本研究探討目標波動度策略（Target Volatility Strategy, TVS）於臺灣股票市場之動態資產配置效益。為解決傳統TVS面臨之歷史指標滯後、多頭市場過度避險及忽略實務成本等問題，本研究以2017至2025年為回測期間，運用元大臺灣50（0050）與元大美債20年（00679B）ETF，建構兼具下檔防護與前瞻性之進階風險管理框架。
研究比較傳統歷史總波動模型、捕捉風險非對稱性之「下行歷史波動模型」，以及運用選擇權恐慌預期之「VIX隱含波動模型」。為確保實證真實性，模型嚴格納入時間遞延、5%權重容忍區間、0.2425%單邊交易摩擦成本及最高1.0之權益槓桿限制。
實證結果顯示，在 15% 基準目標波動率下，三種動態模型皆展現卓越的下檔防禦效能。其中，下行歷史波動模型成功克服了傳統模型在多頭市場易過度避險的盲點，能充分捕捉牛市的上行潛力，創造出最高之長期資產增值與累積報酬；而 VIX 隱含波動模型則展現強大的前瞻預警優勢，能於黑天鵝事件爆發初期敏銳減碼，精準截斷投資組合之左尾風險。經 10% 與 20% 目標波動率之穩健性檢定，進一步證實本研究所建構之動態配置框架，能隨不同風險預算發揮優越的跨參數適應力。本研究成果不僅豐富臺灣動態風險平價之學術文獻，更為機構與一般投資人提供具備高度實務價值之配置策略。

This study investigates the dynamic asset allocation benefits of the Target Volatility Strategy (TVS) in the Taiwan stock market. To address traditional TVS limitations—such as lagging indicators, over-hedging in bull markets, and ignored practical costs—we construct an advanced risk management framework using the Yuanta Taiwan 50 (0050) and Yuanta US Treasury 20+ Year (00679B) ETFs from 2017 to 2025.
We compare the Total Historical Volatility Model, the Downside Historical Volatility Model (capturing risk asymmetry), and the VIX Implied Volatility Model (utilizing option-market panic expectations). To ensure empirical authenticity, practical constraints including a time-delay mechanism, a 5% tolerance band, a 0.2425% transaction cost, and a maximum leverage of 1.0 are strictly implemented.
Empirical results under a 15% baseline target volatility show all models demonstrate excellent downside protection. Notably, the Downside Historical Volatility Model overcomes over-hedging in bull markets, fully capturing upside potential to generate the highest cumulative returns. Meanwhile, the VIX Implied Volatility Model provides a strong forward-looking warning advantage, keenly reducing exposure during black swan events to precisely cut off left-tail risk. Robustness checks at 10% and 20% target volatilities further confirm the framework's superior adaptive resilience, providing highly practical asset allocation strategies for investors while enriching the dynamic risk parity literature.

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