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    题名: 目標波動策略投資組合在台灣股票市場之表現
    Target Volatility Strategies in Taiwan Stock Market
    作者: 張瑋珊
    Chang, Wei-Shan
    贡献者: 郭維裕
    Kuo, Wei-Yu
    張瑋珊
    Chang, Wei-Shan
    关键词: 波動
    風險
    投資組合
    相關性
    Volatility
    Risk
    Correlation
    Strategy
    日期: 2019
    上传时间: 2019-08-07 15:51:38 (UTC+8)
    摘要: 2007、2008 年全球金融危機，金融市場大幅波動衝擊金融資產表現，市場 上逐漸將建構投資組合目標專注於如何有效控制投資組合風險下，獲得最佳收益。本研究以 Dachraoui (2018)提出之策略於台灣股票市場建立一般目標波動投 資策略並針對該策略影響因子進行調整，以觀察目標波動投資策略於台灣股票 市場之表現。
    After the financial crisis in 2007-2008, the component stocks of the portfolio
    become highly correlated instantly. The situation shocked the diversification effect of portfolio. Therefore, several research and investors focus on target volatility
    investment strategies instead of pursuing expected return. In this paper, we follow the target volatility strategies of Dachraoui (2018) in Taiwan stock market. We examine its performance and compare the results of different rebalanced period. The last, we investigate the possible reasons to affect the performance of the TVS (Target Volatility Strategies) in Taiwan.
    參考文獻: [1] Dachraoui, K. (2018). "On the Optimality of Target Volatility Strategies." Journal of Portfolio Management 44(5): 58-67.
    [2] Dopfel, F. E. and S. R. Ramkumar (2013). "Managed Volatility Strategies: Applications to Investment Policy." Journal of Portfolio Management 40(1): 27
    [3] Dybvig, P. H. (1988). "DISTRIBUTIONAL ANALYSIS OF PORTFOLIO CHOICE." Journal of Business 61(3): 369-393.
    [4] Hocquard, A., et al. (2013). "A Constant-Volatility Framework for Managing Tail Risk." Journal of Portfolio Management 39(2): 28-40.
    [5] Liu, F., et al. (2013). "Volatility-Managed Porfolio:Does It Really Work? "
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    1063510231
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1063510231
    数据类型: thesis
    DOI: 10.6814/NCCU201900190
    显示于类别:[國際經營與貿易學系 ] 學位論文

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