考慮套利機會存在性之投資策略

Investment Strategy Considering the Existence of Arbitrage Opportunity

陳怡蓁(Yi-Zhen Chen)

指導教授 ： 張國華

中原大學/工學院/工業工程研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600412

摘要

在這篇論文裡，我們將利用一些數學模式來協助投資者尋找套利機會並作出
正確的投資策略。假如沒有套利機會存在（即風險中立），我們將使用兩個模式
（效用最大化、報酬最大化）來尋找最佳投資組合。
我們使用台灣加權指數及台灣指數選擇權之歷史資料來驗證我們的模式。比
較無套利機會存在時，可知報酬最大化之模式比效用最大化之模式獲利大，且比
定存可獲得的報酬高。因此，我們可以依據投資策略的結果，使投資者可以做正
確的投資策略並從中獲利。

關鍵字

風險中立 ； 套利機會

並列摘要

In this thesis, we use some mathematical models to detect whether the arbitrage
opportunity exists or not and further facilitate investors to allocate their assets. If
there is no such opportunity (risk neutral probability), we will utilize two models
(maximize utility function and maximize expected returns) to acquire the optimal
portfolio.
We evaluate our models by exploring historical data from Taiwan stock market
and Taiwan Index Options. The comparison of the performance of investment
strategy between three portfolios and market will be made. Then, we examine the
empirical results from the portfolio strategies and facilitate investors to make correct
investment decisions as well as take profits from the arbitrage opportunities.

並列關鍵字

Risk neutral probability ； Arbitrage opportunity

參考文獻

[1] Apreda, R. (2003) ”Arbitrage Portfolios.” Working paper, University of Cema.

[2] Black, F. and M. Scholes (1973) ”The Pricing of Options and Corporate Liabilities.”

Journal of Political Economy, 81, pp.637-654.

[3] Boender,G. C.E. (1997) ”A Hybrid Simulation/Optimisation Scenario Model for

Asset/Liability Management.” European Journal of Operational Research, 99,