風險控制下期貨與股票投資組合之研究

Safety-First Portfolio Selection Problem with Futures Index

黃琡惠(Shu-Hui Huang)

指導教授 ： 張國華

中原大學/工學院/工業工程研究所/碩士(2004年)

https://doi.org/10.6840/cycu200400263

摘要

近年來財務工程二個主要研究的議題分別是投資組合與風險管理。衍生性金融商品提供投資人另外的投資選擇，讓投資人能更有效的控制風險與報酬。
在本論文中我們利用safety-first 與downside risk 的概念並利用賣空期貨的方式去考慮我們的股票投資組合。我們分別利用CAPM 與MAD 建立二個選擇投資組合的模式，並以此二種模式選出風險最小且報酬最大的投資組合。最後利用實際的歷史資料來驗證我們的模式。

關鍵字

MAD ； safety-first ； 投資組合選擇

並列摘要

Portfolio selection and risk management had been a most important research fields in modern finance recently. Now, the emergence of new financial derivatives such as options and futures, provides more investment opportunities for the investor. Also due to these new instruments, investor has more abilities and opportunities to control risk and obtain the sure profits.
In thesis, we consider a safety-first portfolio selection problem in which a future is considered simultaneously. We take a long position on stock portfolio and take the short position on the index future. We set up such problem as a mathematical program model to obtain such portfolio with maximal return under the safety-first criterion considering the allowable downside risk. Moreover, we also measured the performances of the portfolios based on the historical data.

並列關鍵字

Safety-first ； portfolio selection ； MAD.

參考文獻

[1] Benati, S.(2003)”The Optimal Portfolio Problem with Coherent Risk Measure

[2] Bertsimas, D., J.L. Geoffrey, and S. Alexander, (2004) ”Shortfall as a Risk Measure: Properties, Optimization and Applications,” Journal of Economic Dynamics & Control,28, 1353-1381.

[5] Demirer, R., and D. Lien, (2003) ”Downside Risk for Short and Long Hedgers

[8] Fong, H.G., and K.C. Lin, (1999) ”A New Analytical Approach to Value-at-

[9] Grootveld, H., and W. Hallerbach, (1999) ”Variance vs Downside Risk: Is There Really that much Difference? ,” European Journal of Operational Research, 114,304-319.