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Title: | 控制風險值下的最適投資組合 |
Authors: | 洪幸資 |
Contributors: | 陳威光 江彌修
洪幸資 |
Keywords: | 風險值 最適投資組合 Mean-VaR效率前緣 Mean-CVaR效率前緣 |
Date: | 2003 |
Issue Date: | 2009-09-17 19:01:27 (UTC+8) |
Abstract: | 採用風險值取代標準差來衡量投資組合的下方風險,除了更符合投資人的對風險的態度,也更貼近目前金融機構多以風險值作為內部控管工具的情形。但除了風險的事後衡量,本篇論文希望能夠事前積極地控制投資組合風險值,求得最適投資組合的各資產配置權重。故本篇論文研究方法採用了Rockafellar and Uryasev.(2000)的極小條件風險值最適投資組合模型先建立Mean-CVaR效率前緣,並將此效率前緣上的投資組合風險以風險值衡量,再應用電腦上的探索方法進一步求得風險值更低的投資組合,逼近求得Mean-VaR效率前緣,最後利用Mean-VaR效率前緣採用Campbell,Huisman與Koedijk(2001)模型求得控制風險值下的最適投資組合。 在實證分析上,本篇論文採用國內三檔股票為標的,首先在實證標的資產報酬檢定為非常態分配下,使用歷史模擬法,以資產實際非常態報酬分配估計VaR,驗證了使用本篇論文研究方法極小CVaR投資組合與探索方法,可以適當逼近真實的Mean-VaR效率前緣。再者研究比較不同信賴水準、不同資產報酬分配假設與不同權重產生方式下的Mean-VaR效率前緣與Mean- 效率前緣效果差異,最後求得控制風險值下的最適投資組合。 In contrast to the role of variance in the traditional Mean-Variance framework, in this thesis we introduce Value-at-Risk (VaR) as a shortfall-constraint into the portfolio selection decision. Doing so is much more in fitting with individual perception to risk and in line with the constraints which financial institutes currently face. However, mathematically VaR has some serious limitations making the portfolio selection problem difficult to attain optimal solution. In order to apply VaR to ex ante portfolio decision, we use the closely related tractable risk measure Conditional Value-at-Risk (CVaR) in this thesis as a proxy to find efficient portfolios. We utilize linear programming formulation developed by Rockafellar and Uryasev(2000) to construct a Mean-CVaR efficient frontier. Following which the VaR of resulting portfolios in the Mean-CVaR efficient frontier is reduced further by a simple heuristic procedure. After constructing an empirical Mean-VaR efficient frontier that can be proven an useful approximation to the true Mean-VaR efficient frontier, the Campbell, Huisman and Koedijk(2001) model is used to find the optimal portfolio. Three Taiwan listing stocks are used to build the Mean-VaR efficient frontier in the empirical study. And the Mean-VaR efficient frontier of different confident levels, under different asset return assumptions, and different optimal portfolio selection models are compared and results analyzed. |
Reference: | 陳東雄,2003,” 考慮信用風險與市場風險之最適資產配置”,東吳大學經濟研究所碩士論文。 張肇育,2002,”不同風險衡量指標下投資效率之分析與探討”,國立中正大學財務金融研究所碩士論文。 楊宗庭,2001,”共同基金風險值的評估與應用”,台灣大學財務金融研究所碩士論文。 Annalisa,D.C.(2002):The Empirical Value-at-Risk/Expected Return Frontier:A Useful Tool of Market Risk Managing, Working paper, University of Rome “La Sapienza” ,November. Artzner,P.,Delbaen,F.Eber,J. and Heath,D.(1997):Thinking coherently. RISK, Vol.10,No.11,pp68-71. Artzner,P.,Delbaen,F.,Eber,J. and Heath,D.(1999):Coherent measure of Risk. Mathematical Finance,Vol.9,No.3,pp203-228. Chow and Kritzman(2001):Risk Budget. Journal of Portfolio Management,pp56-60. Duarte,A.M. and Alcantara S.D.R.(1999):Mean-Value-at-Risk Optimal Portfolios with Derivatives. Derivatives Quarterly,pp56-64. Gaivoronski A. A. and Pflug G.(2002):Value at Risk in Portfolio Optimization :Properties and Computational Approach. Working paper. Norweigian University of Science and Technology Hull,J and White,A.(1998):Value at Risk When Daily Changes in Market Variables Are not Normally Distributed. The Journal of Derivatives,pp9-19. Larsen,N.,Mausser,H.,and Uryasev,S.(2001):Algorithms for optimization of Value-at-Risk. FEES-2001,pp129-157. Lucas,A.,and Klaassen,P.(1998): Extreme Returns, Downside Risk, and Optimal Asset Allocation. Journal of Portfolio Management. Vol.25,No.1,pp71-79. Markowitz, H.M.(1952):Portfolio selection. Journal of finance. Vol.7,1,pp77-91. Mausser, H. and D. Rosen(1998):Beyond VaR: From Measuring Risk to Managing Risk, Algo Research Quarterly,Vol.1,No.2,pp5-20. Mausser, H. and D. Rosen(1999):Efficient Risk/Return Frontiers for Credit Risk, Algo Research Quarterly, Vol.2,No.4,pp35-48. Pflug, G.Ch.(2000):Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk.In.” Probabilistic Constrained Optimization: Methodology and Applications” ,Ed.S. Uryasev, Kluwer Academic Publishers,2000. Puelz,A.(1999):Value-at-Risk Based Portfolio Optimization. Working paper, Southern Methodist University, November. Rachel C., Ronald,H. and Kees K.,(2001):Optimal portfolio selection in a Value-at-Risk framework. Journal of Banking and Finance, Vol.25, pp1789-1804. Rockafellar, R.T. and S. Uryasev.(2000):Optimization of Conditional Value-At-Risk. The Journal of Risk, Vol.2, No.3, 2000,pp21-41 Rockafellar, R.T. and S. Uryasev.(2001):Conditional Value-at-Risk for general loss distributions. Research Report 2001-5. ISE Dept., University of Florida, April(2001). Roy,A.D.(1952):Safety-First and the Holding of Assets. Econometrica,pp431-449. |
Description: | 碩士 國立政治大學 金融研究所 91352016 92 |
Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0091352016 |
Data Type: | thesis |
Appears in Collections: | [金融學系] 學位論文
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