| dc.contributor | 風管系 | |
| dc.creator (作者) | 黃泓智 | |
| dc.date (日期) | 2017-10 | |
| dc.date.accessioned | 17-Jun-2026 15:55:31 (UTC+8) | - |
| dc.date.available | 17-Jun-2026 15:55:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Jun-2026 15:55:31 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=183001 | - |
| dc.description.abstract (摘要) | 過去二十年來，全球性財務危機已使投資者意識到投資組合風險管理之重要性。本計畫之研究目的是提供最佳資產配置策略，以提高金融危機發生時之風險管理績效，此策略包括建構良好資產模型、選擇合適資產配置與適當的目標函數。本計畫的第一年，目標係創造一個可行的資產選擇模型，因為正確選擇資產是投資策略成功的關鍵。本計畫的第二年，我們將根據所選擇的資產建構合適的資產模型，現代財務金融研究顯示，多變量的金融資產模型愈趨重要，尤其是投資組合的選擇方面，而目前多變量的資產模型往往以具有簡單結構的布朗運動或高斯分配為基礎，但近年來的全球金融危機已突顯出使用更精確的模型來捕捉市場衝擊的重要性。本計畫的第三年，目標是控制資產選擇、資產建模和目標函數的選擇，以提高投資績效，因為正確的資產配置策略，需要有適當的資產選擇、準確的資產模型和適合的基金管理目標函數。根據上述過程，本研究將建構最佳資產配置，並期望獲得長期優於大盤的投資報酬率。 | |
| dc.description.abstract (摘要) | Over the past two decades, global financial crises have raised investors' awareness about the importance of managing their risky profiles. This research aims to provide an optimal asset allocation strategy to enhance risk management performance in the face of a financial crisis; this strategy entails constructing a good asset model and choosing suitable asset allocations and objective functions for fund management. The main purpose of this research in the first year is to create a feasible model of asset selections. A right decision of asset selection is the key point of a successful investment strategy. In the second year, we will construct a suitable asset model for the selected assets. Multivariate modeling of financial assets has become increasingly important for modern finance, especially in terms of portfolio selection. Current multivariate asset models tend to be based on Brownian motion or Gaussian distribution, with a simple structure. However, the recent global financial crisis highlighted the importance of capturing market shocks using more refined models. In the third year, we aim to control asset selections, asset modeling and objective selections to enhance investment performance. A correct asset allocation strategy requires suitable asset selections, accurate choices of asset models and suitable objective functions in fund management. According to above process, this research will try to obtain an optimal asset allocation which can consistently beat the market. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST103-2410-H004-030-MY3, 103.08-106.07 | |
| dc.title (題名) | 最適資產管理：理論及實務應用 | |
| dc.title (題名) | Optimal Asset Management：Quantitaive Theory and Applications | |
| dc.type (資料類型) | report | |
