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如何在不同風險衡量指標下比較各投資組合的表現 = Comparison ...

國立高雄大學統計學研究所

如何在不同風險衡量指標下比較各投資組合的表現 = Comparison of Portfolio Performance under Different Risk Measures

Record Type:	Language materials, printed : monographic
Paralel Title:	Comparison of Portfolio Performance under Different Risk Measures
Author:	林忻靈,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	民99[2010]
Description:	71面圖，表 : 30公分;
Subject:	投資組合
Subject:	Portfolio selection
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/02467561824197542503
Summary:	在投資組合的問題上，投資者大多是追求報酬越大越好、風險越小越好的投資組合；然而根據不同文章的作者，其考量的風險也不盡相同。投資者該如何去比較這些在不同風險衡量下的投資組合方法，從而選擇其適合的投資組合？本研究想要在不同的風險衡量之間以投資組合的角度來建立一個比較的基礎。本研究分為在景氣低迷、景氣穩定、景氣熱絡三種情況下去比較九種投資組合方法的風險，是根據各個投資組合方法的資產配置去計算每種方法對應其他投資組合方法的風險，再去比較在相同的風險衡量下九種方法的風險。根據模擬的結果顯示Sharpe ratio跟Sortino這兩種選擇投資組合方法的風險比起其他的方法來的高。 Investors are seeking the portfolio which has higher return and lower risk in the portfolio selection problem; however, different researchers consider different risk measures. How to compare these portfolio selection rules under different risk measures to choose a proper portfolio selection rule for different investors? The purpose of this research is that we want to establish a criterion to compare the portfolio selection rules under different risk measures.This research is to compare the risk of nine portfolio selection rules under the cases that are economic downturn, economic flat and economic upturn, and use the optimal portfolio weights for every portfolio selection rule to calculate the risk under other risk measures. Then we compare the risk of nine portfolio selection rules under the same risk measure. According to our simulation results, it seems that the Sharpe ratio and Sortino portfolio selection rules have higher risk than other portfolio selection rules.

如何在不同風險衡量指標下比較各投資組合的表現 = Comparison of Portfolio Performance under Different Risk Measures
林, 忻靈

如何在不同風險衡量指標下比較各投資組合的表現 = Comparison of Portfolio Performance under Different Risk Measures / 林忻靈撰 - [高雄市] : 撰者, 民99[2010]. - 71面 ; 圖，表 ; 30公分.
參考書目：面.
投資組合Portfolio selection

如何在不同風險衡量指標下比較各投資組合的表現 = Comparison of Portfolio Performance under Different Risk Measures
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330 $a 在投資組合的問題上，投資者大多是追求報酬越大越好、風險越小越好的投資組合；然而根據不同文章的作者，其考量的風險也不盡相同。投資者該如何去比較這些在不同風險衡量下的投資組合方法，從而選擇其適合的投資組合？本研究想要在不同的風險衡量之間以投資組合的角度來建立一個比較的基礎。本研究分為在景氣低迷、景氣穩定、景氣熱絡三種情況下去比較九種投資組合方法的風險，是根據各個投資組合方法的資產配置去計算每種方法對應其他投資組合方法的風險，再去比較在相同的風險衡量下九種方法的風險。根據模擬的結果顯示Sharpe ratio跟Sortino這兩種選擇投資組合方法的風險比起其他的方法來的高。 Investors are seeking the portfolio which has higher return and lower risk in the portfolio selection problem; however, different researchers consider different risk measures. How to compare these portfolio selection rules under different risk measures to choose a proper portfolio selection rule for different investors? The purpose of this research is that we want to establish a criterion to compare the portfolio selection rules under different risk measures.This research is to compare the risk of nine portfolio selection rules under the cases that are economic downturn, economic flat and economic upturn, and use the optimal portfolio weights for every portfolio selection rule to calculate the risk under other risk measures. Then we compare the risk of nine portfolio selection rules under the same risk measure. According to our simulation results, it seems that the Sharpe ratio and Sortino portfolio selection rules have higher risk than other portfolio selection rules.
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