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

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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

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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.
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[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.
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[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.
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[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.
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