債券資產配置之實證研究

An Empirical Study of Fixed Income Asset Allocations

張芷菱(Tzu-Lin Chang)

指導教授 ： 黃裕烈 ； 徐士勛

國立清華大學/科技管理學院/財務金融碩士在職專班/碩士(2020年)

摘要

本文運用不同風險、市場的債券指數作為投資標的，包含全球債、美國投資級債、歐洲投資級債、美國高收益債、歐洲高收益債以及新興市場主權債，運用risk parity、均等權重法、最小變異數法、最大化 Sharpe ratio配置建構投資組合。研究結果發現，risk parity 為四個配置中資產風險貢獻最為分散者，風險調整後報酬 Sharpe ratio 以及考量下方風險的 Sortino ratio 表現最優，且權重及週轉率較為穩健，為 4 種配置中最為適合放入債券投資組合建構之方式。

關鍵字

資產配置 ； 風險平價 ； 債券指數

並列摘要

This article uses six different bond indexes as investment targets, including global broad market, U.S. investment grade, European investment grade, U.S. high-yield grade, European high-yield grade and Emerging market sovereign debt, using four asset allocation methods including risk parity, equal weight, minimum variance optimization, maximize Sharpe ratio allocation to construct investment portfolio. The results of the study found that risk parity is the most diversified of asset risk among four allocation methods. The risk-adjusted reward such as Sharpe ratio and Sortino ratio are the best, and the weights adjustment and turnover rates are relatively stable, which is the most suitable method to construct bond portfolio.

並列關鍵字

riskparity ； fixincome

參考文獻

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