Title

投資組合持股調整與績效之實証研究-以台灣50成分股為例

Translated Titles

Rebalance of Portfolios and Their Performances-A Case Study of the Taiwan 50 Index Constituents

DOI

10.6425/JNHUST.201206.0027

Authors

許江河(Philip Hsu);許淑斐(Shu-Fei Hsu)

Key Words

台灣50成分股 ; 報酬率預測 ; 風險預測 ; 相關係數預測 ; 投資組合績效 ; Taiwan 50 Index Constituents ; Forecast of return ; Forecast of Risk ; Prediction of Correlation coefficient ; Portfolio Performanc

PublicationName

國立虎尾科技大學學報

Volume or Term/Year and Month of Publication

30卷4期(2012 / 06 / 01)

Page #

27 - 38

Content Language

繁體中文

Chinese Abstract

本研究以台灣50成分股為標的,分析投資組合持股調整方式與績效之關係。除了將成分股以等權重的方式配置外,另用AR、GARCH、指數平滑模型分別預測下一期的報酬率、標準差與相關係數,並進一步將AR模型所預測出來的報酬率配合歷史資料所求出之標準差與相關係數,透過夏普比率最佳化的方式規劃求解出最佳投資組合;依此類推利用GARCH模型及指數平滑模型所預測出數值分別佐以歷史資料相配合,共計有九種成分股調整方式。研究採用的資料為2001年1月至2010年12月台灣50成分股的日資料,以時間為基礎設置組合調整時點購入並持有至指定時間,並透過調整風險報酬率以衡量投資組合績效。實證結果顯示相較於同類型的股票指數型基金與大盤績效表現,在考慮交易成本下藉由AR模型所擬定的投資組合並以每一季調整一次的方式績效最佳。

English Abstract

In this study, we use the data of the Taiwan 50 Constituents to investigate the relationship between the rebalance of portfolios and their performances. We use the equally weighted portfolios as well as the portfolios, which returns, variances and/or correlations are predicted by the AR, GARCH and Exponential Smoothing models, respectively. There are altogether nine kinds of portfolio in our study. The optimal portfolios would be built by solving the maximum problESM of the Sharpe ratio. The data used in this study are the daily data of the Taiwan 50 Constituents and spans from January 2001 to December 2010. Our result shows that under consideration of transaction cost, the portfolio, which is constructed by the AR model and quarterly rebalanced, has the best performance. Furthermore, it also outperforms the same type of stock index funds and the market.index as well.

Topic Category 基礎與應用科學 > 數學
基礎與應用科學 > 資訊科學
生物農學 > 生物科學
社會科學 > 教育學
社會科學 > 經濟學
社會科學 > 管理學
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Times Cited
  1. 張恪清(2015)。全球期貨投資組合交易策略分析。淡江大學財務金融學系碩士班學位論文。2015。1-85。 
  2. 謝佩瑾(2016)。期貨投資組合交易策略應用之研究。淡江大學財務金融學系碩士班學位論文。2016。1-60。