淡江大學機構典藏:Item 987654321/31609
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    题名: 固定比例投資組合保險策略動態調整乘數績效分析－運用不同類型技術分析之比較
    其它题名: Constant proportion portfolio insurance using dynamic adjusting factors －an empiric study of different technical analysis
    作者: 劉智豪;Liu, Chih-hao
    贡献者: 淡江大學財務金融學系碩士在職專班
    邱忠榮;Chiou, Jong-rong
    关键词: 投資組合保險;CPPI;CRISMA;ETF;Portfolio Insurance;CPPI;CRISMA;ETF
    日期: 2008
    上传时间: 2010-01-11 01:02:28 (UTC+8)
    摘要: 台灣股市屬於淺碟型的市場，加上政治因素的不確定性與散戶的高參與率，股市的急漲急跌與高波動性已成為台灣股市的特色，國人投資理財的風氣日漸興盛，但多數卻過度熱衷於股票市場中之投機行為，而缺少了管理投資風險的避險概念。因此，投資組合保險之策略可作為投資人的重要參考與應用。投資組合保險的目的是將投資組合所面臨的風險控制在一固定的範圍內，保護整個投資組合淨值下跌時造成的損失，而另一方面又可以參與市場上漲時的獲利。操作方式是在期初付出一筆特定保費，藉由犧牲少許價格上漲之上方利益，保護投資組合因價格下跌造成的風險，保障資產總值不會低於投資前所設定的最低水準。本研究將以投資組合保險策略中的固定比例投資組合保險策略( CPPI: Constant Proportion Portfolio Insurance )為研究標的。
    本研究嘗試引入綜合型態之CRISMA（Cumulative Volume, Relative Strength,Moving Average）交易系統與其他投資者常用之技術指標：指數平滑異同移動平均線(MACD)、隨機指標(KD)、移動平均線(MA)、威廉指標(WMS%R)等，利用長、中、短不同天期之價量資訊，作為固定比例投資組合保險策略中風險係數調整參考及績效比較。許多投資人在面對不同市況而必須調整其風險態度時，如選擇固定的風險係數M值，表示風險係數M值無法適時配合調整，以致發生無法貼近投資者的投資行為。技術指標分析在台灣的股票市場上已盛行多時，其在買賣時點的掌握上確實有其參考價值，同時技術指標是依據不同時期投資標的的價量資訊，其分析結果更能適時的反應出不同市況中投資者的風險態度及投資行為。本研究利用技術指標來調整固定比例投資組合保險策略( CPPI )中風險係數M值，使其貼近投資者行為及市場多空趨勢判斷之種種特性，同時投資者可依本身的風險態度選擇適當的技術指標應用於投資組合保險策略。
    因技術指標所得之買賣點指標訊息，能夠反應大部份投資者投資行為的表現，同時也具有描述當時市場風險感受度的訊息能力，以及衡量市場情緒程度與不同投資者風險取向，反應出各種價量的訊息。故本研究利用不同天期之價量資訊計算出買進及賣出時點之基準點，再利用每日收盤價與基準點價格比較計算後之價格變動
    比率，動態調整在CPPI中風險係數M值，可在上漲階段增加風險乘數以提高投資報酬，並在下跌階段時降低其風險乘數，減少投資風險，其結果優於傳統在風險乘數M值固定下之投資組合報酬率與波動度。另對於適合短天期資訊(10天、20天)之投資人可選擇隨機指標(KD)為指標。對於適合長天期資訊(60天、120天、240天)之投資
    人可選擇指數平滑異同平均線(MACD)為指標。對於無法承受投資期間投資組合大幅下跌之投資人，可選擇CRISMA交易系統為指標。因此運用技術指標分析動態調整CPPI中風險係數M值，對於無法承受巨大損失風險或是對於市場趨勢不明的投資人而言，既可以保障原始投入入的資金，同時更能貼近市場實際情況，又可以參與上方的獲利，此方式可作為投資人對於投資組合策略之的重要參考與應用。
    There are some characteristics in Taiwan stock market, such as higher volatility、political uncertain factor、local investors with high participation rate、rapid rise and rapid drop price。Domestic investment activity has been growing fast day after day; most of investors
    excessively participates in the stock market, and has lacked the concept of investment risk management. Therefore, investors may take the strategy of the investment portfolio Insurance which is for reference. The
    purpose of portfolio insurance is to control the risk in a fixed scope, which protect from loss of the entire investment portfolio when net worth falls, on the other hand participate in the market rise making a profit. The
    mode is paying a specific insurance premium in the opening, the sacrificing little benefit of a rise in price, it may reduce the risk of a drop in price, and safeguards the asset not be lower than the lowest standard
    which establishes before the investment. CPPI (Constant Proportion Portfolio Insurance), one of the Portfolio Insurance model is my research sign.
    This research intend to introduce general technical analysis CRISMA (Cumulative Volume, Relative Strength, Moving Average) transaction system and other commonly technical analysis : MACD,Moving Average Convergence and Divergence、KD, Stochastic Index、MA, Moving Average、WMS%R, Williams Overbought / Oversold Index，and use different stage information of price and quantity, adjust the CPPI
    risk M value and performance compare. Many investors face the different stock market situation must adjust their attitude toward risk, if chooses the fixed risk M value, it is not close to investor''s real investment behavior. The technical analysis is in vogue in Taiwan stock market
    already, it has reference value to control business point in time. At the same time, the result of the technical analysis is the basis of different stage information about price and quantity, display the investor''s risk condition and the investment behavior in face the different stock market situation at the right moment. This research using the technical analysis to adjust the CPPI risk M value, because of closing to the investor''s investment behavior and make a decision of the bull or bear market situation. At the same time, the investor apply that may depend on itself risk attitude to choice technical analysis in CPPI.
    Throygh the technical analysis obtained the reference value to buy or sell in time, and show the investor''s real investment behavior, its information discovery capability can measure stock market situation. Therefore, using different stage information about price and quantity in
    this research to calculates buy or sell reference point in time, and get the change ratio between the reference point and daily closing price, the purpose of the dynamic adjusting the CPPI risk M value is that we can increase the risk multiplier M value to achieve higher investment return in a bull market and reduce the risk multiplier M value in bear market to reduce downside risk. Regarding the short-term information in addition (10 days, 20 days), the investor may choose the Stochastic Index (KD) be the target. Regarding the long-term information in addition (60
    days,120 days, 240 days), the investor may choose the Moving Average Convergence and Divergence(MACD) be the target. If the investor is unable to withstand the investment portfolio large risk in investment period, the CRISMA transaction system would be the target. Therefore, if using technical analysis to dynamic adjust the CPPI risk M value, can control the risk in a fixed scope, which protect from loss of the entire investment portfolio when net worth falls, on the other hand participate in the market rise making a profit. It¡s a good investment strategy to use.
    显示于类别:[財務金融學系暨研究所] 學位論文

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