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研究生： 黃奕栩
Huang, I Hsu
論文名稱： 高階動差對投資組合之影響
指導教授： 李桐豪
學位類別： 碩士
Master
系所名稱： 商學院 - 金融學系
Department of Money and Banking
論文出版年： 2009
畢業學年度： 97
語文別： 中文
論文頁數： 46
中文關鍵詞： 高階動差 、投資組合 、偏態 、峰態 、多項式目標求解
外文關鍵詞： PGP, Portfolio, Skewness, Kurtosis, Higher Order Moment
相關次數： 點閱：139  下載：0 
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    • 自Markowitz(1952)提出平均數-變異數準則以來，對於該準則適宜性的討論即不曾停止過。許多實證上資料顯示資產報酬率分配不為常態，而越來越多學者也對於高於二階以上之高階動差對投資決策之影響提出證實。本文利用臺灣八大類股指數報酬率分配資料，運用多目標規劃求解法進行實證，發現臺灣股票市場呈現顯著峰態性質，此外，本文樣本外試驗結果亦指出，平均數-變異數-偏態-峰態架構下之最適投資組合的報酬率高於傳統平均數-變異數架構下之最適投資組合以及大盤報酬。

    壹 緒論 4
    一 研究背景 . . . . . . . . . . . . . . . . . . . . 4
    二 研究目的 . . . . . . . . . . . . . . . . . . . . 5
    三 研究架構 . . . . . . . . . . . . . . . . . . . . 7
    貳 文獻探討 8
    一 高階動差 . . . . . . . . . . . . . . . . . . . . 8
    二 Polynimial Goal Programming (PGP). . . . . . . . 9
    參 研究方法 11
    一 常態分配檢定 . . . . . . . . . . . . . . . . . . 11
    二 偏態與峰態 . . . . . . . . . . . . . . . . . . . 11
    三 Polynimial Goal Programming (PGP). . . . . . . . 13
    四 樣本外試驗 . . . . . . . . . . . . . . . . . . . 18
    肆 實證分析 20
    一 資料來源 . . . . . . . . . . . . . . . . . . . . 20
    二 常態檢定與偏態峰態檢定 . . . . . . . . . . . . . 21
    三 實證結果 . . . . . . . . . . . . . . . . . . . . 32
    四 樣本外試驗 . . . . . . . . . . . . . . . . . . . 36
    伍 結論 37
    參考文獻 39
    Matlab程式碼 42

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