- 學位論文
應用風險值與修正後夏普指數下的投資組合建構與績效衡量：台灣與越南股市的實證
Portfolio Construction and Performance Evaluation with Value at Risk and Modified Sharpe Ratio: Evidences from Taiwan and Vietnam Stock Markets
摘要
儘管過去幾十年來針對財務風險管理方法已有諸多發展，但經歷過2007年至2009年的全球金融海嘯後，投資者更迫切尋求有效的風險估計方法，以更精確預估最大的可能投資損失並做好投資風險控管。其中風險值的應用一直是最有效且簡單實用的工具之一，其提供了單一的整合數值告知投資者其資金部位所曝露的風險，並於其中隱含了整合性的財務風險管理概念，現代大型金融機構與法人投資者也多以風險值衡量其資產部位所承受的曝險程度並決定須持有多少的安全資金水位。基於風險值在實務的廣為採用，本研究採用三種投資組合策略包括：EW、SRW和MSR方法以建構對應之投資組合，並以變異數－共變異數法計算這些投資組合的風險值，以驗證相較於比較標的，何組投資組合具有最佳的投資績效(最少的最大可能曝險金額)，並以回溯測試驗證所計算出的投資組合風險值之精確性。本文實證資料主要以2009年至2014年來自台灣與越南的股市日資料為基礎，並進一步依標的股票產業別各別建構投資組合，研究結果首先發現，本文採用的三種投資組合策略所建構的不同投資組合確實能比對應的市場投資組合具有較少的風險曝露部位(較少的最大可能曝險金額)，其次發現，以台灣股市而言，積極投資策略MSR方法所建構的投資組合可擁有最佳的投資績效，而在越南股市中，則是以SRW方法所建構的投資組合表現最佳。最後，若再分析不同投資策略應用於不同國家之不同產業投資組合的結果，本文發現三種投資策略EW、SRW和MSR方法應用在建構台灣非金融產業投資組合(Taiwan industry portfolio)可有最佳的績效表現。而整體來說，以非金融產業(industry portfolio)為標的所建構的投資組合又比金融產業投資組合(finance portfolio)績效為佳。本文另也針對這些投資組合風險值的績效表現趨勢找出對應的可能解釋因子，並總結歸納：金融海嘯事件、外資投資淨額與無風險利率的變動等因子可以大致解釋本研究投資組合風險值之變動走勢。
並列摘要
Despite a number of risk management systems had been developed in the past decades, the Globally Financial tsunami during 2007-2009 urges investors and risk managers having paid much attention on financial risk management. Value-at-Risk (VaR) serves as one of the most effective and simplest method with an attempt to provide a single number that summarizes the total risk of a portfolio. VaR is used by large financial institutions to measure the riskiness of their assets and determine safe level capital to hold. In this paper, Variance-Covariance approach is applied to calculate VaR for three portfolios with regarding to the Equally-weighted (EW) portfolio, Sharpe Ratio-weighted (SRW) portfolio and Modified Sharpe Ratio-weighted (MSR) portfolio. Backtesting is further applied to verify the accuracy of these estimated VaR for three portfolios. The daily stocks data applied for our empirical experiments are collected from Taiwan and Vietnam stock market including twenty companies in the financial industry and the other pairwise in the non-financial industry from 2009 to 2014. The first finding of our experiments shows that our diversified portfolios can be less risky than their market indices benchmarks are. The second finding is that the MSR strategy does significantly contribute to the best portfolio return with the lowest losses compared with the two other strategies in Taiwan stock market and SRW portfolio performs the best in Vietnam stock market. The third finding is these three strategies work most efficiently in Taiwan industry portfolios. The research also indicates industry portfolios perform better than finance portfolios in both markets. This study finds out that Global financial crisis 2007-2009, the net value of foreign trading activities and the risk-free rates are the main reason affected VaR tendency in our portfolios.