請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91406
標題: | Riskness 對 ETFs 之風險衡量與績效衡量的應用 The application of Riskness to risk measurement and performance measurement of ETFs |
作者: | 連玟婷 Wen-Ting Lien |
指導教授: | 曾郁仁 Yu-Ren Zeng |
關鍵字: | 風險指標,Riskness,績效指標,sharpe ratio,EPM,ETF, Risk indicators,Riskness,Performance indicators,Sharpe ratio,EPM,ETF, |
出版年 : | 2023 |
學位: | 碩士 |
摘要: | 隨著投資盛行,「風險」這個最主要的因素越來越被受重視。目前學者最廣為使用的風險指標衡量的工具是標準差。而Aumann and Serrano在2008年和Foster and Hart在2009年分別提出新的風險指標,擁有標準差缺乏的良好特性,例如對偶性、正齊次性、一階隨機優越及二階隨機優越等。
目前學者最廣為使用的績效指標衡量的工具為sharpe ratio。在2012年,Homm and Pigorsch提出新的績效指標(Economic Performance Measure,簡稱EPM),具有sharpe ratio缺乏的良好特性,可以解釋平均值和標準差之外,還可以解釋更高的維度的隨機優越。本論文考慮到Foster and Hart風險指標,不僅擁有Aumann and Serrano風險指標的良好特性,還可以呈現投資組合會承受的最大風險,因此,嘗試提出新績效指標,使用平均數除以Foster and Hart風險指標,探討新績效指標的表現。 本篇論文著重在ETF,透過四種風險指標與四種績效指標針對ETF的風險及績效之表現進行觀察。研究結果發現,Aumann and Serrano與Foster and Hart的風險指標 Riskness 相較於標準差,在判斷風險時更有解釋力。本論文想關注的新風險績效指標與sharpe ratio和EPM所排序出的結果非常相似,可以說明新績效指標具有可比性,且反映在承擔最大風險下可以獲得多少報酬。因此,未來能以新績效指標衡量投資所需的評估,提供在最差的情形之下,可以獲得多少的報酬。 With the popularity of investments, the factor of "risk" is getting more and more attention. Currently, the most widely used tool for measuring risk by scholars is standard deviation. In 2008, Aumann and Serrano, as well as Foster and Hart in 2009,respectively introduced new risk indicators that possess favorable properties lacking in standard deviation. These properties include duality, homogeneity, first-order stochastic dominance, and second-order stochastic dominance. The most commonly used performance measure tool by scholars is sharpe ratio. In 2012, Homm and Pigorsch introduced a new performance measure called the "Economic Performance Measure" (EPM), which has desirable properties not found in sharpe ratio. EPM can explain not only mean and standard deviation ,but also higher-dimensional stochastic dominance. This thesis considers the risk indicator by Foster and Hart, which not only has the good properties of the risk indicator by Aumann and Serrano, but also can present the maximum risk that the investment portfolio will bear. Therefore, it tries to propose a new performance indicator, using the average divided by the risk indicator by Foster and Hart, exploring the performance of this new performance indicator. This thesis focuses on ETFs and observes the performance of the risk and the performance for ETFs using four risk indicators and four performance indicators. The research results found that risk indicators by Aumann and Serrano and Foster and Hart are more explanatory than standard deviation in assessing risk. The new risk performance indicator that this thesis wants to focus on is very similar to the results ranked by sharpe ratio and EPM, which can show that the new performance indicator is comparable and reflect the potential returns under the consideration of maximum risk. Therefore, in the future, this new performance indicator can be utilized to assess the investment, providing an evaluation of potential returns even in the worst-case scenario. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/91406 |
DOI: | 10.6342/NTU202304511 |
全文授權: | 未授權 |
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-112-1.pdf 目前未授權公開取用 | 1.08 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。