| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo,Weiyu | en_US |
| dc.contributor.author (Authors) | 廖哲宏 | zh_TW |
| dc.contributor.author (Authors) | Liao,Che Hung | en_US |
| dc.creator (作者) | 廖哲宏 | zh_TW |
| dc.creator (作者) | Liao,Che Hung | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 8-Dec-2010 13:43:24 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 13:43:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 13:43:24 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0953510021 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49555 | - |
| 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) | 95351002 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本篇論文主要是將Black-Litterman模型應用在組合型基金上。從一個組合型基金的基金經理人角度出發，在有限的風險下，如何進行資產配置使其達到報酬極大化的目標？第二章介紹mean-variance模型，以及其模型之缺點。第三章介紹Black-Litterman模型，其不僅可以改善mean-variace模型的缺點，此外允許投資人加入主觀看法，結合數量方法以及投資人的主觀看法是此模型的特色之一。第四章，針對兩個模型的進行比較。最後，我們發現：BLack-Litterman模型不僅符合經濟直覺，進行資產配置時也展現模型的穩定性。 | zh_TW |
| dc.description.abstract (摘要) | This paper applies a popular asset allocation model: the Black-Litterman model on a fund of funds. First, an overview is given of the foundations of modern portfolio theory with the mean-variance model. Next, we discuss some improvements that could be made over the mean-variance model. The Black-Litterman model addresses some of these flaws and tries to improve them. Finally, simulation has been performed to compare the performance of the Black-Litterman model to mean-variance optimization. The models have been compared in intuitiveness and stability. The conclusion can be drawn that BL-model improves the mean-variance model, in our simulation, both in intuitiveness and stability. | en_US |
| dc.description.tableofcontents | 1. Introduction p.1 2. Literature Review p.4 2.1 Introduction of Fund of Funds 2.2 Markowitz Mean-Variance Portfolio Selection Model 2.3 The Black-Litterman Model 3. Methodology p.16 3.1 Reverse Optimization 3.2 Specifying the views 3.3 The Black-Litterman Formula 3.4 Summary 4. Simulation Results p.22 4.1 Data 4.2 Specifying our views 4.3 Intuitive results with the Black-Litterman Approach 4.4 Comparison of Markowitz Method and Black-Litterman Approach 5. Conclusion p.32 Appendix p.33Reference p.38 | zh_TW |
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| dc.format.mimetype | application/pdf | - |
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| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
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| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0953510021 | en_US |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.subject (關鍵詞) | 組合型基金 | zh_TW |
| dc.subject (關鍵詞) | asset allocation | en_US |
| dc.subject (關鍵詞) | fund of funds | en_US |
| dc.subject (關鍵詞) | the Black-Litterman model | en_US |
| dc.subject (關鍵詞) | the mean-variance model | en_US |
| dc.title (題名) | Black-Litterman 模型在組合型基金的應用 | zh_TW |
| dc.title (題名) | Application of the Black-Litterman Model on Fund of Funds | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Black, F. and R. Litterman,(1991), “Global asset allocation with equities, bonds and currencies”, Fixed Income Research, Goldman, Sachs & Co. | zh_TW |
| dc.relation.reference (參考文獻) | Black, F. and R. Litterman,(1991), “Asset allocation: combining investor views with market equilibrium”, TheJournal of Fixed Income, 7-18. | zh_TW |
| dc.relation.reference (參考文獻) | Black, F. and R. Litterman,(1992), “Global portfolio optimization”, Financial Analysts Journal 48, no. 5, 28-43. | zh_TW |
| dc.relation.reference (參考文獻) | Charlotta Mankert,(2006), “The Black-Litterman Model - mathematical and behavioral finance approaches towards its use in practice”. | zh_TW |
| dc.relation.reference (參考文獻) | Christodoulakis,(2005), “Bayesian Optimal Portfolio Selection: the Black-Litterman Approach”, working paper. | zh_TW |
| dc.relation.reference (參考文獻) | He, G. and R. Litterman,(1999), “The intuition behind Black-Litterman model portfolio”, Investment Management Research, Goldman, Sachs & Co. | zh_TW |
| dc.relation.reference (參考文獻) | Idzorek, (2005), “A Step-By-Step Guide to the Black-Litterman Model”, Zephyr Associates, Inc, unpublished. available at: | zh_TW |
| dc.relation.reference (參考文獻) | http://www.globalriskguard.com/resources/assetman/BL Draft with Graphs.pdf. | zh_TW |
| dc.relation.reference (參考文獻) | Yih-Min Liang, (2002), “An Application of Black-Litterman Model on International Asset Allocation”, Master`s Thesis. | zh_TW |
| dc.relation.reference (參考文獻) | Markowitz, H. (1952), Portfolio selection, The Journal of Finance 45, no. 1, 31-42. | zh_TW |
| dc.relation.reference (參考文獻) | Markowitz, H. (1959), Portfolio selection, John Wiley & Sons, New York. | zh_TW |
| dc.relation.reference (參考文獻) | Michaud, R. O. (1989) “The Markowitz optimization enigma: is "optimized` optimal?”, Financial Analysts Journal 45, no. 1, 31-42. | zh_TW |
| dc.relation.reference (參考文獻) | Satchel and Scowcroft, (2000), “A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction”, Journal of Asset Management. | zh_TW |
