以IRp投資組合績效指標建立資產配置決策之研究

A Study of Asset Allocation Decision Using IRp Index

韋伯韜(Duan Wei) ； 蔡憲唐(Hsien-Tang Tsai) ； 陳信宏(Hsin-Hung Chen)

《中國統計學報》 42卷1期 (2004/03) Pp. 13-30

https://doi.org/10.29973/JCSA.200403.0002

摘要

在一般的情況下，Markowitz 的平均值–變異數投資組合模型所產生的資產配置效率前緣會有高風險高報酬的現象，因而造成投資者在高風險高報酬與低風險低報酬之間取捨的決策兩難。本文主要應用一般化損失函數( generalized loss function )的概念結合 Markowitz MV 模型，提出一組可以適當反映期望報酬率與風險間均衡關係的投資組合績效指標(簡稱 IRp 指標)。透過六種金融資產的實例驗證，IRp 指標的適用性得以確認，同時發現在沒有限制各項金融資產投資比重時，IR0.5、IR1 與 IR2 較為適合。而有限制投資比重時，IR0.5至IR3 均可適用，其差別在於高階的 IRp 指標傾向於選擇較為保守的投資組合。

關鍵字

資產配置 ； 一般化損失函數 ； 勞保基金

並列摘要

An eficient frontier generated by Markowitz mean-variance portfolio model normally has higher risk higher return characteristic, which ofter causes dilemma for ecision maker. This research applies generalized loss function to create a family of decision-aid performance measures called IRp. These measures well tradeoff return with risk, are proposed to evaluate portfolio performance in efficient frontier and to improve asset allocation decisions. Empirically, the usefulness of IR0.5, IR1, IR2 index is confirmed. Moreover, we ind that larger P value will cause more conservative asset allocation.

並列關鍵字

Asset allocation ； generalized loss function ； Labor Insurance Reserve Fund

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