淡江大學機構典藏:Item 987654321/115095
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 62830/95882 (66%)
造访人次 : 4092362      在线人数 : 782
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/115095


    题名: Building multi-factor stock selection models with experimental designs and multi-variable polynomial regression analysis – Empirical evidences from Taiwan stock market
    作者: Liu, I-Cheng Yeh and Yi-Cheng
    关键词: Portfolio, weighted-scoring stock-pickings, mixture experimental design, multi-variable polynomial regression analysis.
    日期: 2018-07-28
    上传时间: 2018-10-04 12:11:47 (UTC+8)
    摘要: Some literature adopted a weighted-scoring approach to construct the multi-factor stock selection model. However, this approach leads to two shortcomings. First, it cannot effectively identify the connection between the weights of stock-picking concepts and portfolio performances. Second, it cannot provide the optimal combination of weights of stock-picking concepts to meet various investors’ preferences. This paper aims to employ a mixture experimental design to collect the weights of stock-picking concepts and portfolio performance data, as well as to build up performance prediction models based on the weights of stock-picking concepts with multi-variable polynomial regression analysis. Furthermore, these performance prediction models and optimization techniques are employed to discover the optimal combination of weights of stock-picking concepts. The samples consist of all stocks listed in the Taiwan stock market. The 1997-2008 period and the 2009-2015 period are employed as the modeling period and the testing period. Empirical evidences showed that (1) our methodology is robust in predicting performance accurately, and can discover significant interactions between the weights of stock-picking concepts. (2) It can discover the optimal combination of weight of stock-picking concepts which can form stock portfolios with the best possible performances to meet investors’ preferences. Thus, our methodology is able to resolve the two shortcomings of classical weighted-scoring approach.
    關聯: 2018 International Conference on Multidisciplinary Challenges in Business Management and Social Science Theories (MCMS 2018)
    显示于类别:[土木工程學系暨研究所] 會議論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML149检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈