| dc.contributor.advisor | 郭炳伸 | zh_TW |
| dc.contributor.advisor | Kuo,Biing-Shen | en_US |
| dc.contributor.author (Authors) | 莊珮玲 | zh_TW |
| dc.contributor.author (Authors) | Chuang,Pei-ling | en_US |
| dc.creator (作者) | 莊珮玲 | zh_TW |
| dc.creator (作者) | Chuang,Pei-ling | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 18-Sep-2009 18:56:53 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 18:56:53 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 18:56:53 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923510181 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36601 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 92351018 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | When portfolio selection is implemented by using the past sample values, parameter uncertainty may lead to suboptimal portfolios. Previous studies of portfolio selection demonstrate that classical approach based on the simple mean estimator is less reliable cause of inherent estimation error. In this paper, we investigate a shrinkage estimator based on Stein’s idea in measuring the expected returns. We apply the research of Jorion (1985) to Taiwan Stock market, present the effects of estimation error on the portfolio selection and demonstrate that the shrinkage estimator is robust and dominates the classical estimator on the MSE criterion. In addition, we also examine the effect of different shrinkage target on the performance of the Bayes-Stein estimator and find that this estimator still has lower risk than the classical sample mean. | en_US |
| dc.description.tableofcontents | Contents 1 Introduction ………………………………………………1 2 Markowitz portfolio selection model ……………… 3 3 Estimation risk of Classical approach in Portfolio selection 9 4 Shrinkage Estimation ………………………………… 14 5 The results of a practical application ……………18 5.1 The design ………………………………………………18 5.2 Comparison of Stein estimator and classical estimator …21 5.2.1 The general result ………………………………………21 5.2.2 The results of another shrinkage target ………… 27 6 Conclusion ……………………………………………………. 32 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923510181 | en_US |
| dc.subject (關鍵詞) | shrinkage estimation | en_US |
| dc.subject (關鍵詞) | classical estimation | en_US |
| dc.subject (關鍵詞) | portfolio selection | en_US |
| dc.subject (關鍵詞) | MSE | en_US |
| dc.title (題名) | Robust Portfolio Selection Based on the Shrinkage Estimation | zh_TW |
| dc.title (題名) | 穩健資產組合選擇: 收縮估計式的應用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | [13] Stein, C. (1955) , “Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distribution.” Proceedings of the 3rd Berkeley Symposium on Probability and Statistics 1. Berkeley: Univ. of Calif. Press , 197-206. | zh_TW |
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