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    Title: 熵風險值約當測度的動態資產組合理論及實證研究
    Dynamic Portfolio Theory and Empirical Research Based on EVaR Equivalent Measure
    Authors: 張佳誠
    Contributors: 胡聯國
    張佳誠
    Keywords: 熵風險值
    動態資產組合選擇
    效率前緣
    市場組合
    EVaR
    Dynamic Portfolio Selection
    Efficient Frontier
    Market Portfolio
    Date: 2016
    Issue Date: 2016-07-20 16:38:17 (UTC+8)
    Abstract: 在資產組合的優化過程中,總是希望賺取穩定的報酬以及規避不必要的風險,也因此,風險的衡量在資產組合理論中至關重要,而A. Ahmadi-Javid(2011)發表證明以相對熵為基礎的熵風險值(Entropic Value-at-Risk,簡稱EVaR)是為被廣泛使用的條件風險值(Conditional Value-at-Risk,簡稱CVaR)之上界,且EVaR在使用上更為效率,具有相當優越的性質,而本文將利用熵風險值的約當測度,去修改傳統均值–變異模型,並以臺灣股市為例,利用基因模擬退火混合演算法來驗證其在動態架構下的性質及績效,結果顯示比起傳統模型更為貼近效率前緣。
    Reference: [1] Ahmadi-Javid, Amir. "Entropic value-at-risk: A new coherent risk measure."Journal of Optimization Theory and Applications 155.3 (2012): 1105-1123.
    [2] Artzner, Philippe, et al. "Coherent measures of risk." Mathematical finance 9.3 (1999): 203-228
    [3] Beneplanc, Gilles, and Jean-Charles Rochet. Risk management in turbulent times. OUP USA, 2011.
    [4] Cochrane, John H. Asset Pricing. New York: oxford university press, 2000.
    [5] Dupuis, Paul, and Richard S. Ellis. A weak convergence approach to the theory of large deviations. Vol. 902. John Wiley & Sons, 2011.
    [6] Kafri, Oded, and Ḥaṿah Kafri. Entropy: God`s Dice Game. CreateSpace, 2013.
    [7] Long, Daniel Zhuoyu, and Jin Qi. "Distributionally robust discrete optimization with Entropic Value-at-Risk." Operations Research Letters 42.8 (2014): 532-538.
    [8] Markowitz, Harry. "Portfolio selection." The journal of finance 7.1 (1952): 77-91.
    [9] Philippatos, George C., and Charles J. Wilson. "Entropy, market risk, and the selection of efficient portfolios." Applied Economics 4.3 (1972): 209-220.
    [10] Philippatos, George C., and Charles J. Wilson. "Entropy, market risk and the selection of efficient portfolios: reply." Applied Economics 6.1 (1974): 77-81.
    [11] Rockafellar, R. Tyrrell, and Stanislav Uryasev. "Optimization of conditional value-at-risk." Journal of risk 2 (2000): 21-42.
    [12] White, D. J. "Entropy, market risk and the selection of efficient portfolios: comment." Applied Economics 6.1 (1974): 73-76.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    103351016
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1033510161
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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