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    Title: 訊息不確定下的模糊投資組合分析
    Other Titles: Fuzzy portfolio analysis with incomplete information
    Authors: 曹銳勤
    Contributors: 淡江大學管理科學學系
    Date: 2012-08
    Issue Date: 2015-05-11 15:43:15 (UTC+8)
    Abstract: 投資組合分析由 Markowitz 教授所提出,並且在在現代投資組合理論的發展中 扮演一個重要角色。然而,當投資組合系統中存在任何模糊不清的特性時,投資 者在金融市場上無法利用過去資產的模糊資料決定他們的投資。因此 Tanaka 等 學者根據Markowitz 投資組合模型的期望報酬及共變異矩陣的風險概念,將機率 特性的模式修改為模糊可能性的概念,而提出模糊投資組合模型。根據此概念, 許多學者致力在模糊投資組合的研究,在眾多模型中以mean-variance 模式特別 受到重視。 雖然,許多學者致力在模糊投資組合的研究。模糊投資組合模式在景氣循環的 變化過程中仍然存在一些可能的延伸主題,藉由延伸這些主題將可使模糊投資組 合模式更為穩健。這些延伸主題包括當經濟位於循環中的衰退階段或極度經濟危 機中,極短期的投資可將每個選取的風險證券的投資比例定義為一個模糊數,以 顯示投資者對於資訊不足下投資比率的不確定性,並依據經濟的變化將超額投資 與不足額投資納入模糊投資組合模型中進行討論;將投資者的風險態度加入模糊 投資組合模型中進行分析;當經濟環境位於在繁榮或衰退的經濟循環期間,討論 尋找適當加權函數對於模糊投資報酬進行加權;混合的投資組合模式,將模糊投 資組合模式應用於一個真實的投資問題,以顯示本研究所提出的引伸模型的穩健 能力。 在完成本研究計畫後,一個穩健的投資組合模型可以有效的被延伸分析,結果 將顯示本研究在模糊的投資環境裡具可應用的成效。此外,分析模型和簡易實例 驗證結果將證實本研究的具體成效。最重要的,本研究的實例將與具財金實務的 EMBA 學生合作進行探討,因此如果模糊投資組合模型被廣泛應用並累積其應用 的動量,則模糊投資組合模式將是投資組合分析的一個重要方法。
    Portfolio selection problem is proposed by Markowitz and has played an important role in the development of modern portfolio selection theory. However, if there is any vagueness and ambiguity, investors cannot decide their portfolio just by the past asset data on the non-probabilistic financial markets. Therefore, fuzzy portfolio model was proposed according to fuzzy possibility, discussing the fact that the mean vector and covariance matrix in Markowitz’s model are replaced by the fuzzy weighted average vector and covariance matrix, respectively. Then, many researchers devoted themselves in fuzzy portfolio models, especially; fuzzy mean-variance method in fuzzy portfolio analysis is the most popular method in this field. Although, many researchers devoted themselves in the field of fuzzy portfolio models, there still exists some possible topics could be extended to robust the fuzzy portfolio models, including analyzing the incomplete knowledge or information to the securities investment under the period of fluctuated economy with excess or shortage investment; analyzing risk attitudes for investors into the fuzzy portfolio model; some weighting functions for different stage of business cycle into the fuzzy portfolio model during the period of increasing or decreasing economy environment; a hybrid model considering uncertain investment proportion for each chosen security as a fuzzy number in order to show the linguistic or fuzzy attitude in the investment; and a real life problem in fuzzy portfolio analysis should be illustrated and shows the ability to our extension model. Therefore, after this study, a robust extension for analyzing the fuzzy portfolio model can be derived. The results will indicate considerable effects in the vagueness environment. Both the experimental results and the analytical models confirm the potential benefits of the study. Most importantly, the illustrated experiments with real practices will be derived from EMBA students. If the uptake of fuzzy portfolio models begins to its momentum in applications, then this approach will be an important issue in portfolio analysis.
    Appears in Collections:[管理科學學系暨研究所] 研究報告

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