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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/42283完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 吳文方(Wen-Fang Wu) | |
| dc.contributor.author | Ching-Yuan Hsu | en |
| dc.contributor.author | 徐靖淵 | zh_TW |
| dc.date.accessioned | 2021-06-15T00:57:30Z | - |
| dc.date.available | 2013-08-08 | |
| dc.date.copyright | 2008-08-08 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-08-02 | |
| dc.identifier.citation | Alexander, G.J. and Baptista, A.M. (2002), “Economic Implications of Using a Mean-VaR model for Portfolio Selection: A Comparison with Mean-variance Analysis,” Journal of Economic Dynamic Control, 26, 1159-1193.
Alexander, C.O. (2000), “A Primer on the Orthogonal GARCH Model,” unpublished manuscript, ISMA Centre, University of Reading, UK. Basak, S., and Shapiro, A. (2001), “Value-at-risk-based Risk Management: Optimal Policies and Asset Prices,” Review of Financial Study, 14, 371-405. Bodie, Z., Kane, A. and Marcus, A.J (2007), Investment, McGraw Hill. Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307-327. Bollerslev, T. (1990), “Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach,” Review of Economic and Statistic, 72, 498-505. Bollerslev, T., Chou, R.Y. and Kroner, K.F. (1992), “ARCH Modeling in Finance,” Journal of Econometrics, 52, 5-59. Chris, M. (2002), Fundamentals of Risk Measurement, McGraw Hill. Duffie, D. and Pan, J. (1997), “An Overview of Value at Risk,” Journal of Derivatives, 4, 7-49. Engle, R.F. (1982) “Autoregressive Conditional Hetroskedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50, 987-1008. Engle, R.F. and Kroner , K.F. (1993) “Multivariate Simultaneous Generalized ARCH,” Econometric Theory, 11, 122-150. Hull, J.C. (2007), Options, Futures, & Other Derivatives, Prentice-Hall, Upper Saddle River, NJ. Jorion, P. (1997), Value at Risk: The New Benchmark for Controlling Market Risk, McGraw-Hill, New York. Kroner, K.F. and Ng, V.K. (1998), “Modeling Asymmetric Comovements of Asset Returns,” Review of Financial Studies, 11, 817-844. Markowitz, H. (1959), “Portfolio Selection: Efficient Diversification,” John Wiley and Sons, New York. Merton, R.C. (1972), “An analytic derivation of the efficient portfolio frontier,” Journal of Financial and Quantitative Analysis, 7, 1851-1872. Nelson, D.B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347-370 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/42283 | - |
| dc.description.abstract | 本論文主要在建構一個考量波動性風險下之最適投資組合配置模型，此模型由兩個模組所構成，模組一使用simplified multivariate GARCH模型計算資產變異數與資產間共變異數，以建構一隨時間變動的共變異數矩陣(波動性矩陣)；模組二則使用「平均數-變異數」模型與「平均數-風險值」模型，以求得具最小風險之最適投資組合配置。特別的，本論文於模組一中，分別採用Constant Correlation GARCH、Orthogonal GARCH 與PC GARCH 三種不同simplified multivariate GARCH模型，求得三種不同的共變異數矩陣；再將它們分別輸入於模組二，搭配「平均數-變異數」與「平均數-風險值」兩種投資組合管理模型，最後可求得三組不同的最適投資組合配置。在以上推導最佳化投資組合過程中，本論文發現，使用「平均數-變異數」作為投資組合管理模型時，有一封閉型的最佳解；然而使用「平均數-風險值」模型時，如果選擇一個較小的信賴水準，有時可能無法獲得最佳投資組合的解答。本論文於MSCI中挑選數支股票作為以上投資組合分析之驗證，首先應用本文所提出之最適投資組合配置模型，求得一組最佳投資組合配置，再將此最佳投資組合的績效表現與市場數個標竿結果比較，其中包括根據台灣加權股票市值再加權的投資組合、根據MSCI Taiwan市值加權的投資組合、以及台灣加權股票指數。分析與驗證的結果發現，無論使用哪一種simplified multivariate GARCH來衡量風險，利用「平均數-變異數」模型所得最佳投資組合的風險都較台灣加權股票市值再加權的投資組合與MSCI Taiwan市值加權的投資組合為低。 | zh_TW |
| dc.description.abstract | This thesis is aimed to construct a comprehensive model of portfolio selection under time-varying volatility. The model contains two modules. Module 1 consists of three simplified multivariate GARCH models namely Constant Correlation GARCH model, Orthogonal GARCH model and PC GARCH model respectively. Module 2 consists of a mean-variance model and a mean-VaR model. Module 1 is used to generate three different time-varying covariance matrices. Any of these matrices can be substituted into Module 2 to obtain a time-varying portfolio that minimizes the risk reflected by its volatility. It is shown that a closed-form solution exists for the optimal portfolio weights if the mean-variance model is employed. However, the optimal portfolio weight may not exist for the mean-VaR model if a small confidence level is selected. The above proposed portfolio selection model is used to analyze a few common stocks selected from Taiwan equity market. The optimal portfolio obtained from the mean-variance model is compared with benchmarks of the market such as TWEX market-value weighted portfolio, MSCI weighted portfolio and TWEX. It is found that the optimal portfolio obtained using the proposed model has the least volatility as compared to those of TWEX weighted portfolio and MSCI weighted portfolio regardless of which of the three multivariate GARCH models is used. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T00:57:30Z (GMT). No. of bitstreams: 1 ntu-97-R95546008-1.pdf: 1903173 bytes, checksum: fbc72c10e847ef52d101a38138e8a303 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | Abstract i
Contents ii Contents of Figures iii Contents of Tables iv Chapter 1 : Introduction 1 1.1 Research Motivation 1 1.2 Model Structure 3 1.3 Thesis Structure 4 Chapter 2 : Literature Review 5 2.1 Value-at-Risk 5 2.2 GARCH Models 8 2.3 Portfolio Management 10 2.4 Research Objective 17 Chapter 3 : Methodology 18 3.1 Research Procedure 18 3.2 Modeling Time-varying Volatility and Covariance Matrix 20 3.3 Portfolio Management Models 31 Chapter 4 : Empirical Analysis 37 4.1 Data Collection 37 4.2 Volatility Estimation 39 4.3 Optimal Portfolio Control 49 Chapter 5 : Conclusion and Discussion 60 References 63 | |
| dc.language.iso | en | |
| dc.subject | 異質變異數 | zh_TW |
| dc.subject | 波動性 | zh_TW |
| dc.subject | 風險值 | zh_TW |
| dc.subject | 投資組合配置 | zh_TW |
| dc.subject | 正交 | zh_TW |
| dc.subject | VaR | en |
| dc.subject | Optimal Portfolio | en |
| dc.subject | Volatility | en |
| dc.subject | Orthogonal | en |
| dc.subject | GARCH | en |
| dc.title | 考量波動性風險下之投資組合配置-以台灣股票市場為例 | zh_TW |
| dc.title | Portfolio Selection under Time-Varying Volatility Risk with Taiwan Equity Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 96-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 吳政鴻,陳正剛 | |
| dc.subject.keyword | 異質變異數,波動性,正交,投資組合配置,風險值, | zh_TW |
| dc.subject.keyword | GARCH,,Orthogonal,Volatility,Optimal Portfolio,VaR, | en |
| dc.relation.page | 64 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2008-08-04 | |
| dc.contributor.author-college | 工學院 | zh_TW |
| dc.contributor.author-dept | 工業工程學研究所 | zh_TW |
| 顯示於系所單位： | 工業工程學研究所 | |
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