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| Title: | 限制下方風險的資產配置
Controlling Downside Risk in Asset Allocation |
| Authors: | 簡佳至
Chien, Chia-Chih |
| Contributors: | 陳松男
Chen, Son-Nan
簡佳至
Chien, Chia-Chih |
| Keywords: | 資產配置
厚尾
Bootstrap法
下方風險
涉險值
最低報酬要求限制
Asset Allocation
Fat-tail
Bootstrap
Downside Risk
Value at Risk
Shortfall Constraint |
| Date: | 2000 |
| Issue Date: | 2009-09-18 19:19:46 (UTC+8) |
| Abstract: | 由於許多資產報酬率的分配呈現厚尾的現象，因此，本文探討將最低報酬要求限制條件加入傳統的平均數╱變異數模型中，考慮在分配已知的情形下，假設資產報酬率的分配為t分配及常態分配，來求取最適的資產配置；在分配未知的情形下，利用古典Bootstrap法、移動區塊Bootstrap法及定態Bootstrap法的抽樣方法來模擬資產報酬率的分配形式，並利用模擬的資產報酬率分配求出最適的資產配置。
同時，本文亦探討資產配置在風險管理上的運用，當分配已知時，若對分配參數的估計正確，則使用的最低要求報酬率就是此資產配置的涉險值，反之，若對參數的估計錯誤時，會對資產配置產生很大的影響及風險管理上的不正確；當分配未知時，利用模擬方法來產生分配，則使用的最低要求報酬率可看成是此資產配置的涉險值。
實證部分選取資料分成本國及全球，研究發現對於何種分配或模擬方法的資產配置績效最好？沒有一定的結論。其原因是各種分配或模擬方法皆必須視資料的性質而定，因此，本論文的貢獻僅在建議使用厚尾分配及利用模擬方法，來符合資產報酬率呈現厚尾的現象，並利用此分配，以期在考慮最低報酬要求限制條件下的資產配置更為精確。
The distributions of many asset returns tend to be fat-tail. This paper attempts to add the shortfall constraint in Mean-Variance Analysis. When the distribution is known, we find the optimal asset allocation under student-t distribution and normal distribution. On the other hand, we use Classical Bootstrap, Moving Block Bootstrap, and Stationary Bootstrap to stimulate the distribution of asset return, and to obtain the optimal asset allocation.
We also examine the risk management of asset allocation. When we use the correct estimators of parameters under the known distribution, the threshold in shortfall constraint is the value-at-risk in asset allocation. Otherwise, if using the wrong estimators, we get the incorrect asset allocation and the improper risk management. When the distribution is unknown, using simulation to generate the distribution, the value-at-risk is the threshold.
The empirical study is conducted in two parts, domestic and global asset allocation. The results cannot point out which distributions and simulations are suitable. They depend on the data’s property. The contribution of this paper is to introduce some methods to fit the fat-tail behavior of asset return in asset allocation. |
| Reference: | 中文部分
1.陳松男，「全球化投資動態分析（上、下冊）」，台北金融研究發展基金會，民國八十四年六月。
2.陳松男，「現代投資學」，新陸書局，民國八十六年七月。
3.陳松男，「財務經濟學」，華泰書局，民國八十七年五月。
4.張雅惠，「應用風險值評估共同基金之績效」，國立政治大學金融學系研究所碩士論文，民國八十九年六月。
5.江義玄，「投資組合之風險評價：新模擬方法的運用」，國立政治大學企業管理研究所研士論文，民國八十九年六月。
6.游欣慧，「多種情境模式資產配置之研究」，國立台灣大學財務金融研究所碩士論文，民國八十八年六月。
7.閔志清，「台灣基金資產配置之研究」，國立台灣大學財務金融研究所碩士論文，民國八十六年六月。
8.齊仁勇，「國際資產配置與匯率風險之探討」，國立台灣大學商學研究所碩士論文，民國八十五年六月。
英文部分
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| Description: | 碩士
國立政治大學
金融研究所
88352009
89 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#A2002001537 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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