報酬可預測下之長期投資組合配置決策-台灣實證研究

Investing for the Long Run when Returns Are Predictable-An Empirical Study of Taiwan

杜佩蓉(Pei-Jung Tu)

指導教授 ： 黃文光

淡江大學/商學院/財務金融學系碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00969

摘要

本論文主要研究在資產報酬可被預測時，長期下投資人的最適投資組合配置。根據貝氏法估計VAR(向量自我迴歸模型)模型中的不確定參數，在投資人最大期望效用值下決定該投資組合的最適配置。實證分析顯示，從模型的參數真實值不確定性因素探討考慮估計風險對決策的影響及加入益本比對預測投資組合最適配置的影響有顯著的不同。在考慮估計風險及可預測變數後，長期下投資人可以投資較多部位在股票等高風險性資產上。最後，計算在不同投資組合配置下的VaR(風險值)來做比較分析。

關鍵字

資產配置 ； 長期投資 ； 貝氏法 ； 向量自我迴歸 ； 風險值

並列摘要

The study examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizon . According to Bayesian, we estimate uncertainty about the true values of VAR(Vector Autoregression) model and decide optimal portfolio allocation with the max expected utility of investor. The empirical results show that the weight of optimal portfolio can be very different from short-horizon and long-horizon. Considering estimation risk and predictor makes investors allocate substantially more to stock with the long horizons. Finally, we calculate the VaR (Value at Risk) to analyze the different portfolio.

並列關鍵字

Asset Allocation ； Long-Term Investment ； Bayesian ； Vector Autoregression Model ； Value at Risk

參考文獻

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