English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 60696/93562 (65%)
造访人次 : 1055623      在线人数 : 33
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/987654321/73953


    题名: CPPI與TIPP策略於紅籌股投資組合的應用
    其它题名: Applying CPPI and TIPP strategies in the portfolio of red chip
    作者: 陳冠穎;Chen, Kuan-Ying
    贡献者: 淡江大學財務金融學系碩士在職專班
    李沃牆;Lee, Dr. Wo-Chiang
    关键词: 紅籌股;固定比例投資組合保險策略(CPPI);時間不變投資組合保險策略(TIPP);風險乘數;Red Chip;CPPI;TIPP;multiplier
    日期: 2011
    上传时间: 2011-12-28 17:38:01 (UTC+8)
    摘要: 本研究旨在探討投資組合保險策略於紅籌股之投資組合應用及績效評估。實證上,先以財務報表比率分析及Markowitz的平均數-變異數模型進行選股,再進一步比較不同的風險乘數1.5、2、4及95%固定保本率下,以固定比例投資組合保險策略及時間不變性投資組合保險策略投資組合的績效。實證結果發現,在上漲趨勢與下跌趨勢,無論是CPPI策略績效或TIPP策略績效中,財報選股與Markowitz選股績效並無顯著差異。但在上漲趨勢下,買進紅籌股策略績效較佳。下跌趨勢下,CPPI及TIPP能發揮保本功能。此外,在全樣本下的CPPI與TIPP保本策略而言,由Sharp ratio、Treynor index、Information ratio、Jensen Alpha四個指標發現Markowitz平均-變異數模型的投資組合績效表現最佳。
    The study aims at the application of portfolio insurance strategies in red-chip and performance evaluation. In our empirical study, we first select stocks via financial statements and Markowitz mean-variance model, further evaluation the performance of CPPI and TIPP insurance portfolio strategies based on different multipliers 1.5,2,4 and 95% principal, respectively.
    Empirical results show that it is not significant for the two selecting stock strategies in CPPI and TIPP no matter what the market went up or down. However, the performance of buying red-chip directly can perform very well when the market went up. Yet, the CPPI and TIPP can catch the profit and lock the principal when the market went down. In addition, The Markowitz mean-variance model can outperform the financial statement in full sample through CPPI and TIPP according to the Sharpe ratio, Treynor index, Information creteria ratio and Jensen alpah criteria.
    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
    index.html0KbHTML420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