以市場中立策略下建立投資組合模式

Abstract

在本研究中，參考馬克維茲的平均數變異數投資組合模式，提出以做多效率前緣上的投資組合並且放空相對應的最沒效率前緣的投資組合方式建立市場中立的投資組合。實證則採用台灣經濟新報(TEJ)提供的台灣證券市場2004年到2012年的上市櫃公司資料進行，並以夏普指標當作評斷投資組合的標準。 本論文提出的兩種市場中立投資組合，都是作多效率效率前緣上的投資組合，但是放空部分分為兩種，一種為放空最小報酬的投資組合，另一種為放空最大風險的投資組合。實證結果發現以第二種方式建立的市場中立投資組合有很好的表現，並且可以打敗大盤。

In this thesis, we use Markowitz’s mean-variance portfolio model to propose a new method to construct an equity market-neutral portfolio by going long an efficient portfolio and short on the least efficient portfolios. The experiments draw on the Taiwan Economics Journal (TEJ) database during 2004 to 2012. The test sample consists of all the listed stocks in the Taiwan stock market during that period. The Sharpe ratio is employed as the benchmark to assess the performances of portfolios. We propose two equity market-neutral portfolios. Both of them are constructed by going long the same efficient portfolio, but short on different portfolios. The first one is going short on the minimum return portfolio, and the other is going short on the maximum risk portfolio. The empirical results show that the latter has a good performance and outperforms the stock market.