考慮近似尾端分佈條件下風險控制投資組合最佳化之研究

江昱霖

doi:10.6840/CYCU.2007.00277、10.6840/cycu200700399

18.208.126.232，Hello！

Close
Search Quick Search Advanced Search Publication Search	Personal Service Member Login Searching History Use Bonus Card SYMSKAN
Browse Browse by University of Graduate Thesis Browse by Pinyin of Graduate Thesis Browse by Conference Proceedings Topic Browse by Conference Proceedings Publisher Browse by Pinyin of Conference Proceedings Browse by eBook Category Browse by eBook Topic Browse by eBook Publisher
Customer Services Authorize Airiti Recommend a Journal

Search Symbol (Half-width)	Description of Search Symbols
Space	"AND" indicates the intertwining of key terms used in a search
Double Quotation Marks ("") ( " " )	Double quotation marks indicate the beginning and end of a phrase, and the search will only include terms that appear in the same order of those within the quotations. Example: "image process" ： " image process "
?	Indicates a variable letter. Entering two ? will indicate two variable letters, and so on. Example: "Appl?", search results will yield apple, apply… e , appl y … ( (often used to English word searches) )
*	Indicates an unlimited number of variable letters to follow, from 1~n. Example: Enter "appl*", search results will yield apple, apples, apply, applied, application…(often used in English word searches) e , appl es , appl y , appl ied , appl ication … ( (often used to English word searches) )
AND、OR、NOT	Boolean logic combinations of key words is a skill used to expand or refine search parameters. (1) AND (1) AND: Refines search parameters (2) OR (2) OR: Expands search parameters (3) NOT: Excludes irrelevant parameters

DOI stands for Digital Object Identifier （ D igital O bject I dentifier ） ,
and is the unique identifier for objects on the internet. It can be used to create persistent link and to cite articles.

Using DOI as a persistent link

To create a persistent link, add「http://dx.doi.org/」「 http://dx.doi.org/ 」 before a DOI.
For instance, if the DOI of an article is 10.5297/ser.1201.002 , you can link persistently to the article by entering the following link in your browser: http://dx.doi.org/ 10.5297/ser.1201.002 。
The DOI link will always direct you to the most updated article page no matter how the publisher changes the document's position, avoiding errors when engaging in important research.

Cite a document with DOI

When citing references, you should also cite the DOI if the article has one. If your citation guideline does not include DOIs, you may cite the DOI link.

DOIs allow accurate citations, improve academic contents connections, and allow users to gain better experience across different platforms. Currently, there are more than 70 million DOIs registered for academic contents. If you want to understand more about DOI, please visit airiti DOI Registration （ doi.airiti.com ）。

Data Source

College of Engineering > Graduate Institute of Industrial Engineering
Engineering > General Engineering

Bibliography Management Tool

Related Links

Report an Issue

Purchase Single Articles

Download PDF

考慮近似尾端分佈條件下風險控制投資組合最佳化之研究

The Study of Safety-First Portfolio Optimization Problem under Approximated Tail Distribution

江昱霖 , Masters　　Advisor：張國華　　

繁體中文 DOI： 10.6840/CYCU.2007.00277、10.6840/cycu200700399

Mean-Absolute Deviation ； Mean-Variance模式； Safety-First投資組合；近似尾端分佈； Pair-Copula ；下方風險； Safety-First portfolio ； Pair-Copula ； Approximated Tail Distribution ； Mean-Absolute Deviation ； Mean-Variance model ； Downside Risk

Abstract │ Reference (30) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

Recently, investors respect the risk management gradually when they seek the maximum return. In risk management, Value-at-Risk is a very important tool for financial enterprises. Unfortunely, Value-at-Risk can not find the optimal portfolio because Value-at-Risk doesn’t comform the characteristic of coherent risk measure. People measure the downside risk by Value-at-Risk. In order to avoid the underestimates of downside risk under normal distribution, we estimate the risk by using the tail distribution. But the history data is not enough and we want establish the approximated tail distribution. The purpose of this thesis is to establish portfolio whose performance is more stable than market by applying the Safety-First portfolio and the Mean-Variance model in the approximated tail distribution. In addition, there often exists some tail dependence between assets. Thus, we specially consider the Pair-Copula dependence structure when simulating the future return. Finally, we establish the portfolio by using the data of approximated tail distribution.
In this thesis, we choose the combination of MSCI Taiwan Index and compare its performance with the Taiwan-Weighted Stock Index. We establish the combination by the Telser’s and Kataoka’s criteria of the safety-first portfolio and the mean-variance model. The results verify that the performances of these models are more stable than the performance of Taiwan-Weighted Stock Index.

Reference ( 30 ) 〈TOP〉

[1] Arditti, F., 1971, "Another Look at Mutual Fund Performance", Journal of Financial and Quantitative Analysis, Vol.6, pp.909-912.
連結：
[4] Arzac, E.R. and Bawa, V.S., 1977, "Portfolio Choice and Equilibrium in Capital Market with Safety-First Investors", Journal of Financial Economics, Vol. 4, pp.277-288.
連結：
[6] Bedford, T. and Cooke, R. M., 2002, "Vines – a New Graphical Model for Dependent Random Variables", Annals of Statistics, Vol. 30, No.4, pp.1031-1068.
連結：
[7] Bradley, B., Taqqu, M., 2004, "Asset Allocation When Guarding Against Catastrophic Losses: Univariant verse Multivariate Approaches", Quantitative Finance, Vol.7, No.6, pp.619-636.
連結：
[9] Fernandez, V., 2005, "Risk Management Under Extreme Events", International Review of Financial Analysis, Vol. 14, pp. 113-148.
連結：

Altmetrics

〈TOP〉

E-mail ：

When an article is available to download, a notice will be sent to your mailbox address.

E-mail ：