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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 林姿婷 | |
dc.contributor.author | Chuan-Shiun Wang | en |
dc.contributor.author | 王傳勛 | zh_TW |
dc.date.accessioned | 2021-06-07T17:33:45Z | - |
dc.date.copyright | 2020-07-15 | |
dc.date.issued | 2020 | |
dc.date.submitted | 2020-06-17 | |
dc.identifier.citation | 1. Albeverio, S., & Wallbaum, K. (2019). The volatility target effect in investment-linked products with embedded American-type derivatives. Investment Management & Financial Innovations, 16(3), 18.
2. Arak, M. I. (2013). Mitigating portfolio downside risk using vix-based products. Lehigh University, Theses and Dissertations. 3. Banerjee, A., Srivastava, V., Cheng, T. (2016). Limiting risk exposure with S&P risk control indices. Tech. rep., S&P Global. 4. Bertrand, P., Prigent, J. L. (2001). Portfolio insurance strategies: Obpi versus Cppi. GREQAM Working Paper, University of CERGY Working Paper No 2001-30. 5. Cipollini, A. P. L., Manzini, A. (2007). Can the vix signal market’s direction? An asymmetric dynamic strategy. 6. Cirelli, S., Vitali, S., Ortobelli Lozza, S., Moriggia, V. (2017). A conservative discontinuous target volatility strategy. Investmest Management and Financial Innovations, 14(2-1), 176-190. 7. Elyasiani, E., & Stetsyuk, I. (2016). Managed volatility mutual funds and business cycles. 8. Giese, G. (2010a). Risk controlled investment strategies. Tech. rep., STOXX Index Guide. 9. Giese, G. (2010b). Volatility as an asset class. Tech. rep., Research Repelt. STOXX. 10. Harvey, C., Hoyle, E., Rattray, S., Sargaison, M., Taylor, D., & Van Hemert, O. (2019). The best of strategies for the worst of times: can portfolios be crisis proofed? 11. Hocquard, A., D. Ng, and N. Papageorgiou. (2013). A constant-volatility framework for managing tail risk. The Journal of Portfolio Management, 39 (2), 28-40. 12. Marra, S. (2014). Dynamic volatility targeting. Tech. rep., Lazard Asset Management. 13. Morrision, S., Tadrowski, L. (2013). Guarantees and target volatility funds, Moody analytics, September. 14. Papageorgiou, N. A., Reeves, J. J., & Sherris, M. (2017). Equity investing with targeted constant volatility exposure. FIRN Research Paper, (2614828). 15. Perchet, R., R. L. de Carvalho, T. Heckel, and P. Moulin. (2015): Predicting the success of volatility targeting strategies: Application to equities and other asset classes. The Journal of Alternative Investments, 18(3), 21-38. 16. Sloyer, M., Tolkin, R. (2008). The vix as a fix: Equity volatility as a lifelong investment enhancer. Duke University, North Carolina. 17. Zhang, R., Langrene, N., Tian, Y., & Zhu, Z. (2019). Dynamic volatility management: From conditional volatility to realized volatility. Forthcoming, Journal of Investment Strategies. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15398 | - |
dc.description.abstract | 本研究試圖比較兩種目標波動的策略,分別是傳統的目標波動法以及非連續目標波動法,根據不同的風險指標以及不同的資產再平衡方式進行績效之比較。
研究結果顯示,如果是每周對投資組合進行資產再平衡,選取VIX指數之非連續目標波動法表現最好,並且四種方法的績效都高於大盤本身;但若是等實際資產比例偏離理論值到一定程度才進行資產再平衡的話,也就是後面所簡稱的緩衝再平衡法,不但其中三個策略的績效和定期再平衡的結果差距不大,而且四種策略之績效一樣優於大盤外,此法的投資組合再平衡次數相較定期再平衡法大幅降低,可減少交易手續費。而上述所提的八種策略,都能有效的控制投資組合的平均標準差、最大交易回落以及最大標準差。 | zh_TW |
dc.description.abstract | This research intends to compare two target volatility strategies’ performance, traditional target volatility method and discontinuous target volatility method, depending on different risk measure and two asset rebalancing methods.
The result shows that if portfolio was rebalanced on a weekly basis, discontinuous target volatility method based on VIX is the best strategy, moreover, all four strategies performed better than TAIEX itself. However, if the portfolio was rebalanced with buffer, three of the four strategies had similar performance with those rebalanced weekly while all four strategies still performed better than TAIEX, more importantly, the frequency of rebalancing can be reduced significantly, thus led to less transaction fees. All eight strategies can efficiently control the average volatility, maximum drawdown and maximum volatility of the portfolio. | en |
dc.description.provenance | Made available in DSpace on 2021-06-07T17:33:45Z (GMT). No. of bitstreams: 1 ntu-109-R07723066-1.pdf: 2053787 bytes, checksum: 23cbad44f2e905e5832365093543fe88 (MD5) Previous issue date: 2020 | en |
dc.description.tableofcontents | 口試委員會審定書 i
致謝 ii 中文摘要 iii Abstract iv 圖表目錄 vi 第一章 緒論 1 第一節 研究動機 1 第二節 論文架構 1 第二章 文獻探討 2 第一節 目標波動基金之介紹 2 第二節 目標波動機制的優缺點 3 第三節 VIX指數的優點 4 第四節 文獻總結 5 第三章 研究方法 6 第一節 實證模型 6 第二節 資料來源 9 第四章 研究結果 10 第一節 每周再平衡法 10 第二節 緩衝再平衡法 15 第五章 結論 20 | |
dc.language.iso | zh-TW | |
dc.title | 非連續目標風險策略-以臺灣大盤市場為例 | zh_TW |
dc.title | Discontinuous Target Volatility Strategy with TAIEX | en |
dc.type | Thesis | |
dc.date.schoolyear | 108-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳彥行,莊文議 | |
dc.subject.keyword | 目標波動,投資組合,資產再平衡,VIX指數,標準差, | zh_TW |
dc.subject.keyword | Target Volatility,Portfolio,Asset Rebalancing,VIX Index,Standard Deviation, | en |
dc.relation.page | 22 | |
dc.identifier.doi | 10.6342/NTU202001029 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2020-06-17 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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