| dc.contributor.advisor | 劉明郎 | zh_TW |
| dc.contributor.advisor | Liu,Ming Long | en_US |
| dc.contributor.author (Authors) | 王靜亮 | zh_TW |
| dc.contributor.author (Authors) | Wang,Ching Liang | en_US |
| dc.creator (作者) | 王靜亮 | zh_TW |
| dc.creator (作者) | Wang,Ching Liang | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 17-Sep-2009 13:47:15 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 13:47:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 13:47:15 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093751013 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/32579 | - |
| 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) | 93751013 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 本論文提出數個線性規劃模型建立成長基金的投資組合。目標函數皆以目標規劃方式呈現。第一個模型採用追蹤與成長差距最小的原則。第二個模型改採用大中取小原則。第三個模型則考慮時間因素對於投資組合的影響，修正第一個模型加入時間參數。最後以台灣上市股票市場作為實證分析對象，探討三組模型之表現。 | zh_TW |
| dc.description.abstract (摘要) | This thesis presents three linear programming models for selection of the growth portfolio based on historical data. The objective functions of these models are described by goal programming. The first model employs the principle of minimizing the deviation of the value-increasing index. The second model employs the mini-max principle. The third model is derived from the first model and includes the timing effect of historical data during construction of portfolio. The computational results and performance are illustrated by modeling with realistic data from the Taiwan stock market. | en_US |
| dc.description.tableofcontents | 摘要 iii表目次 vi圖目次 vii第一章 緒論..........................................1 1.1 研究動機..................................1 1.2 研究的目的與架構...........................3第二章 文獻回顧.......................................4第三章 相關模型探討....................................8 3.1 Markowitz的模型...........................8 3.2 Konno與Yamazaki的模型.....................9 3.3 Speranza的模型............................12 3.4 Young的模型...............................15 3.5 Xia等之投資組合模型........................17第四章 成長基金的數學模型..............................20 4.1 成長基金的目標規劃模型......................20 4.2 大中取小的成長基金之數學模型.................24 4.3 考慮時間因素的成長基金模型...................26第五章 實證研究........................................28第六章 結論............................................40附錄 附表............................................42參考文獻...............................................62 表 目 次附表一 各模型在T1期間的投資組合..................43附表二 各模型在T2期間的投資組合..................44附表三 各模型在T3期間的投資組合..................45附表四 各模型在T1期間的報酬率....................46附表五 各模型在T2期間的報酬率....................47附表六 各模型在T3期間的報酬率....................48附表七 調整後各模型在T1期間的投資組合.............49附表八 調整後各模型在T2期間的投資組合.............50附表九 調整後各模型在T3期間的投資組合.............51附表十 調整後各模型在T1期間的報酬率...............52附表十一 調整後各模型在T2期間的報酬率...............53附表十二 調整後各模型在T3期間的報酬率...............54附表十三 模型C在各時段的投資組合(θ=1.0).............55附表十四 模型C在各時段的投資組合(θ=0.9).............56附表十五 模型C在各時段的投資組合(θ=0.8).............57附表十六 模型C在各時段的投資組合(θ=0.7).............58附表十七 不同時間參數的模型C在T1期間的報酬率.........59附表十八 不同時間參數的模型C在T2期間的報酬率.........60附表十九 不同時間參數的模型C在T3期間的報酬率.........61 圖 目 次圖一 各模型在時段一的市值變化比較圖..................30圖二 各模型在時段二的市值變化比較圖..................31圖三 各模型在時段三的市值變化比較圖..................31圖四 調整後各模型在時段一的市值變化比較圖.............33圖五 調整後各模型在時段二的市值變化比較圖.............35圖六 調整後各模型在時段三的市值變化比較圖.............35圖七 不同時間參數下模型C在時段一的市值變化比較圖.......36圖八 不同時間參數下模型C在時段二的市值變化比較圖.......37圖九 不同時間參數下模型C在時段三的市值變化比較圖.......37 | 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/#G0093751013 | en_US |
| dc.subject (關鍵詞) | 目標規劃 | zh_TW |
| dc.subject (關鍵詞) | 大中取小原則 | zh_TW |
| dc.subject (關鍵詞) | goal programming | en_US |
| dc.subject (關鍵詞) | mini-max principle | en_US |
| dc.title (題名) | 成長基金的最佳化模型 | zh_TW |
| dc.title (題名) | Optimization Models for the Growth Portfolio | en_US |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | IBM, Optimization Subroutine Library Guide and Reference Relese 2, Kingston, NY, Third Edition, (1991). | zh_TW |
| dc.relation.reference (參考文獻) | Konno, H. and H. Yamazaki, Mean absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37, 519-531 (1991). | zh_TW |
| dc.relation.reference (參考文獻) | Markowitz, H., Portfolio selection, Journal of Finance 7, 77-91 (1952). | zh_TW |
| dc.relation.reference (參考文獻) | Meade, N. and G. R. Salkin, Index funds-Construction and performance measurement, Journal of the operational research society 40, 871-879 (1989). | zh_TW |
| dc.relation.reference (參考文獻) | Sang M. Lee and Delton L. Chesser, Goal programming for portfolio selection, The journal of portfolio management Spring, 22-26 (1980). | zh_TW |
| dc.relation.reference (參考文獻) | Sharpe, W. F., A linear programming algorithm for mutual fund portfolio selection, Management Science 13, 499-510 (1967). | zh_TW |
| dc.relation.reference (參考文獻) | Sharpe, W. F., A linear programming approximation for the general portfolio analysis problem, Journal of financial and quantitative analysis December, 1263-1275 (1971). | zh_TW |
| dc.relation.reference (參考文獻) | Speranza, M. G., Linear programming model for portfolio optimization, Finance 14, 107-123 (1993). | zh_TW |
| dc.relation.reference (參考文獻) | Speranza, M. G., A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Computers and Operations research 23, 433-441 (1996). | zh_TW |
| dc.relation.reference (參考文獻) | Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683(1998). | zh_TW |
| dc.relation.reference (參考文獻) | Xia, Y., B. Liu, S. Wang, and K.K. Lai, A model for portfolio selection with order of expected returns, Computers and Operations research 27, 409-422 (2000). | zh_TW |
| dc.relation.reference (參考文獻) | 呂建鴻，考量下層風險的最佳投資組合，國立政治大學應用數學研究所碩士論文(民91)。 | zh_TW |
| dc.relation.reference (參考文獻) | 羅際夫，買共同基金學習地圖，早安財經文化有限公司(民91)。 | zh_TW |
