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研究生： 李文聖
Wen-Shen Lee
論文名稱： 因子、特徵與資產配置
Portfolio Optimization Using Factors and Characteristics
指導教授： 周賓凰
Pin-Huang Chou
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 88
語文別： 中文
論文頁數： 48
中文關鍵詞： 資產配置 、資本資產定價理論 、套利定價理論 、公司特徵
外文關鍵詞： asset allocation, CAPM, APT, characteristic
相關次數： 點閱：12  下載：0 
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    • 均異效率性為現代投資組合理論的基礎，也逐漸受到實務界的重視。在傳統的資產配置分析架構裡，投入要素－期望報酬率、共變數等是由樣本統計量所替代。然而，樣本統計量較易受到樣本資料的影響而產生估計上的偏誤，因此本文利用近年來蓬勃發展的資產定價理論估計投入要素，企圖降低估計參數時可能發生的偏誤，並比較不同模型下的最適投資組合於樣本外的投資績效。
    本文以日本股市為研究對象，資料來源為PACAP日本資料庫。自1980年至1996年，每年9月底選取市值最大的100支與200支股票作為投資標的進行資產配置，並衡量樣本外的投資績效。資產配置的二大投入要素（報酬率、共變數）則以完全模型、一因子模型、三因子模型、四因子模型及特徵模型進行估計。
    我們發現在Sharpe指標上，特徵投組顯著優於比較指標，且較完全投組及因子投組為佳，這與Daniel、Titman與Wei（1998）認為日本股票報酬決定於股票特徵的結果相符。我們並發現100支股票投組的績效優於200支股票投組的績效，而不可賣空投組的績效亦優於可賣空投組。

    目 錄......................................................................................................... i 表目錄.........................................................................................................ii 圖目錄........................................................................................................iii 第一章 緒論............................................................................................... 1 第一節 研究動機................................................................................... 1 第二節 研究目的................................................................................... 2 第三節 研究架構................................................................................... 3 第二章 文獻回顧....................................................................................... 5 第三章 實證研究設計............................................................................... 9 第一節 資料來源與投資標的............................................................... 9 第二節 股票報酬率預測模型..............................................................10 第三節 股票報酬共變數估計模型......................................................15 第四節 資產配置最適化模型..............................................................17 第五節 投資績效衡量指標..................................................................19 第四章 實證結果與分析..........................................................................21 第一節 報酬率預測模型之預測績效..................................................21 第二節 報酬共變數估計模型之預測績效..........................................25 第三節 最適投資組合的投資績效......................................................29 第五章 結論..............................................................................................43 參考文獻....................................................................................................44 表 目 錄 表一 期望超額報酬之屬性......................................................................22 表二 報酬率預測模型之預測績效..........................................................23 表三 共變異數估計值之屬性..................................................................26 表四 共變異數估計模型之估計績效......................................................27 表五 最適投資組合之投資績效..............................................................31 表六 最適投資組合之Sharpe指標...........................................................38 表七 最適投資組合之特徵屬性..............................................................40 附表一 最適投資組合於不同年度之Sharpe指標...................................47 圖 目 錄 圖一 比較指標投組之累積報酬..............................................................33 圖二 不可賣空下，各最適投組之累積報酬（100支股票）................34 圖三 不可賣空下，各最適投組之累積報酬（200支股票）................34 圖四 不可賣空下，各特徵投組之累積報酬（100支股票）................35 圖五 不可賣空下，各特徵投組之累積報酬（200支股票）................35

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