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題名 資產配置之動態規劃
An Application of Dynamic Asset Allocation: Two-period Investigation
作者 蔡秉寰
Tsai, Ping-Huan
貢獻者 陳松男
Chen, Son-Nan
蔡秉寰
Tsai, Ping-Huan
關鍵詞 多期資產配置
動態規劃
馬可夫性質
均數/變異數模型
隨機規劃
multiperiod asset allocation
dynamic programming
markov property
mean-variance
stochastic programming
multistage decision process
日期 2001
上傳時間 18-Apr-2016 16:27:52 (UTC+8)
摘要 資產配置乃是將資金分散投資到主要的資產類別中，諸如股票、債券、現金等。傳統的均數/變異數方法在資產配置上早已被廣泛的運用。但是，現今的金融情勢多變，多期配置的需求提高，傳統均數/變異數方法只處理單一期間的資產配置，且反應未來的能力不佳，顯然已經不適用。
Asset allocation is the process of dividing an investment fund among major asset classes such as equities, bonds, cash, etc. Traditional mean-variance portfolio selection is widely used for asset allocation. However, as time goes by, the financial condition changes rapidly. The method of mean-variance analysis has some limitations. It not only can’t deal with multiperiod asset allocation, but also cannot reflect future economic circumstances, especially for long-term investments.
參考文獻 英文部分
     1.Bierman, H. Jr., “A utility approach to the portfolio allocation decision and the investment horizon”, The Journal of Portfolio Management, Fall 1998, 81-87.
     2.Birge, J. R., “Stochastic programming computation and applications”, INFORMS Journal on Computing, v9 (2), Spring 1997.
     3.Birge, J. R. & Francois Louveaux, “Introduction to stochastic programming”, 1997, Springer-Verlag.
     4.Carino, David R. & Andrew L. Turner, “Multiperiod asset allocation with derivative assets”, In: Ziemba W.T., Mulvey, J.M., eds., Worldwide Asset and Liability Modeling, Cambridge University Press, 182-204.
     5.Chopra, V.K. & W.T. Ziemba, (1993) “The effect of errors in means, variances, and covariances on optimal portfolio choice”, Journal of Portfolio Management, 1993
     6.Hensel, C.R., D. Don Ezra, & John H. Ilkiw, (1991) “The importance of the asset allocation decision”, Financial analysts Journal, July/August, 1991.
     7.Marans, C. D., I. P. Androulakis, C. A. Floudas, A. J. Berger, & J. M. Mulvey, “Solving long-term financial planning problems via global optimization”, Journal of Economic Dynamics and Control, 21, 1997, 1405-1425.
     8.Messina, E., & G. Mitra, (1997) “Modelling and analysis of multistage stochastic programming problems: A software environment”, European Journal of operational Research, v101, p343-359.
     9.Mulvey, J.M. (2000) “Introduction to financial optimization: Mathematical Programming Special Issue”, Mathematical Programming, 89(2), 2001, 205-216.
     10.Mulvey, J. M., & W.T. Ziemba, (1998) “Asset and liability management systems for long-term investors: discussion of the issues”, In: Ziemba W.T., Mulvey, J.M., eds., Worldwide Asset and Liability Modeling, Cambridge University Press, 3-38.
     11.Musumeci, Jim, & Joe Musumeci, “A dynamic programming approach to multiperiod asset allocation”, Journal of Financial Services Research, 15(1), 1999, 5-21.
     12.Koskosidis, Yiannis A. & Antonio M. Duarte, “A scenario-Based Approach to Active Asset Allocation”, The Journal of Portfolio Management, Winter(1997), 74-85.
     中文部分
     1.張宇恭，動態規劃—作業研究之二（理論及應用），民國67年，三民書局。
     2.游欣慧，多種情境模式資產配置之研究，台大財務金融研究所碩士論文，民國89年。
     3.投資分析+Matlab應用，財務金融研究中心（銘傳大學），民國88年。
描述 碩士
國立政治大學
金融研究所
88352005
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001539
資料類型 thesis
dc.contributor.advisor 陳松男zh_TW
dc.contributor.advisor Chen, Son-Nanen_US
dc.contributor.author (Authors) 蔡秉寰zh_TW
dc.contributor.author (Authors) Tsai, Ping-Huanen_US
dc.creator (作者) 蔡秉寰zh_TW
dc.creator (作者) Tsai, Ping-Huanen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:27:52 (UTC+8)-
dc.date.available 18-Apr-2016 16:27:52 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:27:52 (UTC+8)-
dc.identifier (Other Identifiers) A2002001539en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85396-
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) 88352005zh_TW
dc.description.abstract (摘要) 資產配置乃是將資金分散投資到主要的資產類別中，諸如股票、債券、現金等。傳統的均數/變異數方法在資產配置上早已被廣泛的運用。但是，現今的金融情勢多變，多期配置的需求提高，傳統均數/變異數方法只處理單一期間的資產配置，且反應未來的能力不佳，顯然已經不適用。zh_TW
dc.description.abstract (摘要) Asset allocation is the process of dividing an investment fund among major asset classes such as equities, bonds, cash, etc. Traditional mean-variance portfolio selection is widely used for asset allocation. However, as time goes by, the financial condition changes rapidly. The method of mean-variance analysis has some limitations. It not only can’t deal with multiperiod asset allocation, but also cannot reflect future economic circumstances, especially for long-term investments.en_US
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     目錄
     表目錄
     圖目錄
     第壹章 緒論
     第一節 研究動機
     第二節 研究目的
     第三節 研究架構與方法
     第貳章 文獻回顧
     第一節 傳統模型探討
     第二節 動態規劃介紹
     第參章 模型架構
     第一節 一般模型介紹
     第二節 論文模型架構
     第肆章 研究結果
     第一節 基本設定說明
     第二節 實證方法
     第三節 實證結果
     第伍章 結論與未來研究方向
     附錄
     附錄一
     附錄二
     附圖
     附表
     參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001539en_US
dc.subject (關鍵詞) 多期資產配置zh_TW
dc.subject (關鍵詞) 動態規劃zh_TW
dc.subject (關鍵詞) 馬可夫性質zh_TW
dc.subject (關鍵詞) 均數/變異數模型zh_TW
dc.subject (關鍵詞) 隨機規劃zh_TW
dc.subject (關鍵詞) multiperiod asset allocationen_US
dc.subject (關鍵詞) dynamic programmingen_US
dc.subject (關鍵詞) markov propertyen_US
dc.subject (關鍵詞) mean-varianceen_US
dc.subject (關鍵詞) stochastic programmingen_US
dc.subject (關鍵詞) multistage decision processen_US
dc.title (題名) 資產配置之動態規劃zh_TW
dc.title (題名) An Application of Dynamic Asset Allocation: Two-period Investigationen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 英文部分
     1.Bierman, H. Jr., “A utility approach to the portfolio allocation decision and the investment horizon”, The Journal of Portfolio Management, Fall 1998, 81-87.
     2.Birge, J. R., “Stochastic programming computation and applications”, INFORMS Journal on Computing, v9 (2), Spring 1997.
     3.Birge, J. R. & Francois Louveaux, “Introduction to stochastic programming”, 1997, Springer-Verlag.
     4.Carino, David R. & Andrew L. Turner, “Multiperiod asset allocation with derivative assets”, In: Ziemba W.T., Mulvey, J.M., eds., Worldwide Asset and Liability Modeling, Cambridge University Press, 182-204.
     5.Chopra, V.K. & W.T. Ziemba, (1993) “The effect of errors in means, variances, and covariances on optimal portfolio choice”, Journal of Portfolio Management, 1993
     6.Hensel, C.R., D. Don Ezra, & John H. Ilkiw, (1991) “The importance of the asset allocation decision”, Financial analysts Journal, July/August, 1991.
     7.Marans, C. D., I. P. Androulakis, C. A. Floudas, A. J. Berger, & J. M. Mulvey, “Solving long-term financial planning problems via global optimization”, Journal of Economic Dynamics and Control, 21, 1997, 1405-1425.
     8.Messina, E., & G. Mitra, (1997) “Modelling and analysis of multistage stochastic programming problems: A software environment”, European Journal of operational Research, v101, p343-359.
     9.Mulvey, J.M. (2000) “Introduction to financial optimization: Mathematical Programming Special Issue”, Mathematical Programming, 89(2), 2001, 205-216.
     10.Mulvey, J. M., & W.T. Ziemba, (1998) “Asset and liability management systems for long-term investors: discussion of the issues”, In: Ziemba W.T., Mulvey, J.M., eds., Worldwide Asset and Liability Modeling, Cambridge University Press, 3-38.
     11.Musumeci, Jim, & Joe Musumeci, “A dynamic programming approach to multiperiod asset allocation”, Journal of Financial Services Research, 15(1), 1999, 5-21.
     12.Koskosidis, Yiannis A. & Antonio M. Duarte, “A scenario-Based Approach to Active Asset Allocation”, The Journal of Portfolio Management, Winter(1997), 74-85.
     中文部分
     1.張宇恭，動態規劃—作業研究之二（理論及應用），民國67年，三民書局。
     2.游欣慧，多種情境模式資產配置之研究，台大財務金融研究所碩士論文，民國89年。
     3.投資分析+Matlab應用，財務金融研究中心（銘傳大學），民國88年。		zh_TW