運用行為投資組合理論從事投資組合最適化過程:以交易所買賣商品市場為例

Portfolio Optimization Procedure Utilizing Behavioral Portfolio Theory: Evidence from the Exchange-traded Products Market

蔡泊霆(TJ ChuaHay)

指導教授 ： 狄強

中原大學/商學院/國際商學碩士學位學程/碩士(2018年)

https://doi.org/10.6840/cycu201800243

摘要

本研究將行為投資組合理論（BPT）應用於交易所買賣產品市場（ETP）。本研究調查了情緒、個人特徵和信息順序對ETP市場收益率和波動率的影響，以建立優質投資組合。本研究假定投資者的個人觀點可以根據不同標準的不同心理賬戶（MAs）對其投資進行分類。BPT將投資者的非理性行為和MAs考慮進去尋找最佳投資組合。該研究提出了投資組合優化程序，主要由三部分組成：報酬估計，報酬權重和MAs選擇，利用特定類別的ETP市場，選擇確定更具盈利能力的投資組合模型。我們估計考慮歷史報酬率為投資者的情境，每個情境的權重都相等，考慮兩個MAs分別使用安全第一、均值─方差投資組合模型；安全第一和理性賬戶分別採用安全第一和均值─方差投資組合模型。研究結果表示，在30天測試，考慮風險和報酬的平均差異，心理賬戶平均具有13.69％的高報酬率，而安全第一心理賬戶為α為5％，接受損失值為-5％的報酬率為8.68％。這模型可以為投資組合經理創建和交易投資組合提供額外的資訊。但由於本研究的設計，一旦考慮了投資者的預算和更靈活的約束條件，報酬率可能會發生改變。未來的行為金融研究人員可以將此設計作為基礎，使用時間序列數據並繼續改進約束條件，產生更加真實的結果。

關鍵字

行為投資組合理論 ； 投資組合優化 ； 心理賬戶 ； 交易所交易產品

並列摘要

This research applies the Behavior Portfolio Theory (BPT) to the Exchange-traded Products (ETPs) market. The study investigates the influence of sentiment, personal characteristics, and information sequence on the returns and volatility of ETPs market in building superior portfolios. This paper postulates that investors’ personal view can categorize their investments according to different mental accounts (MAs) with different criteria. The BPT takes investors irrational behaviors and MAs into consideration in finding their optimal portfolios. This research presents portfolio optimization procedures, which mainly consists of three parts: return estimation, return weighing and MAs selection, to determine the more profitable portfolio selection model to specific categories of ETPs market. The researcher estimated the return considering historical returns; considered equal weights for the scenarios according to the investors’ prospects then considered two MAs, safety-first and rational account by using the safety-first and mean-variance portfolio selection model, respectively. Findings suggests that the mean-variance mental account criterion that considered risk and return equally has a high return of 13.69%, whereas the safety-first mental account which considered all criteria under it yielded a decent 8.68% in returns over the 30-day period. These models could provide extra information to portfolio managers in creating and trading their portfolio. But due to the design of this study, returns might change once investor’s budget and a more flexible constraint are taken into consideration. Future researchers on behavioral finance could use this design as a foundation and continue to improve the constraints to yield more realistic results using any time-series data.

並列關鍵字

Behavior Portfolio Theory ； Portfolio Optimization ； Mental Accounts ； ETPs

參考文獻

References

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