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| Title: | 加權範數懲罰函數之實證研究：以新冠肺炎前後期間中國股市為例
An Empirical Study of Performances of the Weighted Norm Penalized MVP： The Case of Chinese Stock Market During the COVID-19 Period |
| Authors: | 趙思煒
ZHAO, Si-Wei |
| Contributors: | 顏佑銘
Yen, Yu-Min
趙思煒
ZHAO, Si-Wei |
| Keywords: | 上證50
加權範數懲罰函數
最小變異數投資組合
新冠肺炎
SSE50
Weighted-norm minimum variance portfolio
Minimum variance portfolio
Covid-19 |
| Date: | 2022 |
| Issue Date: | 2022-07-01 15:58:18 (UTC+8) |
| Abstract: | 2020年初，新冠疫情在中國爆發，疫情升溫也嚴重影響了經濟發展，股市與經濟息息相關，因此也引起了中國股市震蕩。隨著投資組合理論的發展，在注重報酬的同時，投資人也越來越重視對風險的管控。在實證財務中，最小變異數投資組合(MVP)可說是將風險控管納入投資組合建構之始祖。但最小變異數容易出現極端權重的問題，通過施加懲罰範數可以解決這一問題，並且提高投資組合的稀疏性，而發展出加權範數最小變異數投資組合（WNMVP）。
本研究以近十年的 A股市場為研究區間，並以上證 50 作為研究樣本，來對比疫情期間和近十年不同投資組合在 A股市場實證上的表現。本研究對比了加權範數最小變異數投資組合（WNMVP）、做空限制下的最小變異數投資組合（NSMVP）、全局最小變異數投資組合（GMVP）和 1/N均等投資組合，並對WNMVP 分別加上高報酬和低報酬限制，以及使用三種替代性懲罰函數來對比實證結果。
本次實證結果證明，在全樣本期間和疫情期間，1/N投資組合雖然在報酬方面表示最佳，但 WNMVP 在報酬方面僅次於 1/N投資組合，且 WNMVP 的風險更低，因此在全樣本期間和疫情期間，WNMVP 都擁有最高的夏普比率。且在疫情期間，WNMVP 在各項衡量指標的表現都更為突出。此外，在全樣本期間和對於施加要求報酬限制式的 WNMVP 實證結果與過往文獻一致，施加要求報酬後的 WNMVP 表現不如無限制下的 WNMVP，而在高要求報酬限制下的WNMVP 實證表現則比在低要求報酬限制下的 WNMVP 更好。
At the beginning of 2020, China witnessed an unprecedented pandemic, COVID-19, scaling up from Wuhan, and it deteriorates the development of domestic economy and caused fluctuation in Chinese stock market. With the development of portfoliotheory, investors are also paying more and more attention to risk managementwhile return on investment remain significant. The application of minimum variance portfolios is becoming more and more extensive in real-world cases. Since the minimum variance portfolio is prone to extreme portfolio weights, imposing a penalty norm can solve this problem and improve the sparsity of the portfolio. As a result, weighted norm minimum variance portfolio (WNMVP) was developed.
This study targets the decade of China A-share market and uses the Shanghai 50 Stock Index Futures (SSE50) as sample to compare the empirical performance of different investment portfolios in the China A-share market during the time of
COVID-19 and in the past ten years. This study compares the weighted norm minimum variance portfolio (WNMVP), the no-shortsale minimum variance portfolio (NSMVP), global minimum variance portfolio (GMVP), and the 1/N equal portfolio,respectively. In addition, this study impose target return constraint into WNMVP, and use three alternative penalty functions to compare empirical results.
This empirical result proves that during the full sample period and the period of pandemic, the 1/N portfolio is the best portfolio in terms of return, followed by WNMVP with a lower risk in performance. In conclusion, WNMVP had the highest
Sharpe ratio in both pandemic period and the last ten years. And WNMVP is recognized to outperform on several performance measures in the time of pandemic, comparing with the last decade. As the previous literature proved, imposing target return constraint into WNMVP deteriorates empirical performance. WNMVP with high-return constraint performs better than the WNMVP with low-return constraint. |
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18. 徐宏，蒲紅霞（2021）。新冠疫情對中國股票市場的影響——基於事件研究法的研究。《金融論壇》，26（7），70-80 |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
108351050 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108351050 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200548 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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