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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/57553
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/57553


    Title: CoVaR在資產配置下之應用
    An Application of CoVaR on Asset Allocation
    Authors: 藍婉如
    Contributors: 陳威光
    郭維裕

    藍婉如
    Keywords: CoVaR
    資產配置
    Date: 2011
    Issue Date: 2013-04-01 14:37:11 (UTC+8)
    Abstract: 金融市場中個別資產的風險感染效果越趨嚴重,使得傳統資產配置理論下的投資組合面臨極大的虧損。有鑑於此,若能在投資組合模型中納入考量此種擴散效果,將可更加分散風險以增進投資組合的效率性,並進一步降低投資組合面臨極端虧損的可能性。因此,要如何納入此一風險擴散效果,以在良好的風險控管下進行資產配置,將可能遭受的損失降至最低,是本論文主要探討的問題。
    本研究延伸Adrian, Brunnermeierz (2009) CoVaR的概念,納入考量系統性風險因素,透過CoVaR模型衡量系統性風險擴散時,造成個別標的資產報酬率變動的程度,並將Markowitz的效率前緣加以改良,建構更具效率性的Mean-CoVaR資產配置模型,以計算新的最適配置權重與最適投資組合。此外,本研究也就Mean-CoVaR資產配置模型與傳統Markowitz(1952)所提出的Mean-Variance模型進行探討與比較。
    綜合本研究之實證結果,Mean-Variance模型雖然能使投資組合報酬率的波動度最小,但在面臨極端系統性風險下,其績效表現卻不如Mena-CoVaR模型所建構出的投資組合;因此,在傳統的Mean-Variance模型下,若能以CoVaR取代Variance所建構出新的Mean-CoVaR投資組合模型,納入大盤風險可能的擴散效果下,將可有效降低投資組合在大盤崩跌時的虧損程度,以維持較佳的投資績效。
    Reference: Adrian, Tobias and Markus K. Brunnermeier (2009), “CoVaR,” Federal Reserve Bank of New York Staff Report 348.
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    李吉元,民國九十二年六月,「風險值限制下最適資產配置」,成功大學財務金融研究所碩士班論文。
    洪幸資,民國九十三年六月,「控制風險值下的最適投資組合」,政治大學金融研究所碩士班論文。
    許倫維,民國九十五年六月,「探討在Mean-Variance 模型下,VaR或CVaR的條件限制對投資組合選擇的影響」,清華大學科技管理研究所碩士班論文。
    黃惠萱,民國九十五年六月,「最適資產配置模型績效之研究- M-V與M-CVaR模型之比較」,銘傳大學財務金融學系研究所碩士班論文。
    陳怡君,民國一零零年七月,「CoVaR風險值對金融機構風險值管理之重要性-以臺灣控股公司為例」,政治大學金融研究所碩士班論文。
    張吟綺,民國九十四年六月,「考慮景氣循環與風險值下的最適資產配置之實證研究」,交通大學經營管理研究所碩士班論文。
    蔡依婷,民國九十九年六月,「追蹤指數與控管CVaR之投資組合規畫模型」,政治大學應用數學系研究所碩士班論文。
    鄭互維,民國九十六年六月,「應用Mean-VaR模型於最適化油品煉製組合」,交通大學經營管理研究所碩士班論文。
    Description: 碩士
    國立政治大學
    金融研究所
    99352016
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099352016
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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