動態資產配置策略之探討-以台灣股價指數為例

A Study of Dynamic Strategies for Assets Allocation in TAIEX

吳煜弘(Yu-hong Wu)

指導教授 ： 張健邦

朝陽科技大學/管理學院/財務金融系/碩士(2013年)

摘要

金融市場的蓬勃發展使投資工具多樣化，也使得投資人不只單一投資於一種金融商品，因而構成投資組合。面對市場波動，該如何配置投資組合內的資產，為現代投資人所面臨的課題。本文應用了四種動態資產配置策略，分別為「買進持有策略」、「固定組合策略」、「固定比例投資組合保險」以及「選擇權投資組合保險」。以過去十年台灣發行量加權股價指數為實證資料，目的為找出過去十年來績效最佳之動態策略。並以移動視窗法建構投資組合來觀察四種策略的報酬型態，並比較各策略的績效，而績效衡量指標採用夏普比率及最大跌幅。實證結果顯示，相較其他策略，固定組合策略之績效最佳。

關鍵字

資產配置 ； 動態策略 ； 移動視窗法

並列摘要

The development of financial markets diversifies the investment products and instruments available to investors, allowing investors to hold multiple financial products and introduces the concept of investment portfolios. This study employs four dynamic asset allocation strategies, namely Buy-and-Hold (BH), Constant Mix (CM), Constant-Proportion Portfolio Insurance (CPPI) and Option-Based Portfolio Insurance (OBPI), and examines the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) over the last 10 years to find the best performing strategy.
This study applies the moving window method to construct portfolios in order to observe the return patterns of these strategies, and compares and analyzes the performance of each strategy using Sharpe ratio and maximum drawdown. The empirical results show that Constant Mix strategy yields best performance.

並列關鍵字

moving window method ； dynamic strategy ； asset allocation

參考文獻

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