English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49094/83209 (59%)
造訪人次 : 7017209      線上人數 : 44
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23787


    題名: 應用時間序列ARMA 模型於資產配置之研究
    其他題名: A Study of Applying Time Series Arma Model to Asset Allocation
    作者: 陳信宏;韋伯韜;蔡憲唐;傅懷慧
    貢獻者: 淡江大學財務金融學系
    關鍵詞: 資産配置;時間序列;效率前緣;平均數-變異數投資組合模型;Asset allocation;time series;efficient frontier;Mean-Variance Portfolio Model
    日期: 2005-03
    上傳時間: 2009-11-30 17:53:35 (UTC+8)
    出版者: 中國統計學社
    摘要: 過去應用馬可維茲平均數-變異數投資組合模型(MV模型)之相關研究,經常是依據過去的歷史資料分析投資工具的期望報酬與標準差,並假設這些投資工具未來的表現會與過去相同,而計算出效率前緣之投資組合。但事實上,過去的金融與經濟環境不一定能持續到未來,所以最佳資産與置的選擇雖可參考過去的經驗,但仍應對未來金融資産的報酬率做預測,並進行調整以降低資産配置決策偏誤的可能性。本文利用時間序列的ARMA模型對各項金融工具未來的報酬率先行預測,再利用每一季的預測結果計算最佳資産配置,建立動態資産配置模型。實證結果顯示,動態資産配置模型之獲利績效與穩定性明顯優於傳統MV模型所建立的靜態資産配置,其適用性也得到確認。 Over the past years, a considerable number of studies have been made on Markowitz Mean-Variance Portfolio Model (MV model). They usually estimated means and standard deviations of investment instruments' return rates by historical data, and assumed that the performance of these investment instruments in the future will be similar to that in the past to obtain the portfolios on the efficient frontier. In fact, the financial and economic environment may change in the future. Therefore, we should forecast the return rates of asset classes to reduce the bias of asset allocation decisions and acquire the optimal asset allocation. This article uses Time Series ARMA model to forecast the return rates of asset categories, and build up the dynamic asset allocation model to find the optimal asset allocation by the forecasting results. The empirical results show that the dynamic asset allocation model has better return and stability than traditional static asset allocation model. In addition, the usefulness of the dynamic asset allocation model is confirmed.
    關聯: 中國統計學報 43(1),頁 15-31
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    0KbUnknown175檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

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