- 學位論文
以市場中立策略下建立投資組合模式
Constructing Portfolio Models for Equity Market-Neutral Strategies
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摘要
在本研究中，參考馬克維茲的平均數變異數投資組合模式，提出以做多效率前緣上的投資組合並且放空相對應的最沒效率前緣的投資組合方式建立市場中立的投資組合。實證則採用台灣經濟新報(TEJ)提供的台灣證券市場2004年到2012年的上市櫃公司資料進行，並以夏普指標當作評斷投資組合的標準。 本論文提出的兩種市場中立投資組合，都是作多效率效率前緣上的投資組合，但是放空部分分為兩種，一種為放空最小報酬的投資組合，另一種為放空最大風險的投資組合。實證結果發現以第二種方式建立的市場中立投資組合有很好的表現，並且可以打敗大盤。
並列摘要
In this thesis, we use Markowitz’s mean-variance portfolio model to propose a new method to construct an equity market-neutral portfolio by going long an efficient portfolio and short on the least efficient portfolios. The experiments draw on the Taiwan Economics Journal (TEJ) database during 2004 to 2012. The test sample consists of all the listed stocks in the Taiwan stock market during that period. The Sharpe ratio is employed as the benchmark to assess the performances of portfolios. We propose two equity market-neutral portfolios. Both of them are constructed by going long the same efficient portfolio, but short on different portfolios. The first one is going short on the minimum return portfolio, and the other is going short on the maximum risk portfolio. The empirical results show that the latter has a good performance and outperforms the stock market.
參考文獻
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[5] 林于智，「台灣股市動態投資組合績效之探討」，國立成功大學財務金融研究所，碩士論文，民國100年。
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延伸閱讀
- Cheng, S. F. (2003). 在套利以及風險中立下最佳投資組合之研究 [master's thesis, Chung Yuan Christian University]. Airiti Library. https://doi.org/10.6840/cycu200300339
- Tang, M. L., Chen, S. N., & Chiang, M. H. (2012). 對數常態證券市場下考慮估計風險後的最適投資組合建構. 財務金融學刊, 20(2), 19-53. https://doi.org/10.6545/JFS.2012.20(2).2
- 蔡庭曜（2010）。以平均數-變異數投資組合模型探討觀光資源最適資產配置之建構〔碩士論文，國立高雄餐旅大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0018-1207201010102500
- Su, L. H. (2015). Short Covering Strategies and Return Predictability of Investor Types [master's thesis, National Chung Cheng University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0033-2110201614014927
- Xie, L., & Li, Y. (2022). Analysis of Investment Opportunities and Strategies of Convertible Bonds. Frontiers in Economics and Management, 3(6), 151-155. https://doi.org/10.6981/FEM.202206_3(6).0018