淡江大學機構典藏:Item 987654321/31539
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 62822/95882 (66%)
造访人次 : 4017315      在线人数 : 583
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/987654321/31539


    题名: 應用多期動態隨機規劃建構股票、債券及現金投資組合
    其它题名: Apply stochastic programming to construct equities, bonds and cash portfolio
    作者: 邱子祐;Chiou, Tzu-yu
    贡献者: 淡江大學財務金融學系碩士班
    林允永;Lin, Yun-yung
    关键词: 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
    日期: 2007
    上传时间: 2010-01-11 00:52:48 (UTC+8)
    摘要: 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.
    显示于类别:[財務金融學系暨研究所] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    0KbUnknown251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