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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112626


    Title: 利用籌碼面分析與隨機森林建構最適投資組合
    Using Counter Data Analysis and Random Forest To Construct The Optimal Asset Allocation Process
    Authors: 白傑任
    Contributors: 黃泓智
    白傑任
    Keywords: 基本面分析
    籌碼面分析
    三大法人
    隨機森林
    機器學習
    Date: 2017
    Issue Date: 2017-09-13 14:19:06 (UTC+8)
    Abstract: 近期年金改革鬧得沸沸揚揚,散戶若能自行投資,達到良好的投資績效,不妨能為退休提早做準備,而目前處於競争激烈且低利率的環境下,想在股票市場獲得穩定的超額報酬,就必須善用資訊,將其轉化成提升報酬的訊息,這也是目前金融科技其中的一個面向。本論文以基本面分析搭配比例交集法為出發,再以籌碼面因子搭配隨機森林之模型預測個股漲跌,建構資產配置的流程。
    第一步驟為利用基本面因子的比例交集法做第一次篩選,篩選資產的時間以季為單位,第二步驟為利用三大法人中外資與投信買超等等籌碼面因子進入隨機森林模型,用來預測個股之漲跌,重新篩選資產的時間以5天或10天為單位,並藉著混淆矩陣之機率控制篩選出來的股票數,並配適相等之權重。在一定的混淆矩陣機率控制下,第二步驟皆能使年化收益率比起第一步驟再度上升,最佳回測結果之年化收益率為26.62%。
    Reference: 中文文獻:

    1. 王月玲,(2003)。外資對台灣股市的影響,國立政治大學金融研究所
    2. 李光輝,歐興祥,張炳耀,(2000)。外資與我國股市互動關係之探討。中央銀行,季刊第-二十二卷,67-79頁
    3. 李顯儀,(2012)。基金經理人之間的從眾行為研究。管理研究學報,12(1),1-25頁
    4. 洪榮華,雷雅淇,(2002)。公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究。管理評論,21(3),25-48頁
    5. 徐中琦,林皇瑞,(2008)。法人機構從眾行爲之研究-台灣股市外資與自營商之比較。商管科技季刊9(2),251-276頁
    6. 許培基,陳軒基,黃淑貞,(2005)。基金經理人為何出現群集行為。管理評論24(4),57-81頁
    7. 黃祺敦,(2012)。運用當日籌碼面變數預測隔日股價方向,國立中正大學碩班論文
    8. 薛龍進,(2008)。台灣股市股價指數報酬率與三大法人買賣超互動關係之實證研究,國立中山大學經濟學研究所
    9. 謝宗良,(1992)。股權分散、公司規模、股票週轉率對股價波動性影響之研究-台灣上市公司之實證研究。國立中興大學企業管理研究所未出版碩士論文
    10. 蕭鈞銓,(2016)。以基本面分析建構最適資產配置流程。國立政治大學碩士論文

    英文文獻:

    11. Abarbanell, J. S., & Bushee, B. J. (1998). Abnormal returns to a fundamental analysis strategy. Accounting Review, 19-45.
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    Description: 碩士
    國立政治大學
    風險管理與保險學系
    104358004
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104358004
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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