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Title:	以基本面分析建構最適資產配置流程 Using Fundamental Analysis To Construct The Optimal Asset Allocation Process
Authors:	蕭鈞銓
Contributors:	黃泓智蕭鈞銓
Keywords:	基本面分析比例交集法資產配置夏普指標時間序列 GARCH
Date:	2016
Issue Date:	2016-07-20 17:17:32 (UTC+8)
Abstract:	於現今經濟情勢混沌不明，令人想起價值投資的投資策略方法，期望在任何環境下，只要篩選出的股票是具有獲益潛力，則可趁勢進場，獲取超額收益。本論文嘗試以基本面分析為主體建構三步驟的資產配置流程。第一步驟使用比例交集法進行資產選擇，而多因子方法通常比單因子所篩選的報酬率更優異，且加上月營收成長率作為篩選條件其報酬率更是亮眼。再者，第二步驟透過風控管指標選股發現，當採用 GSR 做為資產選擇的條件時，可達到最佳的表現。最後於最適權重的配置之中，資產模型及目標函數會因為不同的資產組合而有不同的效果，其中，當 FCFY(0.1) & ROA(0.2)加上月營收成長率20%做為篩選條件並使用GSR進行二次篩選後，使用 ARMA(1,1)-GARCH(1,1)且目標函數為最大化夏普指標時可達最大報酬。
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Description:	碩士國立政治大學風險管理與保險研究所 103358001
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0103358001
Data Type:	thesis
Appears in Collections:	[Department of Risk Management and Insurance] Theses

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