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套利定價理論中之最適風險因子選取問題 = Select optimal ...

國立高雄大學統計學研究所

套利定價理論中之最適風險因子選取問題 = Select optimal risk factors for the arbitrage pricing theory

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	Select optimal risk factors for the arbitrage pricing theory
作者:	李岱霙,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2010[民99]
面頁冊數:	76面圖，表 : 30公分;
標題:	play-the-winner
標題:	Arbitrage pricing theory
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/76439187498172446253
摘要註:	套利定價理論中，最重要的精神是建立報酬和風險之間的關係，以進行資產定價。而研究資產定價最主要的問題為，影響報酬率的因子是無法觀測得知。在過去文獻中有很多估計風險因子的方法，例如半自我迴歸法、漸進主成分分析等等。在本研究中，我們嘗試將總體經濟變數量化為影響報酬之風險因子。許多學者運用不同的模型，企圖將風險和報酬之間關係描述的更適切，並更能反映市場中交互作用的機制。我們提出一個結合動態規劃模型和套利定價理論之模型，冀望可為不同的投資期間作出下一個最佳的投資決策。本文發現multi-armed bandit模型優於其他傳統的方法。 In the arbitrage pricing theory, the most important spirit is to establish the relationship between return and risk in order to asset pricing. A major problem in studying asset pricing is that common factors affecting asset returns are unobservable. In relevant literatures, there were many methods to estimate risk factors, such as semiautoregression approach, asymptotic principle component analysis, and so on. In this article, we try to use the macroeconomic factors transformation methods to quantify risk factors.In order to describe the relationship between risk and return more appropriate, many scholars use different models to reflect the interaction mechanism in market. We propose a model to combine a dynamic programming model and arbitrage pricing theory .We expected it can make optimal decisions in the next step on different investment period. We find that multi-armed bandit model is better than other traditional methods.

套利定價理論中之最適風險因子選取問題 = Select optimal risk factors for the arbitrage pricing theory
李, 岱霙

套利定價理論中之最適風險因子選取問題 = Select optimal risk factors for the arbitrage pricing theory / 李岱霙撰 - [高雄市] : 撰者, 2010[民99]. - 76面 ; 圖，表 ; 30公分.
參考書目：面64-66.
play-the-winnerArbitrage pricing theory

套利定價理論中之最適風險因子選取問題 = Select optimal risk factors for the arbitrage pricing theory
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