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    Title: 投資組合決策最佳化之研究
    Other Titles: A study of portfolio optimal decision analysis
    Authors: 林武誼;Lin, Wu-i
    Contributors: 淡江大學財務金融學系碩士在職專班
    林景春;Lin, Gin-chung
    Keywords: Sharpe;MV;效率前緣;Sharpe;MV;Efficient Frontier
    Date: 2007
    Issue Date: 2010-01-11 01:10:45 (UTC+8)
    Abstract: 投資組合最佳化問題是希望找出資產組合之最佳資金配置(或稱投資權重),以期能得到更高之投資報酬及更低之投資風險。此問題之研究起源於Markowiz所提出之均異(Mean-Variance)模型(以下簡稱MV Model),該模型奠定現代投資組合理論(Modern Portfolio Theory)之基礎。然而,在MV Model中並未考慮投組建立過程中的主觀與客觀限制,包括了:風險趨避係數等,以致於降低了MV Model的實用性。
    當以上限制於MV Model中考慮後,原二次規劃(QP)模型將轉為一難以求得全域最佳解的非線性問題,為此,本研究使用蒙地卡羅求解,考慮前述問題下之投資組合最佳化模型;採用Sharpe 模型、Markowitz MV模型與風險趨避模型作為操作績效之評估指標,分析2001-2006年的歷史資料,以過去五年度股票指數,債券指數以及不動產證券化指數的投資組合所產生最大Sharpe值、Markowitz MV、風險趨避投資組合權重,配置下年度三大投資標的,經過幾年測試所產生的總投資報酬率,並分析其報酬與單一投資全球股票指數、債券指數或全球不動產證券化指數的報酬差異。
    It normally refers to lots of index such as volatility and returns of investment subject for period of time specially when making the investment decision and evaluating both risk and expected reward.
    The research disposed top three investment strategies of the second half year, by using the value of maximum Sharpe,the lowest risk and risk aversion model of the portfolio of Global stock, Global stock, and Global Reits index during economic record year 2001 to 2006, for past five years; in the meantime, it will evaluate the difference of investment return totally between which is resulted from the testing and the index of Global stock, Global stock, and Global Reits as wel
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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