應用多期動態隨機規劃建構股票、債券及現金投資組合

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Title:	應用多期動態隨機規劃建構股票、債券及現金投資組合
Other Titles:	Apply stochastic programming to construct equities, bonds and cash portfolio
Authors:	邱子祐;Chiou, Tzu-yu
Contributors:	淡江大學財務金融學系碩士班林允永;Lin, Yun-yung
Keywords:	投資組合;多期資產配置;動態規劃;平均數-變異數;隨機規劃;portfolio;multiperiod asset allocation;dynamic programming;mean-variance;stochastic programming
Date:	2007
Issue Date:	2010-01-11 00:52:48 (UTC+8)
Abstract:	資產配置乃是將資金分散投資到主要的資產類別中，例如股票、債券、現金等。傳統的平均數-變異數方法在資產配置上早已被廣泛的運用。但是，現今的金融環境多變，多期資產配置的需求提高，傳統平均數-變異數方法只處理單一期間的資產配置，且反應未來的能力不佳，顯然已經不適用。本文引進Stochastic Programming之基本概念，依據投資人之投資需求以及投資限制，建立一般化模型。最後再利用套裝軟體「AMPL+MINOS 5.5」求解所建立之隨機規劃方程式，得到決策初期所需建立之資產部位，以及未來各期、各種情境下所需採取之動態調整策略，可以改良過去單點估計值的缺點，同時能夠將未來情境納入考量，使得多期資產配置更富策略性。並實証在兩期的情況下，期中調整資產組合的結果。從而瞭解持續的動態規劃，方能提升資產配置的效率性。 Asset allocation is the process of dividing an investment fund among major asset classes such as equities, bonds, cash, etc. Traditional mean-variance portfolio selection is widely used for asset allocation. However, as time goes by, the financial condition changes rapidly. The method of mean-variance analysis has some limitations. It not only can’t deal with multiperiod asset allocation, but also cannot reflect future economic circumstances, especially for long-term investments. This research introduce Stochastic Programming concept and apply this method. We set a general programming model according to investor investment requirements and limitations construct. The stochastic model was implemented using standard modeling and optimization software (AMPL+MINOS 5.5 ). This method can improve the pits of single estimate in using mean-variance analysis, and take future scenarios into account so that the model will become more useful in practice. The two-period empirical results have shown that using continuous dynamic programming to build strategic asset allocation decision can improve the efficiency of asset allocation.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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