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| Title: | 基於股價波動的評分模式與波動度管理策略
A Scoring Model Based on Stock Price Volatility and Volatility Control |
| Authors: | 陳宜君
Chen, I-Chun |
| Contributors: | 黃泓智
陳宜君
Chen, I-Chun |
| Keywords: | 機器學習
股票評分模型
資產配置
波動度控制
Machine Learning
Scoring Mechanism
Asset Allocation
Volatility Control |
| Date: | 2025 |
| Issue Date: | 2025-08-04 14:10:24 (UTC+8) |
| Abstract: | 在全球資本市場呈現高頻交易及日益複雜的背景下，政治與經濟的不確定性進一步推升市場波動風險，風險管理與資產配置成為投資策略中的重要課題。 本研究採用集成學習整合多組模型預測結果，先賦予各模型輸出之結果涵義，並套用期望值理論的概念，同時將市場波動性納入考量，進一步設計出創新的評分機制，以實現收益與風險之資產配置平衡。此外，不同投資人對風險忍受度之差異，本研究以債券型ETF為低波動度資產，搭配目標波動度策略動態調整股票與債券權重。並引入波動度上限及與外部指標比例法兩項風險控制機制，以強化非再平衡期間之應變能力。實證資料涵蓋2009年1月至2024年12月之台灣上市公司每日股價資料進行回測分析。
實證結果顯示，與傳統配置策略相比，本研究所所建構之風險考量評分模型，搭配多元資產配置與動態風險管理策略，不僅顯著提升投資組合穩定性與報酬表現，亦能滿足不同投資人之風險偏好。
In the context of modern financial markets characterized by increasing complexity, high-frequency trading, and elevated volatility, effective risk-aware asset allocation has become a pressing challenge. This research constructs a comprehensive feature set and employ an ensemble learning approach to integrate outputs from multiple predictive models. A new scoring mechanism, grounded in expected value theory, is proposed to assign economic meaning to model outputs and enhance interpretability under uncertainty. This framework also incorporates market volatility measures to balance expected return and risk exposure. To accommodate heterogeneous investor risk preferences, we incorporate bond ETFs as low-volatility assets and adopt a target volatility allocation strategy to rebalance between equity and bond exposures dynamically. A volatility cap and a newly introduced indicator-ratio adjustment mechanism are implemented to enhance responsiveness to market shocks and improve downside risk management. Using daily stock price data from Taiwan-listed companies spanning 2009 to 2024.
Empirical results demonstrate that the proposed methodology improves portfolio stability and return profiles compared to conventional strategy, highlighting the effectiveness of integrating quantitative modeling with adaptive risk control in modern asset allocation. |
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| Description: | 碩士
國立政治大學
風險管理與保險學系
111358013 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111358013 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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