投資最佳化組合數學模式中風險值預估 方式之研究

Estimation of Risk Factor in the Mathematical Model for Portfolio Optimization

陳家昌(Chia-Chang Chen)

指導教授 ： 林逾先

國立臺北科技大學/管理學院/商業自動化與管理研究所/碩士(2006年)

https://doi.org/10.6841/NTUT.2006.00374

摘要

在面對市場的低利時代，只把資金放在銀行定存，早已不符合保本和投資效益，社會大眾所需面對的是運用更多的理財工具，方可使本身的資金不被低利率所侵蝕，在眾多理財工具中，具有較低風險和較高報酬的共同基金較常被投資大眾所使用。
在現今需求快速轉變的時代，任何形式的改變都將造成或多或少的風險，因此風險管理就顯得格外重要，而近來針對風險值（VaR）的問題，各領域都有在探討，但是在數學規劃中，針對投資組合的問題，則較少探討到風險值（VaR）的問題。本研究主要目的是運用線性規劃的模式，對台灣地區的股票型基金進行績效評估，以篩選出有效率的基金組合，並加入風險值（VaR）於模式中，取代傳統假設模型屬於常態分配時的標準差，以期能更為符合實際的共同基金投資組合的型態，並提供消費者適合本身需求的基金投資組合，減少投資大眾承擔多餘的風險。

關鍵字

投資組合 ； 數學規劃 ； 風險值

並列摘要

Facing the period of low interest rates, it’s not worth to deposit the fund in the bank. The investing public should select appropriate financial commodities to have better return. Mutual fund represents lower risk and higher reward accepted by investors.
Nowadays the rapid shift of consumer demand will create more or less risk, therefore the risk management seems more important. Recently the Value-at-Risk (VaR) problem will be discussed in various fields, but for investment portfolio, mathematical programming doesn’t discuss VaR problems. In this research the main goal is to use linear programming and to evaluate the performance of stock mutual fund in Taiwan in order to screen effectiveness of the portfolio of mutual fund, and to use VaR to replace the standard deviation in the model. It can conform to the actual mutual fund investment portfolio with the time condition and provide the suitable mutual fund portfolio for customers, moreover the investing public can reduce undertake the risk.

並列關鍵字

Portfolio ； Mathematical Programming ； Value-at-Risk (VaR)

參考文獻

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