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標題: | 網路評論應用於Black-Litterman模型之投資組合績效評估 Applying Return Prediction from Online Review to the Black-Litterman Model |
作者: | Chi Fok Kuan 關志福 |
指導教授: | 張森林(San-Lin Chung) |
共同指導教授: | 楊立偉(Li-Wei Yang) |
關鍵字: | Black-Litterman 模型,網路評論, Black-Litterman Model,Online reviews, |
出版年 : | 2019 |
學位: | 碩士 |
摘要: | 在互聯網時代,人們習慣於在網路上留下自己對於事物的看法,並與別人討論分享,而這些評論和分享中隱藏的一些重要資訊往往被人忽視,如人們對個股的留言中所隱含的關於股票走勢預測的資訊。本研究希望對這些個股留言資訊加以整理和分析,並以此作為投資者的觀點,從而放進Black-Litterman模型來建構投資組合。本研究發現在選定的股票組合中,用網路評論為觀點依據的Black-Litterman模型的優化配置的歷史績效較市場配置佳,雖在統計上無達到顯著水準,但也顯示了網路評論隱含著對股價有價值的訊息。 Recent advances in information technology have provided the ability for everyone to leave comments on the internet as well as to easily share their opinions with each other. In addition, those comments are hidden with information regarding trend of stocks. Nevertheless, they are usually ignored by people. This research tried to utilize these online reviews as investor views of the Black-Litterman Model to build a portfolio. The results showed that the return of selected portfolio from online reviews to the Black-Litterman model was higher than before using online review adjustment. Even though the results were not statistically significant, this indicates that online reviews include a considerable amount of value for stock prices. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21446 |
DOI: | 10.6342/NTU201902435 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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ntu-108-1.pdf 目前未授權公開取用 | 1.98 MB | Adobe PDF |
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