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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 博碩士論文  >  均異模型與全面效用最佳化運用在資產配置的比較

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/83274

    Title: 均異模型與全面效用最佳化運用在資產配置的比較
    Authors: 謝翔宇
    Hsieh, Hsiang-Yu
    Chang, Jow-Ran
    教師: 張焯然
    Date: 2013
    Keywords: 全面效用最佳化
    Abstract: 本研究利用全面效用函數最佳化模型(Full-Scale optimization model)與均異模型(Mean Variance model)來建構資產配置,除了過去文獻採用的風險性資產外,本文獻多加了無風險性資產,並比較兩種方法樣本內與樣本外的效果。本研究採用一年期定存利率、FTSE 100、FTSE250做為投資組合的,研究樣本期間為2004至2012年。
    The study applies Full-scale optimization model and Mean-Variance Model to construct asset allocation. In addition to using risky asset, we also add risk-free asset to compare the utility of the two approach in the sample and out of the sample. We use 1-year deposit, FTSE 100, and FTSE 250 as our investment portfolio and the period is from 2004 to 2012.
    Although Markowitz’s investment portfolio still plays an important role nowadays, many scholars suspect that Mean Variance Model can not describe different type of return and utility function. They suggest use Full Scale Optimization to allocate asset and the empirical results indicate that Full Scale optimization is better. However, our empirical results which is used different-period data indicates that in-sample data and out-of sample data influence the results. In other word, we have different results.
    Our results are as follows. First, Full Scale Optimization Model tends to increase weight of risky asset and high return asset compare to Mean Variance Model. Second, Mean Variance Model does not include the third and higher moment. Therefore, when the return of out-of-sample data is negative, the performance of Full Scale optimization may be worse than Mean Variance Model. Third, Adding risk-free asset can be more diversification.
    URI: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/83274
    Source: http://thesis.nthu.edu.tw/cgi-bin/gs/hugsweb.cgi?o=dnthucdr&i=sGH02100071509.id
    Appears in Collections:[計量財務金融學系] 博碩士論文

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