資產分類數限制下的投資組合最佳化模型

Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/52632

Title:	資產分類數限制下的投資組合最佳化模型 Portfolio optimization models with restricting the number of asset category
Authors:	廖得勳 Liao, Der Shiun
Contributors:	劉明郎廖得勳 Liao, Der Shiun
Keywords:	投資組合限制類股數混合整數線性規劃 portfolio stock category restriction mixed-integer linear programming
Date:	2011
Issue Date:	2012-04-12T06:11:55Z
Abstract:	本論文研究股票分類與否對投資組合報酬有無差別，因此以目標規畫方式提出兩個混合整數線性規劃模型建立投資組合。在考量市場風險上，兩模型的差別在於一個是單股比重的限制，另一個是類股數目的限制。兩模型中均考慮交易數量為整數與實務中的交易成本，且採用了0-1決策變數，決定股票及類股的選取與否。並以台灣股票市場作為實證研究對象，探討兩模型投資組合在市場不同走勢下的表現，同時也觀察股票分類後，探討選幾個類股數會有較佳的績效，並分析投資組合建立後多久應該進行調整。 This thesis studies the effect of return of a portfolio while restricting the number of asset category. Two mixed-integer linear programming models are proposed by using the goal programming technique. In consideration of the risk, the difference between these two models is that one focuses on a single stock restriction, and the other is on the asset category restriction. The integer restriction and transaction cost are included in the model while using binary decision variable to indicate the selection of an asset and the selection a category. Finally, an empirical study will be presented by applying to Taiwan’s stock market. The performances of these two models are discussed. Moreover, the best number of category in the portfolio and the best timing of rebalance are also investigated.
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Description:	碩士國立政治大學應用數學系數學教學碩士在職專班 98972006 100
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0098972006
:	學位論文 thesis
Appears in Collections:	[應用數學系] 學位論文

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