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| Title: | 以技術分析指標建構台灣股票市場最適資產配置
The Optimal Asset Allocation According to Technical Indicators in Taiwan Stock Market |
| Authors: | 陳怡如
Chen, I Ju |
| Contributors: | 黃泓智
Huang, Hong Chih
陳怡如
Chen, I Ju |
| Keywords: | ASKSR
技術指標
多元Gaussian Copula
效用函數
資產配置 |
| Date: | 2015 |
| Issue Date: | 2015-07-13 11:09:34 (UTC+8) |
| Abstract: | 本研究以2006年至2015年4月30日台灣股票市場所有上市櫃股票為樣本，首先利用每季公布之財務報表，以市值、股票月週轉率、每股盈餘、股東權益報酬率、本益比等六項指標作為第一階段篩選股票之準則。接著進行第二階段之股票篩選，先透過ASKSR篩選出現最好之兩倍投資組合數的股票後，再透過計算其技術指標總分篩選出符合投資組合數的股票。選好股票後再由多元Gaussian Copula-GARCH(1,1)-t與元Gaussian Copula-GJR(1,1)-t模型進行估計並以蒙地卡羅法模擬，藉由CRRA效用函數、mean-variance效用函數、Sharpe ratio、CARA效用函數最適化權重來投資。樣本期間內採Rolling window方式不斷調整投資組合直到結束。
本論文欲探討結合財務資訊指標、股票評分指標與技術指標去選股，並嘗試比較以多元Gaussian-Copula-GARCH(1,1)-t資產模型與多元Gaussian-Copula-GJR(1,1)-t資產模型進行資產配置之效果，希望達到穩健獲利的效果。 |
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| Description: | 碩士
國立政治大學
風險管理與保險研究所
102358010
102 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0102358010 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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