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| Title: | 運用範數懲罰函數建構投資組合：以新冠疫情期間多元化資產配置為例
Constructing Portfolios with Norm Penalty Function: The Case of Multi-Asset Allocation During Covid-19 Pandemic |
| Authors: | 林冠吟 |
| Contributors: | 顏佑銘
林冠吟 |
| Keywords: | 加權範數懲罰函數
多元化資產配置
新冠肺炎
Weighted-Norm Minimum Variance Portfolio
Multi-asset allocation
COVID-19 |
| Date: | 2022 |
| Issue Date: | 2022-07-01 16:01:12 (UTC+8) |
| Abstract: | 在2020年時全球受到新冠疫情影響，導致金融市場劇烈波動，恐慌情緒使得投資人針對金融商品做無差別拋售，資產間相關性大幅度提升。因此縱使投資人選擇多元化資產組合，仍必須更謹慎地選擇適合之資產配置模型，以期能靈活的應變。而加權範數最小變異數投資組合能在資產數量多時，藉由調整投資組合權重稀疏性(sparsity)的方法來管理投資組合所受到的風險，來改善投資組合的績效。
本文以加權範數最小變異數為研究目標，並與傳統投資組合研究中的均等權重法、全域最小變異數法、無放空最小變異數法做績效衡量比較分析，藉此驗證加權範數最小變異數投資組合是否在疫情期間全球金融市場波動下為一個最適合多元化資產組合的投資策略。藉由本次實證結果顯示，在綜合考量投資多元化資產組合的風險以及報酬後，不管是長期或是短期的金融市場變動，加權範數最小變異數投資組合由於能透過衡量風險狀況而調整資產權重，與其他模型相比確實有最佳的績效表現，為最適合多元化資產配置的方法。
Global was affected by COVID-19 in 2020, which led to violent fluctuations in the financial market. Panic makes investors sell financial products indiscriminately, resulting in a significant increase in the correlation between assets. Therefore, even if investors choose a diversified asset portfolio, they still must carefully choose a suitable asset allocation model in order to be able to adapt flexibly.
The Weighted-Norm Minimum Variance Portfolio (WNVMP) can manage the risk of the portfolio by adjusting the sparsity of the portfolio weight when the number of assets is large. Therefore, this essay will take the WNMVP as the research goal, and compare the performance with Equally-Weighted Portfolio, Global Minimum Variance Portfolio, and the No-Shortsale Minimum Variance Portfolio. Then verifying that whether the WNMVP is an investment strategy that is most suitable for a diversified asset portfolio under the volatility of the global financial market during COVID-19.
The empirical results show that considering the risks and returns of investing in a diversified portfolio, whether it is a long-term or short-term financial market change, the WNMVP can adjust assets by measuring the risk status. |
| Reference: | 1. 顏佑銘(2015)。資產數目過大時，投資人該如何建構投資組合策略，政大 商業評論，第 2015 期。
2. Levy, H., Sarnat, M. (1970). International Diversification of Investment Portfolios. The American Economic Review , Vol. 60, No. 4, p. 668- 675
3. Chopra, Vijay K., Ziemba, William T. (1993). Journal of Portfolio Management 19, 6-12.
4. DeMiguel, V., Garlappi, L., & Uppal, R. (2007). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?. Review of Financial Studies, 22, 1915–1953.
5. Haugen, R. A., Baker, N. L. (1991). The Efficient Market Inefficiency of Capitalization-Weighted Stock Portfolios. Journal of Portfolio Management, Vol. 17, No. 3, spring: 35-40.
6. Markowitz, H. M. (1952). Portfolio Selection. Journal of Finance 7, p. 77–91.
7. Theodor, K., Gerald, K., & Vivek, P., (1998) The contribution of emerging markets in international diversification strategies, Applied Financial Economics, 8:5, 445-454
8. MSCI，https://www.msci.com/our-solutions/indexes/market-classification，
擷取日期:2021年 10 月 29 日。
9. Theodor, K., Gerald, K., & Vivek, P., (1998) The contribution of emerging markets in international diversification strategies, Applied Financial Economics, 445-454
10. Yen, Y. M. (2015). Sparse Weighted-Norm Minimum Variance Portfolios. Review of Finance 20, 1259–1287. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
109351032 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109351032 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200601 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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