海外投資組合的風險值評估

The Evaluation of Value at Risk in Foreign Portfolio Investment

彭家瑞(Chia-Jui Peng)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2008年)

https://doi.org/10.6840/cycu200900172

摘要

利用投資組合的概念可降低投資的風險，却仍面對相當程度的投資風險。換言之，在任何投資組合下，投資者仍需面對一些可能的風險，若投資者欲進一步對該風險採行相關的規避措施，則必須先評估該投資組合的風險。文獻上對於海外投資組合的風險評估，因投資者與投資標的不同而有所差異，且使用的評估方法亦相當分歧，顯少有先考慮海外投資效率前緣後，再進行其相關風險評估者。因此，本研究認為在於考量投資報酬因素及結合投資選擇原則下，如何掌握投資的關鍵因素，控管海外投資風險，是值得探討的議題。

本研究主要將代表性的各項海外資產列入可篩選海外投資組合的標的中，應用Markowitz的效率前緣理論，決定最適投資組合的標的及其對應的權重。依據可篩選資產在過去長期、中期及短期的報酬率及其波動進行選擇，以分別形成三種時期最佳投資組合。一旦投資組合決定後，即可利用歷史移動平均法、歷史模擬法、蒙地卡羅模擬法等三種風險值評估方法，衡量該不同投資期間下，各種最佳投資組合的風險值，以及不同風險評估方法的預測績效。

由實證結果得知，若以過去不同期間各海外資產的投資報酬率與波動性作為篩選最佳投資組合的判斷依據，則長期與中期而言，以穩健的基金為最佳的投資標的；短期則以外匯為主，股票及基金的混合投資為輔。風險值的樣本外預測結果則顯示，歷史移動平均法均是評估各投資組合風險值的最佳方法，且在選取最佳投資組合後，採取長期投資可有效降低投資風險。

關鍵字

歷史模擬法 ； 效率前緣 ； 投資組合 ； 相對風險 ； 蒙地卡羅模擬法

並列摘要

Although the utilization of asset portfolio can reduce the risk investor faced, the risk can’t be eliminated completely. In other words, under any investment portfolio, investor still faces some risk. For investor to adopt some strategy to reduce investment risk, she will first evaluate her portfolio risk. In assessing portfolio risk, almost all literatures used different method and the results are decided by investor’s risk attitude and asset holding period. Whatever, they did not analyze how to decide the optimal portfolio. This thesis tries to improve this shortcoming, that is, through Markowitz’s Mean-Variance approach to decide optimal portfolio. Once optimal portfolio has been decided we can further estimate its value of risk and choose most suitable risk assess approach.

This thesis first uses Markowitz’s effective frontier theorem to decide the optimal foreign investment portfolio from representative foreign assets, named half-year optimal investment portfolio, one-year optimal investment portfolio and four-year optimal investment portfolio. Once different optimal investment portfolios have been decided, we can apply Historical Moving Average, Historical Simulation and Monte Carlo Simulation approaches to estimate their VaRs and decide the best method to assess VaRs.

Empirical results show that for mid-term and long-term investors foreign funds are the best target asset to make up optimal portfolio and for short-term investor foreign exchange is the best one. For different optimal portfolios, the best method to evaluate their VaR is Historical Moving Average approach. Finally, if investor holds the portfolio decided by Markowitz’s effective frontier theorem for a long time, she can reduce investment risk.

並列關鍵字

Portfolio ； Effective Frontier ； Relative Risk ； Historical Simulation ； Monte Carlo Simulation

參考文獻

劉美纓 (2006)，研究銀行投資組合風險模型之測試與應用，金融風險管理季刊，第2卷第1期，1-27頁。

Alexander, C. O.( 1997), “On the CoVariance Matrices Used in Value at Risk Model,” The Journal of Derivatives, spring, 50-62.

Beder, T. S. (1995), “VaR:Seductive but Dangerous,” Financial Analysis Journal ,51, 12-24.

Brinson, G. P., L.R. Hood, and G.L. Beebower (1986), “Financial Analyst Journal, ” Determinants of Portfolio Performance July August, 39-44.

Brocato, J. and S. Steed (1998), “Optimal Asset allocation over the business cycle,” Financial review, August, 129-148.