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加權風險值的估計及其在投資組合上的應用 = Weighted-VaR E...

國立高雄大學統計學研究所

加權風險值的估計及其在投資組合上的應用 = Weighted-VaR Estimators and Its Applications to Portfolio Problems

Record Type:	Language materials, printed : monographic
Paralel Title:	Weighted-VaR Estimators and Its Applications to Portfolio Problems
Author:	李雅淳,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2015[民104]
Description:	125面圖，表 : 30公分;
Subject:	投資組合
Subject:	Portfolio
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/74901889634910544416
Notes:	104年10月31日公開
Notes:	參考書目：面46-48
Summary:	風險值(Value-at-Risk,VaR)在估計資本準備金中扮演非常重要的角色,在傳統估計風險值的方法中有歷史模擬法、Bootstrap與蒙地卡羅法,在近年來,文獻提供了一個新的方向,使用廣義柏拉圖分布(Generalized Pareto Distributed, GPD)估計風險值,其中GPD的參數又可利用最大概似估計法估計或者是使用貝氏的角度估計。本文驗證使用GPD的方法估計風險值會有低估的現象,文中並提加權風險值的方式,試圖修正GPD方法低估的現象,並利用修正過程中所使用的比例進行投資組合的選取。在實證資料中,我們選用股票、大盤、黃金、石油、外匯共70筆資料,驗證上述方法的估計效果,可得到加權風險值有效降低GPD模型過於低估的現象,並且在2006年到2014年的投資期間有不錯的投資表現。 Value at risk (VaR) is a very important issue in calculating capital requirements. In this talk, we consider the five canonical methods, historical simulation method, Bootstrap method, Monte Carlo method, and two Generalized Pareto Distributed (GPD) models to estimate VaR. One obvious drawback of the GPD model is underestimated. Therefore, we consider a new weighted-VaR method to capture the tradeoff between GPD model and historical method. Furthermore, we apply weighted-VaR method for assets selection and optimal the portfolio. We provide estimating results for five kinds of financial data from 2005 to 2014. The five asset classes are market stock index, stock, gold, oil and exchange rate. The results show that weighted-VaR models have better performance than other canonical GPD methods in back-testing. Moreover, we can obtain a better return between years 2006 and years 2014 with long term portfolio.

加權風險值的估計及其在投資組合上的應用 = Weighted-VaR Estimators and Its Applications to Portfolio Problems
李, 雅淳

加權風險值的估計及其在投資組合上的應用 = Weighted-VaR Estimators and Its Applications to Portfolio Problems / 李雅淳撰 - [高雄市] : 撰者, 2015[民104]. - 125面 ; 圖，表 ; 30公分.
104年10月31日公開參考書目：面46-48.
投資組合Portfolio

加權風險值的估計及其在投資組合上的應用 = Weighted-VaR Estimators and Its Applications to Portfolio Problems
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