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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124649


    Title: 目標波動策略－以MSCI World ETF 為例
    Target Volatility Strategies for MSCI World ETF
    Authors: 李書萱
    Lee, Shu-Hsuan
    Contributors: 郭維裕
    Kuo, Wei-Yu
    李書萱
    Lee, Shu-Hsuan
    Keywords: 目標波動
    管理波動
    波動策略
    TVS
    Target volatility strategy
    Volatility strategy
    Volatility management
    Date: 2019
    Issue Date: 2019-08-07 15:52:01 (UTC+8)
    Abstract: This paper investigates into target volatility strategy applied to ishare MSCI World ETF by the method of Dachraoui (2018). We keep the volatility to a target volatility and use corresponding risk exposure to manage portfolio. When the volatility is high/low, the exposure is low/high. We find that the negative covariance of the realized volatility and the risk-adjusted excess returns is an important factor which may affect TVS is workable or not. Only under the condition of negative covariance, we can conclude an effective TVS.
    Reference: DeMiguel, V., Garlappi, L., & Uppal, R. 2007. Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?. The review of Financial studies, 22(5):
    1915-1953.
    Chaves, D., Hsu, J., Li, F., & Shakernia, O. 2011. Risk parity portfolio vs. other asset allocation heuristic portfolios. Journal of Investing, 20(1): 108.
    Dachraoui, K. 2018. On the optimality of target volatility strategies. The Journal of Portfolio Management, 44(5): 58-67.
    Hocquard, A., Ng, S., & Papageorgiou, N. 2013. A constant-volatility framework for managing tail risk. The Journal of Portfolio Management, 39(2): 28-40.
    Dopfel, F. E., & Ramkumar, S. R. 2013. Managed volatility strategies: applications to investment policy. Journal of Portfolio Management, 40(1): 27.
    Liu, F., Tang, X., & Zhou, G. 2018. Volatility-Managed Portfolio: Does It Really Work?. Available at SSRN 3283395.
    Moreira, A., & Muir, T. 2017. Volatility‐Managed Portfolios. The Journal of Finance, 72(4): 1611-1644.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    1073510101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1073510101
    Data Type: thesis
    DOI: 10.6814/NCCU201900187
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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