD%A6) ，擷取日期：2020年12月9日。駐沙烏地阿拉伯王國台被經濟文化代表處 (2020)，石油輸出國家組織表示自8月起進入第2階段減產階段， https://www.roc-taiwan.org/sa/post/3560.html ，擷取日期：2020年12月9日。顏榮威 (2019)，風險平價與其他傳統投資組合之績效分析，國立政治大學國際經營與貿易學系研究所未出版碩士論文。Barry, C. B. (1974). Portfolio Analysis under Uncertain Means, Variances and Covariances. Journal of Finance, 29(2), 515-522.Brodie, J., Daubechies, I., De Mol, C., Giannone, D., and Loris, I. (2009). Sparse and stable Markowitz portfolios. Proceedings of the National Academy of Sciences of the United States of America, 106(30), 12267–12272.Brown, S. J. (1976). Optimal portfolio choice under uncertainty: A Bayesian approach. Ph.D. Dissertation. University of Chicago.DeMiguel, V., Garlappi, L., and Uppal, R. (2007). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Review of Financial Studies, 22, 1915–1953.DeMiguel, V., Garlappi, L., Nogales, F. J., and Uppal, R. (2009). A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms. Management Science, 55(5), 798-812.Fan, J., Zhang, J., and Yu, K. (2012). Vast Portfolio Selection With Gross-Exposure Constraints. Journal of the American Statistical Association, 107:498, 592-606.Fleming, J., Ostdiek, B., and Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Market, 15(3), 265-302.Green, R. C., and Hollifield, B. (1992). When will mean-variance efficient portfolios be well diversified? Journal of Finance, 47(5), 1785-1809.Haugen, R. A., and Baker, N. L. (1991). The Efficient Market Inefficiency of Capitalization-Weighted Stock Portfolios. Journal of Portfolio Management, vol. 17, no. 3, spring: 35-40.Jagannathan, R., and Ma, T. (2003). Risk reduction in large portfolios: why imposing the wrong constraints helps. Journal of Finance, 58(4), 1651–1684.Jorion, Philippe. (1986). Bayes-Stein estimation for portfolio analysis. Journal of Financial and Quantitative Analysis, 21(3), 279–292.Kan, R., Wang, X., and Zhou, G. (2016). Optimal Portfolio Selection with and without Risk-Free Asset. University of Toronto Working Paper.Markowitz, H. M. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91.Merville, L. J., Hayes-Yelken, S., & Xu, Y. (2001). Identifying the factor structure of equity returns. Journal of Portfolio Management, 27(4), 51–61.Michaud, R.O. (1989). The Markowitz Optimization Enigma: Is “Optimized” Optimal? Financial Analysts Journal, 45(1), 31-42.Shan, Y., Ou, J., and Wang, D. et al. (2021). Impacts of COVID-19 and fiscal stimuli on global emissions and the Paris Agreement. Nat. Clim. Chang. 11, 200–206. https://doi.org/10.1038/s41558-020-00977-5Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19(3), 425-442.Tobin J. (1958). Liquidity Preference as Behavior Towards Risk. The Review of Economic Studies, Feb., Vol. 25, No. 2, 65- 86.Yen, Y. M. (2015). Sparse Weighted-Norm Minimum Variance Portfolios. Review of Finance, 20, 1259-1287. 描述 碩士
國立政治大學
國際經營與貿易學系
109351010資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109351010 資料類型 thesis dc.contributor.advisor 顏佑銘 zh_TW dc.contributor.advisor Yen, Yu-Min en_US dc.contributor.author (Authors) 蔡宛廷 zh_TW dc.contributor.author (Authors) Tsai, Wan-Ting en_US dc.creator (作者) 蔡宛廷 zh_TW dc.creator (作者) Tsai, Wan-Ting en_US dc.date (日期) 2021 en_US dc.date.accessioned 4-Aug-2021 14:28:11 (UTC+8) - dc.date.available 4-Aug-2021 14:28:11 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2021 14:28:11 (UTC+8) - dc.identifier (Other Identifiers) G0109351010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136284 - 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) 109351010 zh_TW dc.description.abstract (摘要) 在新冠肺炎疫情期間，因為投資人對未來預期恐慌，造成各國股市波動，其中以美國尤甚。同時，我們得知範數懲罰函數在控制投資組合權重的同時，可以增加投資組合權重的稀疏性並適當管理極端權重問題。因此本研究希望探討範數懲罰函數所建構的加權範數最小變異數投資組合，在新冠肺炎疫情期間是否也能透過管理權重，提高自身管理風險的能力並具有較穩定的表現。本研究亦將同時探討其他投資組合在不同期間之中，何者將會具備較平穩的表現。本研究使用美國納斯達克100指數作為實證研究的樣本資料，並比較加權範數最小變異數投資組合、1/N投資組合、限制賣空最小變異數投資組合與全域最小變異數投資組合分別在疫情期間與全樣本期間的表現差異。研究結果顯示，加權範數最小變異數投資組合，於全樣本期間會因為變動資產權重而導致績效表現減弱，但是其卻在新冠肺炎疫情期間裡，因為適當地控制風險、調整權重，故有更穩定的績效表現，並且在有設立目標報酬限制的條件下表現更是優異，設定的目標報酬與績效表現呈現正比關係。 zh_TW dc.description.abstract (摘要) Global stock market, especially America’s stock market, went vulnerable during COVID-19 period. Meanwhile, from previous research, we knew that Weighted-Norm Penalty can increase the sparsity in the portfolio weight. Therefore, this research discusses whether Weighted-Norm Minimum Variance Portfolio can control risk and have better performance in COVID-19 period. Moreover, this research also discusses several kinds of portfolio: How are their performance? How are their ability of controlling risk?The research data is NASDAQ 100 Index. The research measures performance of Weighted-Norm Minimum Variance Portfolio, No-Shortsale Minimum Variance Portfolio, Equally-Weighted Portfolio and Global Minimum Variance Portfolio separately in COVID-19 period and in whole sample period.The research comes out two principal results. First, Weighted-Norm Minimum Variance Portfolio doesn’t have better performance in whole sample period since higher frequency of adjusting assets’ weight in the portfolio. However, Weighted-Norm Minimum Variance Portfolio with target return constraint does have the best performance in COVID-19 period. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與研究目的 1第二節 研究架構 3第二章 文獻探討 5第一節 投資組合理論起源 5第二節 投資組合策略比較 7第三節 範數懲罰函數研究 8第三章 研究方法 10第一節 建構WNMVP之最適權重 10第二節 求解WNMVP之最適權重 12第三節 投資組合實證研究評估指標 13第四節 其它範數懲罰函數 18第四章 績效實證分析 20第一節 樣本資料敘述性統計 20第二節 實證分析結果 23第五章 研究結論與研究建議 32參考文獻 34 zh_TW dc.format.extent 1688270 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109351010 en_US dc.subject (關鍵詞) 加權懲罰範數 zh_TW dc.subject (關鍵詞) 最小變異數投資組合 zh_TW dc.subject (關鍵詞) 納斯達克100指數 zh_TW dc.subject (關鍵詞) 新冠肺炎 zh_TW dc.subject (關鍵詞) Weighted-Norm Penalty en_US dc.subject (關鍵詞) Minimum Variance Portfolio en_US dc.subject (關鍵詞) NASDAQ 100 Index en_US dc.subject (關鍵詞) COVID-19 en_US dc.title (題名) 以範數懲罰函數建構之投資組合實證研究：以新冠肺炎區間為例 zh_TW dc.title (題名) Empirical study on portfolio which constructed by Norm Penalty Function: Taking the COVID-19 Interval as an Example en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 林怡君 (2017)，運用泛數懲罰函數來建構投資組合：以國際股票市場為例，國立政治大學國際經營與貿易學系研究所未出版碩士論文。莊丹華 (2017) ，加權範數最小變異數投資組合之實證應用：以台灣股市為例，國立政治大學國際經營與貿易學系研究所未出版碩士論文。維基百科，正則化(數學)，https://zh.wikipedia.org/wiki/%E6%AD%A3%E5%88%99%E5%8C%96_(%E6%95%B0%E5%AD%A6) ，擷取日期：2020年12月9日。駐沙烏地阿拉伯王國台被經濟文化代表處 (2020)，石油輸出國家組織表示自8月起進入第2階段減產階段， https://www.roc-taiwan.org/sa/post/3560.html ，擷取日期：2020年12月9日。顏榮威 (2019)，風險平價與其他傳統投資組合之績效分析，國立政治大學國際經營與貿易學系研究所未出版碩士論文。Barry, C. B. (1974). Portfolio Analysis under Uncertain Means, Variances and Covariances. Journal of Finance, 29(2), 515-522.Brodie, J., Daubechies, I., De Mol, C., Giannone, D., and Loris, I. (2009). Sparse and stable Markowitz portfolios. Proceedings of the National Academy of Sciences of the United States of America, 106(30), 12267–12272.Brown, S. J. (1976). Optimal portfolio choice under uncertainty: A Bayesian approach. Ph.D. Dissertation. University of Chicago.DeMiguel, V., Garlappi, L., and Uppal, R. (2007). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Review of Financial Studies, 22, 1915–1953.DeMiguel, V., Garlappi, L., Nogales, F. J., and Uppal, R. (2009). A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms. Management Science, 55(5), 798-812.Fan, J., Zhang, J., and Yu, K. (2012). Vast Portfolio Selection With Gross-Exposure Constraints. Journal of the American Statistical Association, 107:498, 592-606.Fleming, J., Ostdiek, B., and Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Market, 15(3), 265-302.Green, R. C., and Hollifield, B. (1992). When will mean-variance efficient portfolios be well diversified? Journal of Finance, 47(5), 1785-1809.Haugen, R. A., and Baker, N. L. (1991). The Efficient Market Inefficiency of Capitalization-Weighted Stock Portfolios. Journal of Portfolio Management, vol. 17, no. 3, spring: 35-40.Jagannathan, R., and Ma, T. (2003). Risk reduction in large portfolios: why imposing the wrong constraints helps. Journal of Finance, 58(4), 1651–1684.Jorion, Philippe. (1986). Bayes-Stein estimation for portfolio analysis. Journal of Financial and Quantitative Analysis, 21(3), 279–292.Kan, R., Wang, X., and Zhou, G. (2016). Optimal Portfolio Selection with and without Risk-Free Asset. University of Toronto Working Paper.Markowitz, H. M. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91.Merville, L. J., Hayes-Yelken, S., & Xu, Y. (2001). Identifying the factor structure of equity returns. Journal of Portfolio Management, 27(4), 51–61.Michaud, R.O. (1989). The Markowitz Optimization Enigma: Is “Optimized” Optimal? Financial Analysts Journal, 45(1), 31-42.Shan, Y., Ou, J., and Wang, D. et al. (2021). Impacts of COVID-19 and fiscal stimuli on global emissions and the Paris Agreement. Nat. Clim. Chang. 11, 200–206. https://doi.org/10.1038/s41558-020-00977-5Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19(3), 425-442.Tobin J. (1958). Liquidity Preference as Behavior Towards Risk. The Review of Economic Studies, Feb., Vol. 25, No. 2, 65- 86.Yen, Y. M. (2015). Sparse Weighted-Norm Minimum Variance Portfolios. Review of Finance, 20, 1259-1287. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202101056 en_US
