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研究生： 王靖怡
Wang, Jing-Yi
論文名稱： 資產配置策略研究—以新興市場為例
Asset Allocation Strategies Analysis — Evidence from 26 countries in the emerging markets
指導教授： 林靖庭
口試委員: 洪偉峰
劉文讓
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： 2021
畢業學年度： 109
語文別： 英文
論文頁數： 54
中文關鍵詞： 風險平價 、資產配置 、投資組合策略 、風險基礎投資組合 、最大風險分散投資組合 、等量風險貢獻度投資組合
外文關鍵詞： Variance Models, Risk-based Strategies, Most Diversified Portfolios, Equally Weighted Risk Contribution Portfolios
DOI URL： http://doi.org/10.6814/NCCU202100559
相關次數： 點閱：279  下載：0 
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    • 新興市場提供投資人一個具有潛力的投資機會，但是其自身的因素卻嚴重地影響投資新興市場的投資報酬，如其政治因素、經濟條件、產業發展、政策導向等，都會深深地影響當地股市表現，因此，本研究針對新興市場的資產配置方法進行探討，目的是尋找出適合應用在新興市場的資產配置策略。
    樣本分為三組資料，分別為主要新興國家的股價指數、資訊科技產業、金融產業，運用14種的資產配置方法來建構投資組合，計算投資組合的超額報酬與夏普比率來衡量績效，並且以1/N方法作為基準，透過個別檢定來判斷投資組合策略的績效優劣。
    結果指出，僅有利用變異數建構投資組合的模型( Variance Models )表現優於基準策略( the 1/N rule )，此類型的模型包含最大風險分散投資組合( The Most Diversified portfolio )、等量風險貢獻度投資組合( Equally Weighted Risk Contribution Portfolio )等。顯示出在面對波動相對較大的新興國家股市，應採用控制風險的模型，以達到投資組合最佳的效果。

    Emerging markets have provided a great investment opportunity for investors in recent years, but their own factors seriously affect the performance of investing in their capital markets. Therefore, this study discusses the asset allocation strategies in emerging markets and aims to find out the most appropriate strategy for investors.
    The data includes three groups, namely the stock indexes in emerging countries, the information technology industry, and the financial industry, and 14 asset allocation methods are used to construct investment portfolios. Alpha of the investment portfolios and Sharpe ratio are calculated to measure performance. Then, we perceive the 1/N rule as a benchmark strategy to compare the effectiveness of the portfolio strategies through individual tests.
    The results point out that variance models outperform the benchmark strategy (the 1/N rule). Variance models include the most diversified portfolio and equally weighted risk contribution portfolio, etc. It shows that in the face of relatively volatile stock markets, a risk-based model should be adopted to manage the stocks in emerging markets.

    1. Introduction 1

    2. Literature Review 6
    2.1 Risk-based Portfolio Theory 6
    2.2 Strategies of portfolio construction 7
    2.3 Empirical Analysis 8

    3. Data and Sample 9
    3.1 Data 9

    4. Methodology 16
    4.1 Basic Assumption 16
    4.2 Constructing Process 17
    4.2.1 Benchmark Strategy 19
    4.2.2 Variance Models 19
    4.2.3 Reward-to-Risk Timing Strategies 22
    4.2.4 Traditional strategies 23
    4.2.5 Bayes-Stein Shrinkage Strategy 24
    4.2.6 Asset Pricing Models 25
    4.3 Test methodology 27
    4.3.1 Transaction Costs 28
    4.3.2 Performance Evaluation 29
    4.3.3 Individual Tests 30
    4.3.4 Tests for data-snooping bias 30

    5. Empirical Analysis 33
    5.1 Descriptive Statistics of Portfolio Return 33
    5.1.1 26MSCI 33
    5.1.2 10IT 35
    5.1.3 20FIN 36
    5.2 Performance of Strategies and Individual Tests 38
    5.2.1 Performance of Strategies 38
    5.2.2 Individual Tests 42
    5.3 Performance of portfolio strategies controlling for data-snooping bias 44

    6. Discussion 44

    7. Conclusion 49

    Reference 51

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