國際資產配置之最適策略研究： 使用拔靴複製法

The Optimal portfolio of the International Asset Allocation： The Bootstrap Approach

涂韶鈺(Shao-Yu Tu)

指導教授 ： 周賓凰

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2006年)

摘要

拔靴法是一項應用電腦的統計分析方法，在資料來源分配未知的情況下，可運用拔靴法去作估計及統計推論。因此，拔靴法在1979年由Efron提出後，即大量的被用於統計分析中。
本文採用拔靴複製法分析，將資產配置在國內與國外證券資產不同配置比例條件下的績效差異；其所進行研究的國家間資產配置組合共有四組，分別為：台灣與美國、台灣與香港、台灣與日本和台灣與德國。
藉由動態規劃觀念與拔靴複製法所得出之最佳國際資產配置比例，應用於實際資產配置上做驗證，進而瞭解風險預測模型之應用範圍與適用性。其目的除了可以改良M-V模型的不足外，也能帶給投資者或基金管理者在進行資產配置時，有多一層的考慮。而且在經濟環境不確定性下，透過預測風險的概念做長期資產配置時，能找到更有效率的資產配置決策。

關鍵字

拔靴複製法 ； 國際資產配置 ； M-V模型的改良

並列摘要

The Bootstrap approach is a method which performs Excel function to gather statistics without the distribution of resources. Therefore, it is adopted to analyse statistics according to the Bootstrap approach of Efron.

At this essay, the result by using Bootstrap approach illustrates the different performance of international asset allocation invested in different countries, which are four sets of combinations: Taiwan and America, Taiwan and Hong-Kong, Taiwan and Japan, and Taiwan and Germany.

The optimal portfolio of the international asset allocation adopts dynamic perspective and the Bootstrap approach to produce an empirical portfolio and expect risk model. This can improve the insufficiency of MV model and offer another method to invest the asset allocation. Furthermore, when the fact of economics is not certain, investors or fund managers can find out an effective portfolio management process through expecting risk model.

並列關鍵字

Bootstrap Approach ； International Asset Allocat

參考文獻

1. Duru, A. and Reeb D. M., Apr 2002,“International Diversification and Analyst’ Forecast Accuracy and Bias,” The Accounting Review 77, 415-34.

2. Eichhorn, D., Gupta, F. and Stubbs, E., Spring 1998,“Using Constraints to Improve the Robustness of Asset Allocation,” Journal of Portfolio Management 24,41-48.

3. Koskosidis, D. B. and Duarte, R. F. Winter 1997,“A Scenario-Based Approach to Active Asset Allocation,” The Journal of Portfolio Management .

4. Laster, D. S., Fall 1998,“Measuring Gains from International Equity Diversification: The Bootstrap Approach,” Journal of Portfolio Management,52-60.

5. Levy. H and Sarant, M., Sep 1970,“International Diversification of Investment Portfolios,”American Economic Review 17,668-675.