期貨與股票投資策略之隨機規劃模式

由於我們投資於資產的投資報酬率為不確定性，所以選取投資組合已經是一個重要的議題.近年來，出現許多新的衍生性金融商品，例如:選擇權、期貨，它們提供給投資者更多的投資機會。也正因為如此，投資者將有更多的獲利機會。在本篇論文，我們考慮如何選取我們的投資組合，並且找出一個最佳的出場時間。我們的投資組合是買入股票和賣出期貨當作我的投資組合。而我們每個月的交易期間是選擇在當月期貨發行，若是在交易期間報酬超過預定的門檻，我們就會在中途結算投資組合。我們建立一個二階段隨機規劃(SLP)的數學模式，去尋找最大的利潤。在第一階段，利用safety first 的方法找出一組投資組合。在第二階段時，利用此投資組合找出最佳的結算時機。在數值分析時，我們證明出我們的投資組合的利潤較為穩定且獨立於市場，不受大盤的影響。

關鍵字

二階段隨機規劃；投資組合；期貨

並列摘要

Due to the uncertainty of the returns of asset, the portfolio selection problem is an important topic in the field of finance engineering. In recent years, the emergence of new financial derivatives such as options and futures provides more investment opportunities for the investor. Also due to these new instruments, investor has more abilities and opportunities to obtain the sure profits. In this thesis, we consider a portfolio selection problem with dynamically closing the portfolio. Our portfolio would take the long position on the stock portfolio and take the short position in the future index from the date the future is issued and end when the revenue reach a predetermined threshold. We model it as a two-stage stochastic linear program (two-stage SLP) to maximize the revenue. The first stage of this SLP, we obtain a portfolio under the safety-first criterion; the second stage determines the revenue of this given portfolio with the optimal closing time. Empirical results show that the return of our portfolio is steady, profitable and independent of the market.

並列關鍵字

future ； two stage stochastic linear program. ； Portfolio selection

參考文獻

[2] Chen, H.J.(2001), (2001) ”Two-stage stochastic programs for the asset liability

[3] Chamers, D., and A. Charnes, (1961) ”Inter-Temporal Analysis and Optimization

Kasai Financial Planning Model,” Operations Research, Vol. 46,No. 4, 433-448.

[6] Eppen, G.I., and E.F. Fama, (1971) ”Three Asset Cash Balance and Dynamic

by multistage stochastic programming,” European Journal of Operational Research,

國際替代計量

期貨與股票投資策略之隨機規劃模式

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