| dc.contributor.advisor | 陳威光<br>江彌修 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (Authors) | 洪幸資 | zh_TW |
| dc.creator (作者) | 洪幸資 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:01:27 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:01:27 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:01:27 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0091352016 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33984 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 91352016 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 採用風險值取代標準差來衡量投資組合的下方風險，除了更符合投資人的對風險的態度，也更貼近目前金融機構多以風險值作為內部控管工具的情形。但除了風險的事後衡量，本篇論文希望能夠事前積極地控制投資組合風險值，求得最適投資組合的各資產配置權重。故本篇論文研究方法採用了Rockafellar and Uryasev.(2000)的極小條件風險值最適投資組合模型先建立Mean-CVaR效率前緣，並將此效率前緣上的投資組合風險以風險值衡量，再應用電腦上的探索方法進一步求得風險值更低的投資組合，逼近求得Mean-VaR效率前緣，最後利用Mean-VaR效率前緣採用Campbell，Huisman與Koedijk(2001)模型求得控制風險值下的最適投資組合。在實證分析上，本篇論文採用國內三檔股票為標的，首先在實證標的資產報酬檢定為非常態分配下，使用歷史模擬法，以資產實際非常態報酬分配估計VaR，驗證了使用本篇論文研究方法極小CVaR投資組合與探索方法，可以適當逼近真實的Mean-VaR效率前緣。再者研究比較不同信賴水準、不同資產報酬分配假設與不同權重產生方式下的Mean-VaR效率前緣與Ｍean- 效率前緣效果差異，最後求得控制風險值下的最適投資組合。 | zh_TW |
| dc.description.abstract (摘要) | In contrast to the role of variance in the traditional Mean-Variance framework, in this thesis we introduce Value-at-Risk (VaR) as a shortfall-constraint into the portfolio selection decision. Doing so is much more in fitting with individual perception to risk and in line with the constraints which financial institutes currently face. However, mathematically VaR has some serious limitations making the portfolio selection problem difficult to attain optimal solution. In order to apply VaR to ex ante portfolio decision, we use the closely related tractable risk measure Conditional Value-at-Risk (CVaR) in this thesis as a proxy to find efficient portfolios. We utilize linear programming formulation developed by Rockafellar and Uryasev(2000) to construct a Mean-CVaR efficient frontier. Following which the VaR of resulting portfolios in the Mean-CVaR efficient frontier is reduced further by a simple heuristic procedure. After constructing an empirical Mean-VaR efficient frontier that can be proven an useful approximation to the true Mean-VaR efficient frontier, the Campbell, Huisman and Koedijk(2001) model is used to find the optimal portfolio.Three Taiwan listing stocks are used to build the Mean-VaR efficient frontier in the empirical study. And the Mean-VaR efficient frontier of different confident levels, under different asset return assumptions, and different optimal portfolio selection models are compared and results analyzed. | en_US |
| dc.description.tableofcontents | 第壹章 緒論 ...............................................1第一節 研究動機與目的.........................................1第二節 研究架構...............................................2第貳章 文獻回顧及探討 .....................................3 第一節 風險值的定義與介紹.................................3 第二節 條件風險值的定義與介紹............................10 第三節 投資組合理論相關文獻探討..........................15第參章 研究方法 ..........................................19 第一節 限制VaR下的投資組合配置模型.......................19 第二節 Mean-CVaR效率前緣建立模型 .....................24 第三節 Mean-VaR效率前緣建立模型..........................27第肆章 實證分析 .........................................30 第一節 實證資料選取與統計分析............................30 第二節 Mean-VaR效率前緣的建立與比較 ..................33 第三節 不同條件下的Mean- 效率前緣比較....................41 第四節 控制風險值下的最適投資組合........................47第伍章 結論 ..............................................49參考文獻 ..................................................51附錄一 ....................................................53附錄二 ....................................................55 | 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/#G0091352016 | en_US |
| dc.subject (關鍵詞) | 風險值 | zh_TW |
| dc.subject (關鍵詞) | 最適投資組合 | zh_TW |
| dc.subject (關鍵詞) | Mean-VaR效率前緣 | zh_TW |
| dc.subject (關鍵詞) | Mean-CVaR效率前緣 | zh_TW |
| dc.title (題名) | 控制風險值下的最適投資組合 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 陳東雄，2003，” 考慮信用風險與市場風險之最適資產配置”，東吳大學經濟研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 張肇育，2002，”不同風險衡量指標下投資效率之分析與探討”，國立中正大學財務金融研究所碩士論文。 | zh_TW |
| dc.relation.reference (參考文獻) | 楊宗庭，2001，”共同基金風險值的評估與應用”，台灣大學財務金融研究所碩士論文。 | zh_TW |
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| dc.relation.reference (參考文獻) | Norweigian University of Science and Technology | zh_TW |
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| dc.relation.reference (參考文獻) | Mausser, H. and D. Rosen(1998):Beyond VaR: From Measuring Risk to Managing Risk, Algo Research Quarterly,Vol.1,No.2,pp5-20. | zh_TW |
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| dc.relation.reference (參考文獻) | Pflug, G.Ch.(2000):Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk.In.” Probabilistic Constrained Optimization: Methodology and Applications” ,Ed.S. Uryasev, Kluwer Academic Publishers,2000. | zh_TW |
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