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題名 最小化特定風險函數的動能策略
A Momentum Strategy with Minimizing Certain Risk Function作者 劉宇恩
Liu, Yu An貢獻者 劉明郎
劉宇恩
Liu, Yu An關鍵詞 動能策略
資產配置模型
平均絕對偏差
下方偏差動差
大中取小選股準則
VaR
CVaR
momentum strategies
asset allocation model
mean-absolute deviation
lower partial moments
minimax portfolio selection rule
VaR
CVaR日期 2013 上傳時間 10-Feb-2014 14:55:26 (UTC+8) 摘要 動能策略的投資選擇方法曾被證實具有超額的報酬，其獲利原因有許多種說法。本論文首先探討動能策略在台灣股票市場是否同樣具有超額報酬，分析此策略在不同形成期與持有期是否能帶來超額利潤。因為動能策略為一個未考慮投資風險且採用均等權重的投資組合，所以我們進一步使用四種不同的資產配置模型對動能策略所選定的股票，在限制各別股票投資權重上限且限制股票種類數下，重新尋求風險最小的投資組合。這些模型考慮四個風險函數：平均絕對偏差、下方偏差動差、觀測期間的最大損失以及最小報酬，使得新建構的投資組合兼具動能效應且考慮投資風險。本論文以台灣股票市場2008至2012這五年的歷史資料做實證分析，結果顯示台灣股票市場具有動能效應，以及數學規劃模型能有效改良動能策略並降低VaR與CVaR風險值。
Momentum strategy has been proved existing excess return. However, there are many interpretations for the profitability of momentum strategies. This paper discusses whether momentum strategies in Taiwan stock market can earn excess returns and analyzes the strategy in different formation period and holding period. Since momentum strategies did not consider the investment risk and were equal weights portfolio, we use four different asset allocation models for the stocks has been selected by momentum strategy to construct a new portfolio that minimize the given risk function and limit the number of stocks. These models consider four risk functions: mean-absolute deviation, lower partial moments, and the maximum loss and minimum return in observation period, the resulting portfolio will have momentum effect as well as minimize the risk. The empirical study is performed by using the Taiwan market data from 2008 to 2012. The empirical results show that the Taiwan market has the momentum effect. The portfolio constructed by proposed models can improve the performance of momentum strategies and reduce the risk in terms of VaR and CVaR.參考文獻 Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, Momentum strategies, Journal of Finance 51 (5), 1681-1713 (1996).Cooper, M. J., R. C. Gutierrez, and A. Hameed, Market states and momentum, Journal of Finance 59 (3), 1345-1365 (2004).Daniel, K., D. Hirshleifer, and A. Subrahmanyam, Investor psychology and security market under- and overreactions, Journal of Finance 53 (6), 1839-1886 (1988).Fama, E., Efficient capital market: A review of theory and empirical work, Journal of Finance 25 (2), 383-417 (1970).Feinstein, C. D., and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39 (12), 1552-1553 (1993).George, T. J., and C. Y. Hwang, The 52-week high and momentum investing, Journal of Finance 59 (5), 2145-2176 (2004).Harlow, W. V., Asset allocation in a downside-risk framework, Finance Analysts Journal 47 (5), 28-40 (1991).Hong, H., T. Lim, and J. C. Stein, Bad news travels slowly size, analyst coverage,and the profitability of momentum strategies, Journal of Finance 55 (1), 265-295 (2000).Jegadeesh, N., and S. Titman, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48 (1), 65-91 (1993).Jegadeesh, N., and S. Titman, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56 (2), 699-720 (2001).Jorion, P., Value-at-Risk: the new benchmark for controlling market risk, McGraw-Hill, New York (2000)Konno, H., and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37 (5), 519-531 (1991).Lee C. M. C., and B. Swaminathan, Price momentum and trading volume, The Journal of Finance 55 (5), 2017-2069 (2000).Markowitz, H., Portfolio selection, Journal of Finance 7 (1), 77-91 (1952).Markowitz, H., Portfolio selection: Efficient diversification of investmenst, John Wiley & Sons, New York (1959).Moskowitz, T. J., and M. Grinblatt, Do industries explain momentum? Journal of Finance 54 (4), 1249-1290 (1999).Rockafellar, R. T., and S. Uryasev, Optimization of conditional Value-at-Risk, The Journal of Risk 2, 21-41 (2000).Speranza, M. G., Linear programming models for portfolio optimization, Finance 14 (1), 107-123 (1993).Uryasev, S., Conditional Value-at-Risk: optimization algorithms and applications, Financial Engineering News 14, 1-5 (2000).Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44 (5), 673-683 (1998).周泰成，以不同條件風險值及高階動差重新檢視臺灣股市之動能策略，國立臺北大學企業管理學系碩士論文（民98）。楊子德，52週高價動能策略、價格動能策略、產業動能策略於台灣股票市場的獲利性比較與分析，國立政治大學財務管理學系碩士論文（民97）。楊芯純，大中取小法建立最佳投資組合，國立政治大學應用數學系碩士論文（民92）。 描述 碩士
國立政治大學
應用數學研究所
100751010
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100751010 資料類型 thesis dc.contributor.advisor 劉明郎 zh_TW dc.contributor.author (Authors) 劉宇恩 zh_TW dc.contributor.author (Authors) Liu, Yu An en_US dc.creator (作者) 劉宇恩 zh_TW dc.creator (作者) Liu, Yu An en_US dc.date (日期) 2013 en_US dc.date.accessioned 10-Feb-2014 14:55:26 (UTC+8) - dc.date.available 10-Feb-2014 14:55:26 (UTC+8) - dc.date.issued (上傳時間) 10-Feb-2014 14:55:26 (UTC+8) - dc.identifier (Other Identifiers) G0100751010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/63702 - 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) 100751010 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 動能策略的投資選擇方法曾被證實具有超額的報酬，其獲利原因有許多種說法。本論文首先探討動能策略在台灣股票市場是否同樣具有超額報酬，分析此策略在不同形成期與持有期是否能帶來超額利潤。因為動能策略為一個未考慮投資風險且採用均等權重的投資組合，所以我們進一步使用四種不同的資產配置模型對動能策略所選定的股票，在限制各別股票投資權重上限且限制股票種類數下，重新尋求風險最小的投資組合。這些模型考慮四個風險函數：平均絕對偏差、下方偏差動差、觀測期間的最大損失以及最小報酬，使得新建構的投資組合兼具動能效應且考慮投資風險。本論文以台灣股票市場2008至2012這五年的歷史資料做實證分析，結果顯示台灣股票市場具有動能效應，以及數學規劃模型能有效改良動能策略並降低VaR與CVaR風險值。 zh_TW dc.description.abstract (摘要) Momentum strategy has been proved existing excess return. However, there are many interpretations for the profitability of momentum strategies. This paper discusses whether momentum strategies in Taiwan stock market can earn excess returns and analyzes the strategy in different formation period and holding period. Since momentum strategies did not consider the investment risk and were equal weights portfolio, we use four different asset allocation models for the stocks has been selected by momentum strategy to construct a new portfolio that minimize the given risk function and limit the number of stocks. These models consider four risk functions: mean-absolute deviation, lower partial moments, and the maximum loss and minimum return in observation period, the resulting portfolio will have momentum effect as well as minimize the risk. The empirical study is performed by using the Taiwan market data from 2008 to 2012. The empirical results show that the Taiwan market has the momentum effect. The portfolio constructed by proposed models can improve the performance of momentum strategies and reduce the risk in terms of VaR and CVaR. en_US dc.description.tableofcontents 摘要........................viAbstract........................vii目錄........................viii表目錄........................ix圖目錄........................x第一章 緒論........................11.1 前言 ........................11.2 研究目的與架構............3第二章 文獻回顧.....................42.1 動能策略........................42.2 資產配置........................8第三章 動能策略於台灣股票市場............103.1 建構價格動能策略............103.2 計算策略於持有期之績效............133.3 動能測略於台灣股票市場的實證表現............14第四章 動能策略最佳化........................184.1 數學規劃模型探討........................184.2 模型參數的設定與改良............304.3 實證結果........................31第五章 結論與建議............44參考文獻........................46 zh_TW dc.format.extent 746371 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100751010 en_US dc.subject (關鍵詞) 動能策略 zh_TW dc.subject (關鍵詞) 資產配置模型 zh_TW dc.subject (關鍵詞) 平均絕對偏差 zh_TW dc.subject (關鍵詞) 下方偏差動差 zh_TW dc.subject (關鍵詞) 大中取小選股準則 zh_TW dc.subject (關鍵詞) VaR zh_TW dc.subject (關鍵詞) CVaR zh_TW dc.subject (關鍵詞) momentum strategies en_US dc.subject (關鍵詞) asset allocation model en_US dc.subject (關鍵詞) mean-absolute deviation en_US dc.subject (關鍵詞) lower partial moments en_US dc.subject (關鍵詞) minimax portfolio selection rule en_US dc.subject (關鍵詞) VaR en_US dc.subject (關鍵詞) CVaR en_US dc.title (題名) 最小化特定風險函數的動能策略 zh_TW dc.title (題名) A Momentum Strategy with Minimizing Certain Risk Function en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, Momentum strategies, Journal of Finance 51 (5), 1681-1713 (1996).Cooper, M. J., R. C. Gutierrez, and A. Hameed, Market states and momentum, Journal of Finance 59 (3), 1345-1365 (2004).Daniel, K., D. Hirshleifer, and A. Subrahmanyam, Investor psychology and security market under- and overreactions, Journal of Finance 53 (6), 1839-1886 (1988).Fama, E., Efficient capital market: A review of theory and empirical work, Journal of Finance 25 (2), 383-417 (1970).Feinstein, C. D., and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39 (12), 1552-1553 (1993).George, T. J., and C. Y. Hwang, The 52-week high and momentum investing, Journal of Finance 59 (5), 2145-2176 (2004).Harlow, W. V., Asset allocation in a downside-risk framework, Finance Analysts Journal 47 (5), 28-40 (1991).Hong, H., T. Lim, and J. C. Stein, Bad news travels slowly size, analyst coverage,and the profitability of momentum strategies, Journal of Finance 55 (1), 265-295 (2000).Jegadeesh, N., and S. Titman, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48 (1), 65-91 (1993).Jegadeesh, N., and S. Titman, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56 (2), 699-720 (2001).Jorion, P., Value-at-Risk: the new benchmark for controlling market risk, McGraw-Hill, New York (2000)Konno, H., and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37 (5), 519-531 (1991).Lee C. M. C., and B. Swaminathan, Price momentum and trading volume, The Journal of Finance 55 (5), 2017-2069 (2000).Markowitz, H., Portfolio selection, Journal of Finance 7 (1), 77-91 (1952).Markowitz, H., Portfolio selection: Efficient diversification of investmenst, John Wiley & Sons, New York (1959).Moskowitz, T. J., and M. Grinblatt, Do industries explain momentum? Journal of Finance 54 (4), 1249-1290 (1999).Rockafellar, R. T., and S. Uryasev, Optimization of conditional Value-at-Risk, The Journal of Risk 2, 21-41 (2000).Speranza, M. G., Linear programming models for portfolio optimization, Finance 14 (1), 107-123 (1993).Uryasev, S., Conditional Value-at-Risk: optimization algorithms and applications, Financial Engineering News 14, 1-5 (2000).Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44 (5), 673-683 (1998).周泰成，以不同條件風險值及高階動差重新檢視臺灣股市之動能策略，國立臺北大學企業管理學系碩士論文（民98）。楊子德，52週高價動能策略、價格動能策略、產業動能策略於台灣股票市場的獲利性比較與分析，國立政治大學財務管理學系碩士論文（民97）。楊芯純，大中取小法建立最佳投資組合，國立政治大學應用數學系碩士論文（民92）。 zh_TW
