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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/98834


    Title: 量化投資模型在台灣股市之應用
    Quantitative Investment Model applied in Taiwan Stock Market
    Authors: 游棅然
    Yu, Ping Jan
    Contributors: 郭維裕
    Kuo, Wei Yu
    游棅然
    Yu, Ping Jan
    Keywords: 量化投資
    量化模型
    因子模型
    主動投資
    超額報酬
    Quantitative Investment
    Quantitative Model
    Factor Model
    Active Management
    Excess return
    Date: 2016
    Issue Date: 2016-07-11 16:52:48 (UTC+8)
    Abstract: 本研究目的為建立適用於台灣股市的量化投資模型,並針對台灣50及中型100成分股進行分析。本研究利用多因子模型為量化投資模型架構,試圖找尋更多維度影響股價報酬的因子,並以資訊係數(Information Coefficient)、IC t統計量、成功率(Success rate)及Quintile累積報酬檢驗因子有效性,篩選出穩定且有效解釋股價報酬的月頻率因子,再依據市場波動性、因子預測股市報酬的能力及因子獲利能力組成Alpha分數,並以Alpha分數作為投資權重的依據。本研究透過多因子量化投資模型建構台灣50及中型100為標竿指數的投資組合,並根據資訊比率及夏普比率來衡量兩檔標竿指數使用不同加權方式組成的投資組合績效,我們發現中型100標竿指數依價值加權組成的投資組合績效優於其他投資組合並有效打敗標竿指數。
    本研究亦發現樣本內因子與樣本外因子結構的不同,可能是導致量化投資模型應用在台灣50標竿指數成分股的效果不是相當理想的原因。
    Reference: 劉宗聖、許家榮、粘瑞益、張力文,2007。計量化投資策略:資產管理的創新與應用。台北市:財訊

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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    103351032
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103351032
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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