動態策略投資組合之探討-以台、澳、美股價指數為例

A Study of Dynamic Strategies on Investment Portfolio-A Case in Taiwan, Australia and United States Stock Indices

黎青良(Thanh-Luong Le)

指導教授 ： 張健邦

朝陽科技大學/管理學院/財務金融系/碩士(2012年)

摘要

2011年全世界面臨歐債危機，消息時好時壞，基本的分析方法無效，讓投資者面對重大的損失。本文針對研究期間(2000年到2011年)進行分析動態策略的績效(固定比例投資組合保險CPPI跟固定組合策略CM)。無風險性資產進行投資在美國國庫券，風險性資產分別投資在台灣，澳洲，美國股票指數。發現調整投資比率可以降低股票市場對投資組合報酬率帶來的負面影響，在研究期間內CPPI策略表現最好。

關鍵字

動態策略 ； 投資組合 ； 資產分配

並列摘要

In 2011, Europe public debt crisis threatens the world economy. Related news are unpredictable; analysis methods seem to lose their effects. Investors face serious loss. This research paper will analyze dynamic strategies (Constant proportion portfolio insurance and Constant mix) using data from 2000 to 2011.

Risk-free assets are mainly invested in U.S. Treasury securities while risky assets are invested in stock markets indices in Taiwan, Australia, and U.S. It is found that adjusting investing proportion (ratio) can reduce the market’s negative effects on investment portfolio. CPPI will be proved to be the best strategy in the study period.

並列關鍵字

Asset Allocation ； Investment Portfolio ； Dynamic Strategies

參考文獻

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