Title

基於蟻群演算法之基金投資組合設計

Translated Titles

Mutual Fund Portfolio Design Based on Ant Colony Optimization

Authors

許元達

Key Words

台灣五十指數 ; 蟻群演算法 ; 夏普指數 ; Taiwan 50 index ; Ant Colony Optimization ; Sharpe Ratio

PublicationName

中興大學科技管理研究所學位論文

Volume or Term/Year and Month of Publication

2012年

Academic Degree Category

碩士

Advisor

巫亮全

Content Language

英文

Chinese Abstract

共同基金一直是投資人熱門的商品。然而過去研究顯示,許多學者建立主動型基金模型以超越大盤為目的。本研究重新定義風險與報酬,並結合蟻群演算法與Markowitz’s Mean-Variance 模型。蟻群演算法能夠有效解決多目標問題,並以Mean-Variance 模型建構出一個適合的權重,並以四個評估標準評估新投資組合。標竿指數以台灣50指數為標的。結果顯示可建構出低風險與高報酬的投資組合。這篇研究的貢獻是建立一個模型找到”最佳”的投資組合

English Abstract

Mutual fund becomes popular of investment tools for investors. However, previous studies showed that a lot of scholars constructed actively managed mutual fund model to outperform the benchmark. In this research, we redefined return and risk, combined Ant Colony Optimization (ACO) with Markowitz’s Mean-Variance model. Ant Colony Optimization (ACO) can effective solve multiple objective problem and construct a suitable weigh by Mean-Variance model. We evaluate four measure methods. The benchmark index is Taiwan 50 index fund. Results showed that obtained low risk and high return portfolio. The contribution is constructed a model to find the “best” portfolio for investors.

Topic Category 管理學院 > 科技管理研究所
社會科學 > 管理學
Reference
  1. Anagnostopoulos, K. and G. Mamanis (2011). "The mean-variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms." Expert Systems with Applications.
    連結:
  2. Arenas Parra, M., A. Bilbao Terol, et al. (2001). "A fuzzy goal programming approach to portfolio selection." European Journal of operational research 133(2): 287-297.
    連結:
  3. Brown, S. J. and W. N. Goetzmann (1997). "Mutual fund styles." Journal of Financial Economics 43(3): 373-399.
    連結:
  4. Chen, L. H. and L. Huang (2009). "Portfolio optimization of equity mutual funds with fuzzy return rates and risks." Expert Systems with Applications 36(2): 3720-3727.
    連結:
  5. Chopra, V. K. and W. T. Ziemba (2011). "The effect of errors in means, variances, and covariances on optimal portfolio choice." The Kelly Capital Growth Investment Criterion: Theory and Practice 3: 249.
    連結:
  6. Crama, Y. and M. Schyns (2003). "Simulated annealing for complex portfolio selection problems." European Journal of operational research 150(3): 546-571.
    連結:
  7. Cura, T. (2009). "Particle swarm optimization approach to portfolio optimization." Nonlinear Analysis: Real World Applications 10(4): 2396-2406.
    連結:
  8. Daniel, K., M. Grinblatt, et al. (1997). "Measuring mutual fund performance with characteristic-based benchmarks." Journal of Finance: 1035-1058.
    連結:
  9. Deng, G. F. and W. T. Lin (2010). "Ant Colony Optimization for Markowitz Mean-Variance Portfolio Model." Swarm, Evolutionary, and Memetic Computing: 238-245.
    連結:
  10. Doerner, K., W. J. Gutjahr, et al. (2004). "Pareto ant colony optimization: A metaheuristic approach to multiobjective portfolio selection." Annals of Operations Research 131(1): 79-99.
    連結:
  11. Dorigo, M. and G. Di Caro (1999). Ant colony optimization: a new meta-heuristic, IEEE.
    連結:
  12. Dorigo, M. and L. M. Gambardella (1997). "Ant colony system: A cooperative learning approach to the traveling salesman problem." Evolutionary Computation, IEEE Transactions on 1(1): 53-66.
    連結:
  13. Elton, E. J., M. J. Gruber, et al. (2004). "Are investors rational? Choices among index funds." The Journal of Finance 59(1): 261-288.
    連結:
  14. Eun, C. S. and B. G. Resnick (1988). "Exchange rate uncertainty, forward contracts, and international portfolio selection." Journal of Finance: 197-215.
    連結:
  15. Frino, A. and D. Gallagher (2001). "Tracking S&P 500 index funds." Journal of Portfolio Management 28(1).
    連結:
  16. Garcia-Martinez, C., O. Cordón, et al. (2007). "A taxonomy and an empirical analysis of multiple objective ant colony optimization algorithms for the bi-criteria TSP." European Journal of Operational Research 180(1): 116-148.
    連結:
  17. Gibbons, M. R., S. A. Ross, et al. (1989). "A test of the efficiency of a given portfolio." Econometrica: Journal of the Econometric Society: 1121-1152.
    連結:
  18. Huang, X. (2008). "Portfolio selection with a new definition of risk." European Journal of Operational Research 186(1): 351-357.
    連結:
  19. Jensen, M. C. (1968). "The performance of mutual funds in the period 1945-1964." The journal of finance 23(2): 389-416.
    連結:
  20. Markowitz, H. (1952). "Portfolio selection." The journal of finance 7(1): 77-91.
    連結:
  21. Markowitz, H. and H. M. Markowitz (1991). Portfolio selection: efficient diversification of investments, Wiley.
    連結:
  22. Markowitz, H., G. P. Todd, et al. (2000). Mean-variance analysis in portfolio choice and capital markets, Wiley.
    連結:
  23. McDonald, J. G. (1974). "Objectives and performance of mutual funds, 1960–1969." Journal of Financial and Quantitative Analysis 9(03): 311-333.
    連結:
  24. Michaud, R. O. (1989). "The Markowitz optimization enigma: is' optimized'optimal?" Financial Analysts Journal: 31-42.
    連結:
  25. Oh, K. J., T. Y. Kim, et al. (2005). "Using genetic algorithm to support portfolio optimization for index fund management." Expert Systems with Applications 28(2): 371-379.
    連結:
  26. Sharpe, W. F. (1966). "Mutual fund performance." The Journal of Business 39(1): 119-138.
    連結:
  27. Treynor, J. L. (1964). How to rate management of investment funds.
    連結:
  28. Dorigo, M., M. Birattari, et al. (2006). "Ant colony optimization." Computational Intelligence Magazine, IEEE 1(4): 28-39.
  29. Dorigo, M., V. Maniezzo, et al. (1996). "Ant system: optimization by a colony of cooperating agents." Systems, Man, and Cybernetics, Part B: Cybernetics, IEEE Transactions on 26(1): 29-41.