以期貨避險投資組合之研究

Portfolio Selection with Futures Hedging

李卓行(Cho-Hsing Li)

指導教授 ： 張國華

中原大學/工學院/工業工程研究所/碩士(2002年)

https://doi.org/10.6840/cycu200200278

摘要

投資組合與風險管理已經成為近代財務工程上二個重要的研究問題。因為未來的股票價格與投資者的負債都是不確定性的，因此投資者面對比以往更複雜的投資問題。在本論文中我們利用safety first與向下風險（downside risk）的概念建立二個包含賣空期貨的投資組合選擇模式，分別是報酬率模式與價差模式。以此二種模式來因應市場的波動並選出風險最小且報酬最大的投資組合。

關鍵字

safety first ； 投資組合選擇 ； MAD（Mean Absolute Deviation）model ； 向下風險

並列摘要

Portfolio selection and risk management have become two significant studies in the territory of finance. For that the future price and risk of an asset are always uncertain, investors often encounter complicated situations when making their decisions.
In this research, by using the concept of safety first, we provided two models for selecting portfolio, the return rate model and the price di‹erence model, to help selecting the stock which has the smallest downside risk for the investment. With combining of selling futures contracts, we could make it possible to avoid risk generated by market fluctuations. Moreover, we also measured the performances of the portfolios in consulting the historical data.

並列關鍵字

Safety first ； Portfolio selection ； MAD(Mean Absolute Deviation) ； Downside risk

參考文獻

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