考慮交易成本下之動態投資決策
----以台灣50指數為例

本研究以台指50報酬指數為標的，探討動態投資組合的投資決策比靜態的投資決策較為優異。在MV(Mean-Variance)模型的效率前緣下，利用隨機投資組合理論針對各股票的變異數以及相關係數進行篩選，希望透過一個有效率的動態交易策略，來探討動態的資產配置是否真的比被動式的資產配置來的有效率。再進一步放寬條件，加入交易成本的考量。在市場存在交易成本的實際情形下，動態資產配置的交易次數頻繁，所產生的交易成本可觀，此時原本的交易策略需再加上不交易區間的策略，才能使交易次數減少，並因此節省交易成本，提高自組投資組合的報酬率。本研究自92 年1 月1 日起至95 年4 月30 為止，以每週的指數進行實證，共190 期。在這190 期當中前5 期為觀測期，在考慮交易成本之下，自組的投資組合(動態的資產配置)共107 期的報酬率優於台指50 報酬指數(靜態的資產配置)。在經過Z 檢定的結果，接受本研究的自組投資組合的績效優於台指50 報酬指數。

關鍵字

動態投資組合；台灣50指數；隨機套利理論

並列摘要

The paper compares the “static investment” and the “active investment”. We use the “Stochastic Portfolio Theory and Stock Market Equilibrium” ( Fernholz R. and Shay B. [1981]) to develop an active portfolio selection program. The static portfolio selection is based on Mean-Variance Model (Markowitz [1952]). Merton[1969] initiated the study of financial markets via continuous-time, from then on numerous research about active portfolio selection have begun. Analytical solutions for optimal portfolio selection problems are often available in single period. But there is no closed form for the optimal weight of active investment in multi-periods. Fernholz proved that the “excess growth” is existed in continuous time. This research is based on “stochastic portfolio theory” to construct an active portfolio selection model in continuous time. After the portfolio selection model is constructed, we use historic data to check our portfolio. Even we consider the transaction cost, the performance of our portfolios still outperforms “TSEC Taiwan 50 Index”.

並列關鍵字

active portfolio selection ； Stochastic Portfolio Theory.

參考文獻

1. Davis M. H. A. and A. R. Norman [1990] “Portfolio selection with transaction costs” Mathematics of Operations Research 15, 676-713.

2. Durrett R. [1984] “Brownian Motion and Martingales in Analysis”. Wadsworth.

3. Fernholz R. and Shay B. [1981] “Stochastic Portfolio and Stock market Equilibrium” Journal of Finance, 37, 615-624.

4. Ito K. and McKean H.P. [1965] “Diffusion Processes and Their Sample Paths. Springer-Verlag, 1965.

5. Linter J. [1965] “The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets”. Review of Economics and Statistics 47, 13-37

國際替代計量

考慮交易成本下之動態投資決策 ----以台灣50指數為例

全文下載

主題瀏覽