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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31202


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    题名: 高階動差對投資組合之影響
    作者: 黃奕栩
    Huang, I Hsu
    贡献者: 李桐豪
    黃奕栩
    Huang, I Hsu
    关键词: 高階動差
    投資組合
    偏態
    峰態
    多項式目標求解
    PGP
    Portfolio
    Skewness
    Kurtosis
    Higher Order Moment
    日期: 2008
    上传时间: 2009-09-14 09:31:32 (UTC+8)
    摘要: 自Markowitz(1952)提出平均數-變異數準則以來，對於該準則適宜性的討論即不曾停止過。許多實證上資料顯示資產報酬率分配不為常態，而越來越多學者也對於高於二階以上之高階動差對投資決策之影響提出證實。本文利用臺灣八大類股指數報酬率分配資料，運用多目標規劃求解法進行實證，發現臺灣股票市場呈現顯著峰態性質，此外，本文樣本外試驗結果亦指出，平均數-變異數-偏態-峰態架構下之最適投資組合的報酬率高於傳統平均數-變異數架構下之最適投資組合以及大盤報酬。
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    描述: 碩士
    國立政治大學
    金融研究所
    96352012
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096352012
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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