請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/59755
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Ya-Yen Wu | en |
dc.contributor.author | 吳雅岩 | zh_TW |
dc.date.accessioned | 2021-06-16T09:36:22Z | - |
dc.date.available | 2027-02-11 | |
dc.date.copyright | 2017-02-16 | |
dc.date.issued | 2017 | |
dc.date.submitted | 2017-02-12 | |
dc.identifier.citation | Acerbi, C., & Tasche, D. (2002). On the coherence of expected shortfall. Journal of Banking & Finance, 26(7), 1487-1503.
Andersson, J. (2001). On the normal inverse Gaussian stochastic volatility model. Journal of Business & Economic Statistics, 19(1), 44-54. Aumann, R. J., & Serrano, R. (2008). An economic index of riskiness. Journal of Political Economy, 116(5), 810-836. Bali, T. G., Cakici, N., & Chabi-Yo, F. (2011). A generalized measure of riskiness. Management science, 57(8), 1406-1423. Bosch-Badia, M. T., Montllor-Serrats, J., & Tarrazon-Rodon, M. A. (2014). Unveiling the embedded coherence in divergent performance rankings. Journal of Banking & Finance, 42, 154-165. Chen, Y. T., Huang, R. J., Shih, P. T., & Tzeng, L. Y. (2017). Capital Asset Pricing Model Based on a Generalized Economic Index of Riskiness. Chen, Y. T., Ho, K. Y., & Tzeng, L. Y. (2014). Riskiness-minimizing spot-futures hedge ratio. Journal of Banking & Finance, 40, 154-164. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of finance, 51(1), 55-84. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. The Journal of Financial Economics, 116(1), 1-22. Fishburn, P. C. (1964). Decision and value theory (No. 511.65 F5). Foster, D. P., & Hart, S. (2009). An operational measure of riskiness. Journal of Political Economy, 117(5), 785-814. Goodwin, T. H. (1998). The information ratio. Financial Analysts Journal, 54(4), 34-43. Hadar, J., & Russell, W. R. (1969). Rules for ordering uncertain prospects. The American Economic Review, 59(1), 25-34. Hanoch, G., & Levy, H. (1969). The efficiency analysis of choices involving risk. The Review of Economic Studies, 36(3), 335-346. Homm, U., & Pigorsch, C. (2012). Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement. Journal of Banking & Finance, 36(8), 2274-2284. Hicks, J. (1962). Safety First and the Holding of Assets. Econometrica, 4, 310-90. Homm, U., & Pigorsch, C. (2012). An operational interpretation and existence of the Aumann–Serrano index of riskiness. Economics Letters, 114(3), 265-267. Jorion, P. (1997). Value at risk (pp. 1-4). McGraw-Hill, New York. Junior, A. M. D., & Alcantara, S. D. R. (1999). Mean-Value-at-Risk Optimal Portfolios with Derivatives. Derivatives Quarterly, 6(2), 56-63. Levy, H. (1992). Stochastic dominance and expected utility: survey and analysis. Management Science, 38(4), 555-593. Levy, H., & Hanoch, G. (1969). Relative effectiveness of efficiency criteria for portfolio selection. The Journal of Finance and Quantitive Analysis, 5(1), 63-76, 1970. Markowitz, H. (1952). Portfolio selection. The Journal of finance, 7(1), 77-91. Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of risk, 2, 21-42. Schnytzer, A., & Westreich, S. (2013). A global index of riskiness. Economics Letters, 118(3), 493-496. Schulze, K. (2010). Existence and computation of the Aumann-Serrano index of riskiness. Working Paper, McMaster University. Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), -138. Sharpe, W. F. (1994). The sharpe ratio. The Journal of portfolio management, 21(1), 49-58. Sortino, F. A., & Price, L. N. (1994). Performance measurement in a downside risk framework. the Journal of Investing, 3(3), 59-64. Treynor, J. L. (1965). How to rate management of investment funds. Harvard business review, 43(1), 63-75. Treynor, J. L., & Black, F. (1973). How to use security analysis to improve portfolio selection. The Journal of Business, 46(1), 66-86. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/59755 | - |
dc.description.abstract | 本研究提出了一般化崔諾比率(Riskiness based Treynor ratio),此績效指標以Riskiness CAPM beta來衡量系統性風險,滿足單調性和隨機優越性等良好性質,且除了平均數和變異數,更考量了報酬率分配的偏態和峰態對於績效衡量的影響。
一般化崔諾指標衡量投資人承擔一單位系統性風險所得之超額報酬,相較於傳統的Treynor ratio,該指標係以Mean-Riskiness架構下估計所得之Riskiness CAPM beta,即投資組合報酬率與市場投資組合報酬率之非線性函數的共變數,和市場投資組合報酬率與市場投資組合報酬率之非線性函數的共變數之比值,取代傳統Mean-Variance架構下的CAPM beta來衡量系統性風險。 本研究以Fama and French 25個由不同公司規模與淨值市價比所形成之投資組合的月報酬率進行實證研究,比較各績效指標的排序結果。實證結果顯示,傳統CAPM傾向因低估了系統性風險,而高估了正的異常超額報酬和負的異常超額報酬,即傳統CAPM beta傾向被低估而傳統Treynor ratio傾向被高估,此現象與Chen et al.(2017)的實證結果一致。同時也發現,當投資組合超額報酬率分配接近常態分配時,若以Aumann and Serrano (2008)的定義估計Riskiness,則Risiness based Treynor ratio 與Treynor ratio排序相近但不全然相同。一般化崔諾比率為在經濟意涵及數學上更為嚴謹的績效指標,使得當資料樣態偏離古典假設時,仍能夠較正確地衡量投資組合的績效。 | zh_TW |
dc.description.abstract | This paper proposed a Riskiness based Treynor ratio, which generalized Treynor ratio under Mean-Riskiness instead of Mean-Variance framework. This performance measure satisfies monotonicity with respect to second degree of stochastic dominance, moreover, it considers not only mean and variance but also skewness and kurtosis of the excess return distribution. Compare to Treynor ratio, Riskiness based Treynor ratio estimate Riskiness-CAPM beta instead of traditional CAPM beta to capture systematic risk under Mean-Riskiness reward-risk framework. To explain more, Riskiness-CAPM beta depends on the covariance of portfolio return and a non-linear function constructed by market portfolio return and market portfolio’s Riskiness index.
Treynor ratio is a commonly used performance index which measures how much excess return a portfolio can earn by taking one unit of systematic risk. In this paper, consistent to findings in Chen et al. (2017), we found that traditional CAPM beta tends to underestimate systematic risk and overestimate abnormal excess return of the portfolio; it also implies that traditional Treynor ratio could be overestimated. Furthermore, when we establish Riskiness Treynor ratio based on Aumann and Serrano (2008), Riskiness Treynor ratio performance ranking is close to traditional Treynor ratio if the excess return distribution of portfolios is normally distributed. Using 25 Fama & French Size and Book to Market ratio portfolios, we suggest Riskiness Treynor ratio is a more rigorous performance indicator in terms of economic and mathematic and it can still measure the performance of portfolio accurately when the distribution of excess return is not normally distributed. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T09:36:22Z (GMT). No. of bitstreams: 1 ntu-106-R03723079-1.pdf: 2082180 bytes, checksum: fb2b8289ef22e6a428a862fd0d3c1d87 (MD5) Previous issue date: 2017 | en |
dc.description.tableofcontents | 口試委員審定書 i
誌謝 ii 中文摘要 iii Abstract iv 目錄 v 圖目錄 vi 表目錄 vii 第一章 研究緒論 1 1.1 研究動機 1 1.2 研究架構 5 第二章 文獻探討 6 2.1 風險指標之發展 6 2.2 隨機優越理論 8 2.3 投資組合理論 9 第三章 研究方法 10 3.1 新風險指標Riskiness估計方法 10 3.2 Mean- Riskiness資本資產定價模型 12 3.3 一般化崔諾指標 (Riskiness based Treynor ratio) 14 第四章 實證分析 15 4.1 研究對象 15 4.2 投資組合敘述統計 16 4.3 投資組合績效指標排序 17 第五章 結論與建議 22 5.1 結論 22 5.2 後續研究建議 23 參考文獻 24 附錄 26 | |
dc.language.iso | zh-TW | |
dc.title | 一般化之Treynor比率 | zh_TW |
dc.title | Beyond the Treynor ratio | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 王仁宏,黃瑞卿 | |
dc.subject.keyword | 風險指標,績效指標,崔諾比率,資本資產定價模型,隨機優越,偏態,峰態, | zh_TW |
dc.subject.keyword | Risk Index,Performannce mearurment,Treynor ratio,Capital Asset Pricing Model,Riskiness,skewness,kurtosis, | en |
dc.relation.page | 34 | |
dc.identifier.doi | 10.6342/NTU201700510 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2017-02-13 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-106-1.pdf 目前未授權公開取用 | 2.03 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。