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| Title: | 亞太市場與加密貨幣的多元化投資組合
Diversified Portfolio in Asia-Pacific Market and Cryptocurrencies |
| Authors: | 許漢斌
Hsu, Han-Pin |
| Contributors: | 郭維裕
Kuo, Wei-yu
許漢斌
Hsu, Han-Pin |
| Keywords: | 加密貨幣
亞太市場
投資組合多元化
等權重投資組合（equally-weighted portfolio, EW）
最小變異數投資組合（minimum variance portfolio, MVP）
最佳風險分散投資組合（most diversified portfolio, MDP）
最大夏普比率投資組合（maximum Sharpe ratio portfolio, MSRP）
Cryptocurrency
Asia-Pacific Market
Portfolio Diversification
Equally-Weighted Portfolio (EW)
Minimum Variance Portfolio (MVP)
Most Diversified Portfolio (MDP)
Maximum Sharpe Ratio Portfolio (MSRP) |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:32:04 (UTC+8) |
| Abstract: | 自從2009年比特幣（BTC）正式上線以後，加密貨幣在全球的風潮只增不減，儼然已經成為了投資組合中一種重要的資產，但加密貨幣在2022年發生許多大事，像是LUNA幣崩潰、FTX交易所倒閉等，深深影響到亞太地區的加密貨幣投資人，因此本研究想透過加密貨幣及亞太地區的股價指數，進行投資組合分析，觀察在不同投資組合下，其績效表現及風險情形，提供亞太地區投資人未來在加密貨幣與傳統資產配置上有所依據，以避免當這兩種市場其一崩潰時，造成巨大的投資損失。而本研究選取市值前幾大的加密貨幣，包含比特幣（BTC）、以太幣（ETH）、瑞波幣（XRP）及萊特幣（LTC），實證期間為2017年到2023年間，分別運用最小變異數投資組合、最佳風險分散投資組合、最大夏普比率投資組合及等權重投資組合。最終研究發現，在夏普比率方面，最大夏普比率投資組合的表現最好，其次是最佳風險分散投資組合，但在報酬率的表現上，等權重投資組合提供最好的績效表現，甚至超越其他投組合數倍，最後在風險層面上，最小變異數投資組合有最低風險的表現，但其報酬卻也相當不理想。加密貨幣的加入確實可以提高投資組合的報酬，尤其像是2021年加密貨幣市場相當熱烈時，但同時風險控管上也需要多加注意，透過動態調整投資組合資產配置，才能符合個人對於風險及報酬的需求。
Since the official launch of Bitcoin（BTC）in 2009, the trend of cryptocurrencies has only grown, becoming an essential asset in portfolios. However, the collapse of LUNA and the closure of the FTX exchange in 2022 have profoundly affected cryptocurrency investors in the Asia-Pacific region. Consequently, we aim to conduct a portfolio analysis using cryptocurrencies and stock price indices in the Asia-Pacific region, observing the performance and risk under different portfolios. We select the top few cryptocurrencies by market capitalization, including Bitcoin（BTC）, Ethereum（ETH）, Ripple（XRP）, and Litecoin（LTC）, with an empirical period from 2017 to 2023. Various portfolios are applied, including the minimum variance portfolio（MVP）, the most diversified portfolio（MDP）, the maximum Sharpe ratio portfolio（MSRP）, and the equally-weighted portfolio（EW）. We find that, in terms of the Sharpe ratio, the MSRP performs the best. However, in terms of returns, the EW provides the best performance, surpassing the other portfolios by several times. Lastly, in terms of risk, the MVP shows the lowest risk, but its returns are relatively unsatisfactory. The inclusion of cryptocurrencies can indeed enhance the return of the portfolios, especially during a heated cryptocurrency market like in 2021. However, risk control needs to be taken into account. Only through dynamic adjustment of portfolio asset allocation can the individual`s need for risk and return be met. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
110351037 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110351037 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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