| dc.contributor.advisor | 劉明郎 | zh_TW |
| dc.contributor.advisor | Liu Ming-Long | en_US |
| dc.contributor.author (作者) | 蘇代利 | zh_TW |
| dc.creator (作者) | 蘇代利 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 17-九月-2009 13:45:32 (UTC+8) | - |
| dc.date.available | 17-九月-2009 13:45:32 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 13:45:32 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0090751014 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32564 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學研究所 | zh_TW |
| dc.description (描述) | 90751014 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 通常已建立的指數基金，經過一段時間後其追蹤指數的效能已經無法滿足初期建購時的要求，此時管理者便面臨指數基金投資組合的調整問題。本論文融合建構指數基金的方法及最小化交易成本的概念，提出一個新的混合整數線性規劃模型以調整指數基金投資組合。模型亦考慮實務中交易成本、最小交易單位及批量、固定交易費用比率、以及資產總類數等限制。因此，模型包含整數變數及二元變數，求解也較為困難許多。本論文以啟發式演算法增進求解的效率，並以台灣50指數的相關資料做為實證研究的對象。 | zh_TW |
| dc.description.abstract (摘要) | The efficiency of index-tracking in index fund, which has been built, has usually been incapable to meet the needs after a period of time. In this moment, the managers have to face with the problems of the adjusting for index fund portfolio. In this paper, we integrate the methods of constructing index fund and the concepts of minimum transaction cost with it, and propose a new mixed integer linear program model to adjust the index fund portfolio. Moreover, the model also considers some limitations, such as the transaction costs, minimum transaction units and lots, fixed proportional transaction rates, and cardinality constraint in practical operating. For this reason, a set of integer variables and binary variables are introduced. However, they increase the computational complexity in model solution. Due to the difficulty of the MILP problem, a heuristic algorithm has been developed for the solution. The computational results are presented by applying the model to the Taiwan 50 index. | en_US |
| dc.description.tableofcontents | 摘要 IIIABSTRACT IV表目錄 VI圖目錄 VII第一章 緒論 1 1.1前言 1 1.2研究目的與架構 3第二章 文獻回顧 4第三章 數學模型探討 11 3.1 投資組合的數學模型 11 3.2 指數基金的數學模型 19第四章 調整指數基金的數學模型與演算法 23 4.1調整投資組合的數學模型 23 4.2調整指數基金的數學模型 26 4.3 演算法 31第五章 實證研究 33第六章 結論與建議 38參考文獻 39 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090751014 | en_US |
| dc.subject (關鍵詞) | 指數基金 | zh_TW |
| dc.subject (關鍵詞) | 混合整數線性規劃 | zh_TW |
| dc.subject (關鍵詞) | 台灣50指數 | zh_TW |
| dc.subject (關鍵詞) | index fund | en_US |
| dc.subject (關鍵詞) | mixed integer linear program | en_US |
| dc.subject (關鍵詞) | Taiwan 50 index | en_US |
| dc.title (題名) | 調整指數基金的最小成本模型 | zh_TW |
| dc.title (題名) | Minimal Cost Index Fund Rebalence Problem | en_US |
| dc.type (資料類型) | thesis | en |
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