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題名 資產配置之最適策略
作者 張桂莉
Ellen Chang, Kuei-Li
貢獻者 林炯垚<br>劉玉珍<br>張愛華
張桂莉
Ellen Chang, Kuei-Li
關鍵詞 資產配置
景氣循環
投資組合
配置策略
權益型資產
債券型資產
效率前緣
配置比例
日期 2000
上傳時間 31-Mar-2016 13:25:37 (UTC+8)
摘要 本研究主要探討資產組合是否應隨著景氣循環進行調整的實證，並觀察在不同的景氣狀態下，各類資產的投資報酬率、投資風險、資產間相關係數與配置比例變化情形。實證結果發現：
參考文獻 中文部分
1. 行政院經濟建設委員會經濟研究處，「台灣景氣指標」，行政院經濟建設委員會經濟研究處編印，民國八十四年二月至民國八十九年一月
2. 陳玫纓，「台灣退休基金資產配置與投資組合保險策略之研究」，台大財研碩士論文，民國八十六年六月
3. 陳隆麒，「現代財務管理：理論與應用」，華泰書局，民國八十二年一月
4. 游欣慧，「多種情境模式資產配置之研究」，台大財研碩士論文，民國八十八年六月
5. 閔志清，「台灣基金資產配置之研究」，台大財研碩士論文，民國八十七年六月
英文部分
1. Bierman, Harold Jr. "Portfolio Allocation and the Investment Horizon." Journal of Portfolio Management, Summer 1997, pp. 51-55.
2. Bierman, Harold Jr. "A Utility Approach to the Portfolio Allocation Decision and the Investment Horizon." Journal of Portfolio Management, Fall 1998, pp. 81-87.
3. Bitters, Warren E. "The New Science of Asset Allocation." Glenlake Publishing Co., Ltd., 1997.
4. Bodie, Z. "On the Risk of Stocks in the Long Run." Financial Analysts Journal, May-June 1995, pp. 18-22.
5. Brinson, G. P, L. R. Hood, and G. L. Beebower. "Determinants of Portfolio Performance." Financial Analyst Journal, July/August 1986, pp.39-44.
6. Brinson, G.P., L.R. Hood, and G.L. Beebower. "Determinants of Portfolio Performance II: An Update." Financial Analyst Journal, May/June 1991, pp.40-48.
7. Brocato, Joe, and Steed, Steve. "Optimal Asset allocation over the business cycle." Financial Review, August 1998, pp. 129-148.
8. Chen, Nai-Fu, R. Roll, and S. Ross, "Economic Forces and the Stock Market." Journal of Business 59, 1986, pp.383-404.
9. Cho, D., C.S. Eun, and L.W. Senbet, "International Arbitrage Pricing Theory: An Empirical Investigation." Journal of Finance 41, 1986, pp.313-333.
10. Eichhorn, David, Gupta, Francis and Stubbs, Eric, "Using Constrains to Improve the Robustness of Asset Allocation." Journal of Portfolio Management, Spring 1998, pp.41-48.
11. Erb, C.B., C.R. Harvey, and R.E. Viskanda, "Forecasting International Equity Correlations." Financial Analysts Journal 50, 1994, pp.32-45.
12. Grubel, H.G. "International Diversified Portfolios: Welfare Gains and Capital Flows." American Economic Review 58, 1968, pp.1299-1314.
13. Grubel, H.G., and K. Fadner, "The Independence of International Equity Markets." Journal of Finance 26, 1971, pp.89-94.
14. Joehnk, M., and J.W. Petty, "The Interest Sensitivity of Common Stock Prices." Journal of Portfolio Management 6, 1980, pp.19-25.
15. Kahneman, D., and A. Tversky. "Prospect Theory: An Analysis of Decision Under Risk." Econometrica 47, March 1979, pp. 263-291.
16. Kahneman, D., and A. Tversky. "The Psychology of Preferences." Scientific American, January 1982, pp. 160-173.
17. Ketchum, M.D. "Investment Management Through Formula Timing Plans." Journal of Business, July 1947, pp.156-169.
18. Koskosidis, Yiannis A., and Duarte, Antonio M. "A Scenario-Based Approach to Active Asset Allocation." Journal of Portfolio Management, Winter 1997, pp. 74-85.
19. Lessard, D. "World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification." Financial Analysts Journal 32, 1976, pp.32-38.
20. Markowitz, Harry M. "Portfolio Selection." Journal of Finance, March 1982, pp. 77-91.
21. Moore, G. "Business Cycles, Inflation, and Forecasting, 2nd ed." Ballinger Publishing Co., Cambridge, MA, 1983.
22. Samuelson, P.A. "The Long-Term Case for Equities." Journal of Portfolio Management, Fall 1994, pp. 15-24.
23. Schwert, W. "Indexes of United States Stock Prices from 1802 to 1987." Journal of Business 63, 1990, pp.399-426.
24. Solnick, B.H. "Why Not Diversify Internationally?" Financial Analysts Journal 30, 1974, pp.48-54.
25. Weston, J.F. "Some Theoretical Aspects of Formula Timing Plans." Journal of Business, October 1949, pp. 249-270.
描述 碩士
國立政治大學
企業管理學系
87355061
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001980
資料類型 thesis
dc.contributor.advisor 林炯垚<br>劉玉珍<br>張愛華zh_TW
dc.contributor.author (Authors) 張桂莉zh_TW
dc.contributor.author (Authors) Ellen Chang, Kuei-Lien_US
dc.creator (作者) 張桂莉zh_TW
dc.creator (作者) Ellen Chang, Kuei-Lien_US
dc.date (日期) 2000en_US
dc.date.accessioned 31-Mar-2016 13:25:37 (UTC+8)-
dc.date.available 31-Mar-2016 13:25:37 (UTC+8)-
dc.date.issued (上傳時間) 31-Mar-2016 13:25:37 (UTC+8)-
dc.identifier (Other Identifiers) A2002001980en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83131-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description (描述) 87355061zh_TW
dc.description.abstract (摘要) 本研究主要探討資產組合是否應隨著景氣循環進行調整的實證，並觀察在不同的景氣狀態下，各類資產的投資報酬率、投資風險、資產間相關係數與配置比例變化情形。實證結果發現：zh_TW
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
目錄
表目錄
圖目錄
第一章 緒論
第一節 研究動機
第二節 研究目的
第三節 研究架構
第二章 最適資產配置策略之相關文獻探討
第一節 投資組合理論
第二節 投資期間長短對最適資產配置策略的影響
第三節 投資人偏好對最適資產配置策略的影響
第四節 「一次投入」與「分期投入」策略之優劣
第五節 資產配置之重要性
第六節 景氣循環對資產配置策略的影響
第三章 投資組合比例應隨景氣循環進行調整之實證研究
第一節 國內外各項投資工具之相關文獻
第二節 將資產種類納入投資組合之判斷
第三節 資料來源與取得
第四節 研究方法
第四章 實證結果分析
第一節 投資報酬率與投資風險分析
第二節 報酬率相關係數分析
第三節 資產配置比例分析
第四節 修正研究
第五章 結論與建議
第一節 重要結論
第二節 未來研究建議
參考文獻
中文部分
英文部分		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001980en_US
dc.subject (關鍵詞) 資產配置zh_TW
dc.subject (關鍵詞) 景氣循環zh_TW
dc.subject (關鍵詞) 投資組合zh_TW
dc.subject (關鍵詞) 配置策略zh_TW
dc.subject (關鍵詞) 權益型資產zh_TW
dc.subject (關鍵詞) 債券型資產zh_TW
dc.subject (關鍵詞) 效率前緣zh_TW
dc.subject (關鍵詞) 配置比例zh_TW
dc.title (題名) 資產配置之最適策略zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部分
1. 行政院經濟建設委員會經濟研究處，「台灣景氣指標」，行政院經濟建設委員會經濟研究處編印，民國八十四年二月至民國八十九年一月
2. 陳玫纓，「台灣退休基金資產配置與投資組合保險策略之研究」，台大財研碩士論文，民國八十六年六月
3. 陳隆麒，「現代財務管理：理論與應用」，華泰書局，民國八十二年一月
4. 游欣慧，「多種情境模式資產配置之研究」，台大財研碩士論文，民國八十八年六月
5. 閔志清，「台灣基金資產配置之研究」，台大財研碩士論文，民國八十七年六月
英文部分
1. Bierman, Harold Jr. "Portfolio Allocation and the Investment Horizon." Journal of Portfolio Management, Summer 1997, pp. 51-55.
2. Bierman, Harold Jr. "A Utility Approach to the Portfolio Allocation Decision and the Investment Horizon." Journal of Portfolio Management, Fall 1998, pp. 81-87.
3. Bitters, Warren E. "The New Science of Asset Allocation." Glenlake Publishing Co., Ltd., 1997.
4. Bodie, Z. "On the Risk of Stocks in the Long Run." Financial Analysts Journal, May-June 1995, pp. 18-22.
5. Brinson, G. P, L. R. Hood, and G. L. Beebower. "Determinants of Portfolio Performance." Financial Analyst Journal, July/August 1986, pp.39-44.
6. Brinson, G.P., L.R. Hood, and G.L. Beebower. "Determinants of Portfolio Performance II: An Update." Financial Analyst Journal, May/June 1991, pp.40-48.
7. Brocato, Joe, and Steed, Steve. "Optimal Asset allocation over the business cycle." Financial Review, August 1998, pp. 129-148.
8. Chen, Nai-Fu, R. Roll, and S. Ross, "Economic Forces and the Stock Market." Journal of Business 59, 1986, pp.383-404.
9. Cho, D., C.S. Eun, and L.W. Senbet, "International Arbitrage Pricing Theory: An Empirical Investigation." Journal of Finance 41, 1986, pp.313-333.
10. Eichhorn, David, Gupta, Francis and Stubbs, Eric, "Using Constrains to Improve the Robustness of Asset Allocation." Journal of Portfolio Management, Spring 1998, pp.41-48.
11. Erb, C.B., C.R. Harvey, and R.E. Viskanda, "Forecasting International Equity Correlations." Financial Analysts Journal 50, 1994, pp.32-45.
12. Grubel, H.G. "International Diversified Portfolios: Welfare Gains and Capital Flows." American Economic Review 58, 1968, pp.1299-1314.
13. Grubel, H.G., and K. Fadner, "The Independence of International Equity Markets." Journal of Finance 26, 1971, pp.89-94.
14. Joehnk, M., and J.W. Petty, "The Interest Sensitivity of Common Stock Prices." Journal of Portfolio Management 6, 1980, pp.19-25.
15. Kahneman, D., and A. Tversky. "Prospect Theory: An Analysis of Decision Under Risk." Econometrica 47, March 1979, pp. 263-291.
16. Kahneman, D., and A. Tversky. "The Psychology of Preferences." Scientific American, January 1982, pp. 160-173.
17. Ketchum, M.D. "Investment Management Through Formula Timing Plans." Journal of Business, July 1947, pp.156-169.
18. Koskosidis, Yiannis A., and Duarte, Antonio M. "A Scenario-Based Approach to Active Asset Allocation." Journal of Portfolio Management, Winter 1997, pp. 74-85.
19. Lessard, D. "World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification." Financial Analysts Journal 32, 1976, pp.32-38.
20. Markowitz, Harry M. "Portfolio Selection." Journal of Finance, March 1982, pp. 77-91.
21. Moore, G. "Business Cycles, Inflation, and Forecasting, 2nd ed." Ballinger Publishing Co., Cambridge, MA, 1983.
22. Samuelson, P.A. "The Long-Term Case for Equities." Journal of Portfolio Management, Fall 1994, pp. 15-24.
23. Schwert, W. "Indexes of United States Stock Prices from 1802 to 1987." Journal of Business 63, 1990, pp.399-426.
24. Solnick, B.H. "Why Not Diversify Internationally?" Financial Analysts Journal 30, 1974, pp.48-54.
25. Weston, J.F. "Some Theoretical Aspects of Formula Timing Plans." Journal of Business, October 1949, pp. 249-270.		zh_TW