- 學位論文
國際資產投資組合之實證研究
Application of BEKK Multivariate GARCH Model at Portfolio
摘要
本文的目的在於探討不同投資權重的國際投資組合分配。有鑑於一般在研究時，通常會假設投資組合為相同權重之投資組合，然而此一假設往往與實際情況有出入。本文應用Engle and Kroner（1995）提出的多變量GARCH模型之BEKK表示法建構條件共變異矩陣，進而求出配適後非等權投資權重，建立一與等權投資組合相同預期報酬條件下的最小變量投資組合，進而與等權投資組合作比較。經由以NASDAQ指數、英鎊對美元及NYMEX輕原油期貨組成之資產組合而得之實證研究發現，在相同預期報酬條件下的最小變量投資組合較等權投資組合具有波動性群聚的現象及具有高狹峰的分配特性，而在衡量風險的能力亦較等權投資組合為佳。
並列摘要
The purpose of this article is to discuss the different weighted investment in international investment portfolio allocation. Due to equal weighted investment portfolio is the first assumption in risk forecasting in ordinary investment portfolio model research, however this assumption often differ from real situation. This article applies BEKK express constructive condition in same variables matrix of multi-variables GARCH model from Engle and Kroner (1995) and get the un-equal investment weighted to establish an adjusted un-equal investment portfolio allocation, and then compare to the equal weighted investment portfolio allocation. The real examination researches discover that through the assets combination of NASDAQ index, British Pound vs. US dollar and NYMEX light crude oil futures portfolio, the adjusted un-equal weighted investment portfolio has the phenomenon of volatility grouping and the character of high narrow peak allocation compare to the equal weighted investment allocation, so it has better ability in forecasting the risks than the equal weighted investment portfolio.