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各種不同風險衡量指標暨敏感度分析及其在投資組合上的應用 = On Ris...

吳柏儒

各種不同風險衡量指標暨敏感度分析及其在投資組合上的應用 = On Risk Measures, Corresponding Sensitivity Analyses, and Applications to Portfolio Selection

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	On Risk Measures, Corresponding Sensitivity Analyses, and Applications to Portfolio Selection
作者:	吳柏儒,
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:	民100
面頁冊數:	106面圖，表格 : 30公分;
標題:	投資組合
標題:	portfolio selection
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/30900858838125080123
附註:	參考書目：面54-55
摘要註:	在金融市場中，投資人進行投資組合的最佳資產配置時，會依據自身的風險態度，選擇一個合適的風險衡量指標。然而，隨著金融環境的景氣變動，投資人的風險態度也會隨之改變，所以對於不同景氣的金融環境，我們皆以標準差、半標準差、風險值和條件風險值作為風險衡量指標，比較投資組合的結果，使投資人可以依據其風險態度的變化，挑選合適的風險衡量指標。除此之外，本研究分別以理論和模擬方法計算出在投資組合中，各種風險衡量指標對於參數的敏感度，並比較兩者的結果。敏感度除了有簡化計算的功用外，還可用於探討當一些總體經濟指標發生改變時，其最佳資產配置下投資組合的風險將會如何變化。在多變的金融市場中，投資人該如何因應其隨著景氣變化而改變的風險態度，選擇不同的風險衡量指標，或是利用風險衡量指標的敏感度分析，預測其最佳資產配置下投資組合的風險變化，以改變投資策略，為本研究所討論的主題。 In financial markets, investors have to choose the optimal risk measure to find an asset allocation according to their different risk attitudes. However, investors may change their risk attitudes with the economic cycle. Hence, we compare the results of portfolio selections in the different economic environments by using standard deviation, semi-standard deviation, Value-at-Risk, and conditional Value-at-Risk as risk measures. Then investors can choose the optimal risk measure according to the changes of their risk attitudes. Furthermore, we use the theory and simulation method to calculate the sensitivities of the four risk measures in portfolio selection model, and compare the results of them. In addition to simplifying the calculations, sensitivities of the risk measures are used to measure the changes of risk of portfolio with the optimal asset allocation when the macroeconomics indicators change. The main objective of the paper is how investors choose the various risk measures according to the changes of their risk attitudes, or use the sensitivity analysis of risk measures to forecast the changes of risk of portfolio with the optimal asset allocation and change the plan of portfolio selection in the financial markets.

各種不同風險衡量指標暨敏感度分析及其在投資組合上的應用 = On Risk Measures, Corresponding Sensitivity Analyses, and Applications to Portfolio Selection
吳, 柏儒

各種不同風險衡量指標暨敏感度分析及其在投資組合上的應用 = On Risk Measures, Corresponding Sensitivity Analyses, and Applications to Portfolio Selection / 吳柏儒撰 - [高雄市] : 撰者, 民100. - 106面 ; 圖，表格 ; 30公分.
參考書目：面54-55.
投資組合portfolio selection

各種不同風險衡量指標暨敏感度分析及其在投資組合上的應用 = On Risk Measures, Corresponding Sensitivity Analyses, and Applications to Portfolio Selection
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