近年來風險值已成為風險管理的新方法。有眾多的文獻在探討投資組合風險值，提供投資人在所持有的投資組合中，未來可能承受的最大損失，進而加強對投資組合之風險控管。 本研究利用多變量GARCH求得投資組合的條件變異後，再配適台股指數、台灣及美元匯率，及原油期貨投資組合權重調整，分析在相同報酬下相等權重及最小變異的投資組合，由於相關文獻多以相等權重來估算風險值，但其準確性及合理性是有待商榷，因此本文的研究目的在於比較等權及配適後非等權後的變異性，以茲所得結果提供投資者在做風險控管時，以最小變異的最適權重投資組合做為參考依據。 Value at Risk(VaR) is very important in risk management. There are numerous articles and theses focus on VAR at investment portfolios in order to provide further understanding in the possible losses that the investors may endure in the future and therefore to strengthen the risk control and management on the portfolios.
This paper adopts the multivariate GARCH model to obtain conditional variations about the portfolios. We also incorporates the weighted adjustments of the portfolios on Taiwan stock market index, Taiwan and US. Exchange rate, and crude oil futures to the model to analyze the portfolio variation of equal weight and unequal-weighted allocation based on the same returns. The model in several related articles usually adopts equal weights allocation portfolios to estimate VaR, however the accuracy and rationality of those models are questionable.
The result shows that allocate the portfolios at the optimized weight has less variation than at equal weight, that is, the portfolios at optimized weight allocation has less volatility compared to equal-weighted allocation portfolios at the same return level, implying that the portfolios at the optimized weight allocation should be a better investment strategy.