景氣循環是否影響投資人資產配置的績效─以A銀行為例

Does the business cycle affect the performance of investor’s property disposition? -Evidence from A bank

陳嬿如(Yen Ju,Chen)

指導教授 ： 許光華

朝陽科技大學/管理學院/財務金融系/碩士(2011年)

摘要

本研究旨在探討景氣循環下利用定期定額基金與固定收益配息基金所構成的簡單的投資組合，隨著時間的變化，投資在風險資產上的權重(weight)應該如何選擇，才可以使投資者在投資期間做適當的資產配置，使投資者的報酬率最大化風險降至最低。在本文中，我們主要是探討投資人除了在期初做資產配置之外，在景氣循環的同時也可根據所獲得的資訊，重新更改原有的投資組合。此外，我們利用景氣循環的流程圖或歷史經驗來學習投資在風險資產上的短視近利權重(myopic weight)。實證的部分採用富達美元高收益債、富達拉丁美洲的報酬率，觀察後驗分配的平均數、變異數與投資在風險資產上的短視近利權重隨著時間經過所產生的變化，利用資產配置來降低風險。

關鍵字

景氣循環 ； 資產配置 ； 短視近利權重

並列摘要

This research examines how to use the regular closed-end fund and the regular earnings matching the simple investment portfolio which the rest fund constitutes along with the time change in the boom-and-bust. Then, we combine the risk asset weight (weight) to make investor''s return rate maximization and risk minimization. The key point of this paper is mainly discussing the property disposition and information which while boom-and-bust''s changes the original investment portfolio. In addition, we use the boom-and-bust flow chart or the historic experience to study the investment in risk asset superficiality near economic rights and myopic weight. The samples are high income debt and reaches Latin America''s return rate richly. Then we observe the mean value, the variance and the investment in risk asset superficiality near economic rights. In other word, we try to apply the property disposition to reduce the risk.

並列關鍵字

property disposition ； myopic weight ； Business cycle

參考文獻

1、李吉元，2003年，風險值限制下最適資產配置，國立成功

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