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最佳動態投資策略及其效用函數之分析與比較 = A Comparison ...

國立高雄大學統計學研究所碩士班

最佳動態投資策略及其效用函數之分析與比較 = A Comparison study on utility functions of the optimal dynamic strategies

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	A Comparison study on utility functions of the optimal dynamic strategies
作者:	張巧柔,
其他團體作者:	國立高雄大學
出版地:	高雄市
出版者:	國立高雄大學;
出版年:	2013[民102]
面頁冊數:	54葉部分彩圖，表格 : 30公分;
標題:	動態投資策略
標題:	Dynamic Investment Strategy
電子資源:	https://hdl.handle.net/11296/7c6uum
附註:	107年11月1日公開
附註:	參考書目：葉38-39
附註:	附錄：買進並持有策略之效用函數推導；模擬研究表格與圖
摘要註:	在金融市場上，投資者大多是在風險與報酬的雙重考量下尋找最佳資產配置。就投資的實務上而言，投資人多數僅關心投資策略為何、如何投資，鮮少考量學理上的效用函數；而在理論上則多以效用函數來衡量投資組合的綜合表現。目前，常見的效用函數有Markowitz(1952)以變異數衡量風險的前提下所衍生的二次式效用函數，以及考量不同條件下，最佳化效用函數時所得到的絕對風險厭惡(CARA)與相對風險厭惡(CRRA)的指數型效用函數和對數型效用函數等。本研究希望將實務上常見的投資策略，發展出與其對應的效用函數，希望透過這一部分的結果，從一個綜合風險與報酬考量的角度下，討論不同投資策略的投資表現。本文主要考量三種常見的投資策略：買進並持有策略、固定比例策略與固定比例投資組合保險策略，並與傳統的投資組合Markowitz(1952)做比較。本研究將透過理論、模擬或實證的方法，在考量最大期望報酬和投資風險的相互抵換下，找出最佳資產配置，以動態的投資策略(固定比例策略和固定比例投資組合保險策略)和靜態的投資策略(買進並持有策略和傳統的投資組合Markowitz(1952))持有此投資組合一段期間後，比較它們的投資表現和對應效用函數的分析。藉此，我們希望一方面從效用函數的角度，來重新解釋這些投資策略的意義；另一方面，也希望藉由本研究的結果給予對應的投資建議。 In the financial markets, investors mostly consider both Mean and Variance to find the optimal asset allocation. In real investment, most investors only care about what the investment strategy is, how to invest, and rarely consider the doctrinal utility functions. In theory, the overall performance of the portfolio can usually be measured by utility functions. At present, the common utility functions are Markowitz (1952) which is under the premise of variance to assess the risks arising from the quadratic utility function, as well as under the different conditions, optimizing the utility function to get the exponential and logarithmic utility function of constant absolute risk aversion (CARA) and constant relative risk aversion (CRRA). This study hopes to develop those corresponding utility functions of the common investment strategies, and through this part of the results, hopes to discuss the investment performance of different investment strategies. This research mainly considers three common investment strategies: Buy-and-hold strategy, Constant-mix strategy and Constant proportion portfolio insurance (CPPI), and also use these strategies to compare with the traditional portfolio by Markowitz (1952). This study considers the trade-off between maximum expected return and investment risk to find the optimal asset allocation through theory, simulation or empirical methods. After holding the portfolio over a period by using dynamic investment strategy (Constant-mix strategy and Constant-proportion-portfolio insurance) and static investment strategy (Buy-and-hold strategy and traditional portfolio Markowitz (1952)), and then comparing their investment performance and analysis of corresponding utility function. Herewith we hope in the one hand to re-interpret the significance of these investment strategies from the point of view of the utility function. On the other hand, we also hope to give the corresponding investment advice by the results of this study.

最佳動態投資策略及其效用函數之分析與比較 = A Comparison study on utility functions of the optimal dynamic strategies
張, 巧柔

最佳動態投資策略及其效用函數之分析與比較 = A Comparison study on utility functions of the optimal dynamic strategies / 張巧柔撰 - 高雄市 : 國立高雄大學, 2013[民102]. - 54葉 ; 部分彩圖，表格 ; 30公分.
107年11月1日公開參考書目：葉38-39附錄：買進並持有策略之效用函數推導；模擬研究表格與圖.
動態投資策略Dynamic Investment Strategy

最佳動態投資策略及其效用函數之分析與比較 = A Comparison study on utility functions of the optimal dynamic strategies
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