投資組合最佳化以蒙古股票市場為例

Portfolio optimization in Mongolian Stock Exchange

胡多俊(Dolgion Gankhuyag)

指導教授 ： 張國華

中原大學/電機資訊學院/工業與系統工程研究所/碩士(2015年)

https://doi.org/10.6840/cycu201500882

摘要

在本研究中，主要探討蒙古證券交易所的現況，投資機會與困境。在第一部分，我們探討蒙古證券交易所交易量最大的前50支股票的市場與財務狀況，效率，流動性與投資風險。利用10種不同的基本面來分析這50支股票，找出在蒙古證交所中最佳的10支股票，並放進投資組合中。我們利用投資組合最佳化模型從這10支股票內找出最佳投資組合。
首先，我們應用Markowitz的mean-variance投資組合模型和Telser的safety first模型在蒙古證券交易所中。利用蒙古證交所2009到2013年間交易量最大的50支股票作為歷史資料，進而利用mean-variance投資組合和safety first模型來測試2014年中的50週資料。透過此研究，我們發現mean-variance投資組合和safety first模型所產生的結果優於大盤。最後利用夏普比率和Sortino比率來比較我們的投資組合。

關鍵字

投资组合最佳化 ； mean-variance theory ； safety first模型

並列摘要

In this thesis, we present the Mongolian stock exchange’s (MSE) current status, investing opportunities and investing problems. In the first part of thesis, we checked market efficiency, liquidity, investing risk and current financial status of the most trading 50 stocks in MSE. We looked MSE 50 stocks using 10 different measures of fundamental analysis for seeking the best stocks in MSE.
We used financial portfolio optimization models to find the portfolio on these 10 stocks. First of all, we considered about portfolio optimization in MSE using Markowitz’s mean-variance portfolio model and Telser’s safety first model. We used historical data of the most trading 50 stocks in MSE between 2009 and 2013. We back tested mean-variance portfolio and safety first portfolio 50 weeks in 2014. Through research, we found that mean-variance portfolio and safety first portfolio outperformed the market. In the end, we used Sharpe ratio and Sortino ratio to compare our portfolios.

並列關鍵字

Portfolio optimization ； mean-variance theory ； safety-first model

參考文獻

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