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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/136273


    Title: 加權範數懲罰函數之實證應用:以中美貿易戰前後期間之台灣5G供應鏈產業為例
    The Empirical Study of Weighted Norm Penalty Function: The Case of 5G Technology Industry in Taiwan during the US-China Trade War
    Authors: 陳睦宜
    Chen, Mu-Yi
    Contributors: 顏佑銘
    Yen, Yu-Min
    陳睦宜
    Chen, Mu-Yi
    Keywords: 5G供應鏈
    加權範數懲罰函數
    最小變異數投資組合
    擴張視窗法
    Date: 2021
    Issue Date: 2021-08-04 14:25:42 (UTC+8)
    Abstract:   近年來全球金融市場紊亂,導因於美國與中國兩大經濟體的全球競爭策略,雙方衝突以2018年貿易戰拉開序幕,並隨著新型冠狀病毒全球肆虐而深化對立局面,在此變化莫測的時代,投資人若採取被動式投資策略,恐將承受巨大壓力,而以追求最小風險為目標的最小變異數投資組合,或將成為此非常時期的最佳投資策略。
      本研究比較加權範數最小變異數投資組合與三個基準投資策略之績效表現,探討當投資人面對特殊時期時,加權範數最小變異數投資組合是否可作為更適當的投資策略。本研究採用中美貿易戰前後期間的台灣5G供應鏈產業成分股為樣本資料,以擴張視窗法進行資料分析,並應用加權範數最小變異數方法建構投資組合,除比較投資組合的財務績效及管理效率外,本研究亦探討加入目標報酬限制條件對投資組合績效之影響;最後運用替代懲罰參數建構投資組合,評估使用台灣5G供應鏈產業成分股,替代範數懲罰的表現是否仍能與加權範數懲罰相抗衡。
      本次實證結果指出,就不同投資組合比較層面,尋求最適懲罰參數權重α值有助於建構最佳加權範數投資組合;加權範數最小變異數投資組合(WMVP)的財務績效僅次於均等權重投資組合(1/N),惟綜合考量風險及報酬,加權範數最小變異數投資組合則表現最優異。就加入目標報酬限制層面,加入目標報酬限制條件未必能改善投資組合績效表現,但會增加投資風險及交易成本,唯獨中美貿易戰後2020上半年度期間之表現與前人研究成果不盡相同。就驗證替代範數懲罰,三個替代範數懲罰之投資組合績效皆不亞於加權範數投資組合,於中美貿易戰後2020上半年度,其表現更是略勝一籌。
    Reference: 李振婷(2015)。最小變異數投資組合在台灣股市之運用。未出版之碩士論文,國立政治大學,國際經營與貿易學系,台北。

    莊丹華(2017)。加權範數最小變異數投資組合之實證應用:以台灣股市為例。未出版之碩士論文,國立政治大學,國際經營與貿易學系,台北。

    林怡君(2017)。運用範數懲罰函數來建構資產組合:以國際股票市場為例。未出版之碩士論文,國立政治大學,國際經營與貿易學系,台北。

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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    108351008
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108351008
    Data Type: thesis
    DOI: 10.6814/NCCU202100662
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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