應用股票持有期之投資組合最佳化

Portfolio Optimization Considering Estimated Holding Periods of Stocks

林家瑋(Chia-Wei Lin)

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(2017年)

https://doi.org/10.6840/cycu201700113

摘要

當今有許多金融性衍生商品，許多人選擇投資股票，直覺上，投資者都會把股票持有住等到股票上漲時再賣出，然而實際上投資者往往都不知何時股票才會上漲而錯過獲利的機會。這也引導我們研究利用股票持有期並建構出投資組合最佳化，當股票受到人們不理性行為(如:投資者情緒化的決策)影響的股票稱為行為股票(Behavioral-Stock)。投資者可以利用這些行為股票的特徵或行為，來幫助投資者知道何時股票會有上漲的趨勢，以利於賣出並實現獲利。本研究利用行為股票當作額外的確定資訊來幫助投資人做出較好的投資決策。首先，我們先遵從所有不理性行為的操作型定義(Operational Definition, OD)，操作型定義描述股票受不理性行為影響後股票與報酬率的明確現象。透過觀察數據，我們可以找出股票何時開始(cause)受到不理性行為的影響，以及經過一段時間後(T-day)股票的報酬率會受到正報酬(CAR≥1%)的影響(effect)，以及其可能發生此現象的機率(likelihood of effect)。
本研究可分成三部分：(1)在行為股票下，應用T-day的資訊把股票持有住(Holding Periods)，直到正報酬發生，建立相對應的股票持有期投資組合最佳化(Behavioral Stock Holding Periods Portfolio Optimization)，此時交易手續費已納入考量。(2)因應不同種投資者的心態我們應用二維權重函數(SP/A & likelihood of the effect)來嵌入不同情境為基礎的混合整數規劃用來求解股票持有期投資組合最佳化。(3)透過小資本額的事後檢驗，提供投資方法給需求不同的個人投資人。本研究目的在於，提供方法給不同類型或是喜好的個人投資者幫助各人投資者在未來的投資決策。

關鍵字

行為股票 ； 行為投資組合最佳化 ； 股票持有期 ； SP/A權重 ； CAR

並列摘要

Nowadays, there are too many kinds of finance derivative, many people buy stocks as their investment, intuitively, investors always hold the stocks that they bought, and sell it until the stock prices go up, however, in reality, investors usually miss the moment because they don’t have enough information to predict the trend of price. It leads us to study on using stock holding periods to build portfolio optimization. Some stocks are subject to irrational behaviors that people make, such as emotional decisions of investors which collectively affect the price movement of the stock, and these affected stocks are called Behavioral stocks (B-stock). These B-stocks have some characteristics that can greatly help investors in knowing when they can sell stocks and realize the gains, thus this study focuses on exploiting the B-stocks as the extra information for helping investors. First, we follow the operational definitions (OD), based on which we can identify the irrational behavior by looking through the behaviors stocks. We can find when the stocks were subject to a cause of the irrational behavior and got a positive abnormal cumulative return (CAR≥1%) by effect after T-day, and the likelihood for the effect to happen after a cause is spotted. There are three parts of this study: (1) Considering B-stocks, we used information of T-day and hold the B-stocks (Holding Period) until effect happen, and the model corresponding Behavioral Stock Holding Periods Portfolio Optimization. (2) With the different mind of people, we applied two-dimensional (SP/A & likelihood of the effect) weightings function which is embedded into a scenario-based mixed integer program for portfolio optimization model. (3) We perform a back-test using a small initial capital to provide a method to cater the investment demand of small-scale individual investors. The proposed model provides a method for different types (preference) of investors that can possibly help a lot of individual investors in their future investment decisions.

並列關鍵字

Behavioral stocks ； Behavioral portfolio optimization ； Holding periods ； CAR

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