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    题名: 風險平價與其他傳統投資組合之績效分析
    Risk Parity Portfolio vs. Other traditional Asset Allocation Portfolios
    作者: 顏榮威
    Yen, Jung-Wei
    贡献者: 顏佑銘
    Yen, Yu-Min
    顏榮威
    Yen, Jung-Wei
    关键词: 風險平價
    最小變異數
    平均數變異數
    均等權重
    資產配置
    Risk Parity
    Mean-Variance Optimization
    Minimum Variance
    Equal Weight
    Asset Management
    日期: 2020
    上传时间: 2020-07-01 13:32:15 (UTC+8)
    摘要: 近年來業界開發出許多資產配置方法以擊敗市場大盤指數為目標，風險平價法就
    是其中一例，在橋水基金績效卓越的操作下贏得世人的目光，學界、業界爭相研究探索其中科學邏輯。1952 年馬克維茲的平均數變異數理論開創了資產管理的一片天，但因參數的估計太過敏感且不精確，於是乎實際績效與理論上有顯著差異。不同的是，風險平價透過控制風險，將每一個資產對投資組合的風險貢獻設為相同，進而計算出權重，不需要平均報酬的估計。本研究想知道風險平價法與傳統平均數變異數理論、最小變異數理論、均等權重法投資績效的差異，使用R語言實證美國主要30 種產業3369 家公司從1926 年以來的月資料，利用樣本外的測試計算累積報酬、標準差、夏普比率、卡瑪比率、最大回檔等。最後驗證風險平價法是否能如橋水基金全天候策略般均勻分散風險，在經濟不同現象中仍能賺取超額報酬，得出符合理論上標準差位於最小變異數與均等權重法之間的結論，且夏普比率最高、累積報酬第二高，低均等權重3 個百分點。
    Risk Parity portfolio has been risen above since the late 90s curtsey of the All-Weather asset allocation fund by the biggest hedge fund in the world, Bridgewater Associates. Motivated by the economic result, the academia started to put together a fundamental theorem of risk parity portfolio. The idea of risk parity is to equally weigh the
    asset class by its risk contribution to the portfolio. It sets the weight so each asset contributes the same expected fluctuation of the portfolio. Traditional asset allocation theory is deeprooted in the mean-variance optimization (MVO) framework by Harry Markowitz. However, the MVO approach requires the ex-ante expected return and covariance matrixes which are hard to estimate with accuracy. Empirical estimates based on historical data show that the MVO approach is not favourable. Often results in over or under estimation of returns and variances. The object of the paper is using R language to back test the result of four different asset allocation strategy, Risk Parity, MVO, Minimum Variance, and 1/N. We formed the
    portfolio by selected 30 major industries in US consisted of 3,369 firms spanned from 1926 to 2020. We conducted out-of-sample test using the monthly return. Results show that indeed the RP approach has the highest Sharpe ratio and the reasonable low standard deviation which is consistent to the previous studies.
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    Bruder, B. and Roncalli, T. (spring 2012). “Managing risk exposures using the risk budgeting
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    Kenneth French data library. Retrieved March 13 2020, from:
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    Kinlaw, W., Kritzman, M. P. and Turkington, D. (2017) A practitioner`s guide to asset
    allocation. Wiley.
    Maillard, S., Roncalli, T. and Teiletche, J. (summer 2010). “The properties of equally
    weighted risk contribution portfolios.” The Journal of Portfolio Management, 60-70.
    Mendelson, M. A., Berger, A. and Villalon, Daniel. (Spring 2011). “Risk Parity, risk
    management and the real world.” AQR Capital Management.
    Michaud, R. O. (winter 1989). “The Markowitz optimization enigma: is “optimized”
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    Merton, R. C. (winter 1980). “On estimating the expected return on the market: An
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    Qian, E. (fall 2005) “Risk Parity portfolios: efficient portfolios through true diversification.”
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    Scherer, B. (spring 2007a, 2007b). “Can robust portfolio optimization help to build better
    portfolios?” Journal of Asset Management, 374-387.
    Vinícius, Z. and Palomar, D. P. (fall 2019). “Fast design of risk parity portfolios.” The Hong
    Kong University of Science and Technology
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    Actuarial Journal, Vol.8 Issue 3, 32-45.
    賀蘭芝，2015，《Risk Parity 投資組合配置分析》，JP Morgan 資產管理公司「2015
    計量模型投資訓練課程」，行政院所屬各機關因公出國人員出國報告書。
    王聖瑋，2013，《風險平價於資產管理上的運用》，銘傳大學財務金融碩士班。
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    107351027
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107351027
    数据类型: thesis
    DOI: 10.6814/NCCU202000497
    显示于类别:[國際經營與貿易學系 ] 學位論文

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