以AMCSD標準衡量股票、債券及黃金之表現

Abstract

本論文旨在利用Almost Marginal Conditional Stochastic Dominance標準衡量股票、黃金及債券三種資產的表現，並利用此標準建構出由此三種資產構成的有效率之投資組合。最終結果發現受到期望報酬及報酬分配所影響，有效率的投資組合相較於黃金而言會更傾向於持有股票，而在黃金權重小於一定比例時，黃金的吸引力又會比債券來得大，為了更加詳細的解釋此狀況，本篇論文於散佈圖上畫出了所有有效率的投資組合的點，並解釋了這些界線的位置以及形成的原因。希望透過這樣的實作，帶給投資人不同建構投資組合的概念。

This paper aims to measure the performance of three types of assets, stocks, gold, and bonds, using the Almost Marginal Conditional Stochastic Dominance criteria, and to construct efficient investment portfolios composed of these three assets based on this standard. The final results reveal that, influenced by expected returns and return distributions, efficient portfolios tend to favor holding stocks over gold. Moreover, when the weight of gold is less than a certain proportion, its attractiveness surpasses that of bonds. To provide a more detailed explanation of this situation, this paper plotted all efficient investment portfolio points on a scatter plot and explained the positions of these boundaries and the reasons for their formation. Through such implementation, it is hoped to provide investors with different concepts for constructing investment portfolios.